Inflation and relative price variability: Evidence for India

This study decomposes relative price variability into a component due to inflation and a component due to real factors. The empirical results for India suggest that real factors account for 55% and inflation accounts for 45% of the variability in relative price changes. The proportion of inflation induced relative price variability increases with the rise in inflation, implying that inflation has distortionary effects on the structure of relative prices. Further, larger part of variability in the relative price changes seems to have been generated by fluctuations in the relative prices of a few commodities. The sector wise analysis shows that the major share of total relative price variability is contributed by fluctuations in the prices of manufactured products. The more crucial inference that emerges from the empirical analysis is that the inflation rate at which variability of relative price changes is minimum is found to be 4.5%, which is consistent with the official threshold rate often claimed by the Reserve Bank of India.     

Changes in Chinese Competitiveness in Major Food Products: Implications for WTO Membership

Chinese entry to the WTO in December 2001 marks a new phase in agricultural trade, both nationally and globally. After a context review of Chinese agriculture and WTO-related policy issues, this paper first uses a Balassa index approach to examine China's relative competitiveness in some major food products over the period since 1985, followed by an analysis of price-cost ratios and production cost structures for these products. It is found that China has revealed comparative advantages in meat products but disadvantages in cereals. With limited land resources, its production and trade competitiveness has declined despite rapid substitution of capital for labour, due to a marked rise in relative labour price in agriculture. In the long run, it is expected that WTO membership will boost Chinese agricultural trade, but its impact on competitiveness will probably depend more on production costs, and will differ between crops and animal products.     

The influence of inflation on differential price changes across European markets

This paper provides the results of an empirical study of the dispersion of consumer price inflation for each of 19 product groups across 11 European countries using monthly data covering the 1980s. The study relates the degree of inflation dispersion in a market to the mean inflation rate. Thus, we show how differential price changes across European markets are influenced by inflation. A model of asymmetric response of relative inflation variability to inflation is tested. Hypotheses are also tested regarding broad categories of traded, nontraded, and regulated products, and results are provided for individual product groups.     

当前新疆农产品供求及价格形势的基本判断与对策建议

当前防止价格由结构性上涨演变为明显通货膨胀的任务依然艰巨,其中保证农产品供求平衡和价格平稳是稳定价格总水平的关键点。本文从国际国内宏观背景下分析了今后农产品供求关系将由总量平衡、丰年有余向农产品总量供给长期偏紧、农产品价格持续高位运行的格局转变。同时分析了影响农产品价格上涨的因素,提出了增加农产品供给和稳定农产品价格的对策建议。     

Revisiting the Exchange Rate Pass‐Through to Inflation in Africa’s Two Largest Economies: Nigeria and South Africa

This paper revisits the exchange rate pass‐through (ERPT) to inflation in Nigeria and South Africa by incorporating structural breaks and using time series variables, namely the consumer price index, nominal effective exchange rate, gross domestic product, and crude oil price. Based on the Maki cointegration test and a flexible estimation approach of the Autoregressive Distributed Lag (ARDL) model, our empirical evidence suggests that the long‐ and short‐run ERPT to inflation is complete for Nigeria, while for South Africa it is incomplete both in the long run and short run. This result indicates that prices are stickier in South Africa compared to Nigeria. The comparison between Nigeria and South Africa confirms the role of inflation targeting and central bank credibility on the ERPT. The results divulge further that output growth in Nigeria increases inflation in the long run while it is anti‐inflationary in the short run. For South Africa, the effect of output growth is negatively insignificant. In addition, the long‐run effect of oil price is negative and significant for Nigeria, while for South Africa the short‐run effect of oil price is positive and significant. Therefore, the findings of this paper will assist the monetary authorities to achieve monetary policy objectives.     

银行危机经济代价的影响因素研究

选取77个国家发生的89次银行危机为样本,分别以危机后的经济衰退程度和通胀成本作为银行危机经济代价的度量标准,采用简单线性回归模型对银行危机经济代价的影响因素进行了分析。研究发现,危机前的经常账户表现越差、房地产价格下降幅度越大,则危机后的经济衰退程度越严重。危机前的股票价格指数上涨越快,银行危机的通胀成本则越高。危机中政府财政支出的增加可以显著的降低危机后的经济衰退程度,危机中贬值策略的实施能够显著降低银行危机的通胀成本,危机中货币供应的增长则会显著提高危机后的通胀水平。     

Inflation in developing Asia

Inflation emerged as the single biggest macroeconomic challenge confronting developing Asia during 2007–2008, although inflationary pressures have abated since the second half of 2008 due to the global crisis. This paper empirically examines the relative importance of different sources of inflation in developing Asia. In particular, it tests the widely held view that the region's inflationary surge during 2007–2008 was primarily the result of external price factors such as oil and food shocks. Our central empirical result is that, contrary to popular misconception, Asia's inflation is largely homegrown and has arisen due to excess aggregate demand and inflationary expectations, rather than external price shocks. This suggests monetary policy will remain a powerful tool in fighting inflation in Asia, as well as in defusing the risks of deflation.     

中间品价格对价格粘性的影响——基于动态随机一般均衡模型的研究

本文主要以2003年第一季度至2018年第四季度的产出、CPI通货膨胀率和PPI通货膨胀率的季度数据为基础,通过在新凯恩斯DSGE模型基础上融入投入-产出框架,将中间品价格引入到新凯恩斯菲利普斯曲线之中,构建了包含中间品价格的新凯恩斯DSGE模型,并对我国的价格粘性程度进行研究。结果表明,使用该模型估计出来的价格粘性与基于微观数据的实证研究结果近乎一致,最终品的价格调整周期为2.32个季度,中间品的价格调整周期为1.59个季度,说明我国中间品的价格要比最终品的价格更加灵活。     

Coffee, money and inflation in Colombia

The purpose of this paper is to analyse the relationship between coffee, money, inflation and international competitiveness in Colombia. The basic hypothesis being investigated is that higher (lower) prices of coffee will tend to result, through the accumulation of international reserves, in higher (lower) inflation. In turn, this higher inflation will generate, for a given rate of devaluation of the nominal exchange rate, a reduction of the real exchange rate, with the consequent loss of competitiveness in the non-coffee tradable goods sector. A ‘Dutch-disease’ type of model is developed to discuss analytically the relationship between coffee prices, money creation and competitiveness in the short and long run. Empirical results for 1952–1980 are presented. These results support the hypothesis that there has been a positive relationship between the price of coffee, money creation and inflation in Colombia.     

Forward-looking agents and inflation in an oil-producing country: Evidence from Iran

A monetary model of inflation was estimated on the oil-producing country of Iran for the period 1984:1–2016:4. It was found that expectations are formed rationally and that agents are forward-looking and adjust their behavior based on changes in government expenditure. Consequently, it was found that higher fiscal variables result in lower price levels over the long run. A higher oil price leads to a lower price in the country but to a higher money supply and interest rate over the long run. Furthermore, a higher domestic interest rate results in a higher price level, while the reverse is true for a higher foreign interest rate. Another cause of inflation in Iran is the foreign price level. It was found that over the short run a higher growth of the real government expenditure results in a lower inflation rate in the country but a positive change in the foreign interest rate brings in a higher inflation rate.     

Price and Output Stability under Price-Level Targeting

It is commonly believed that a monetary policy that targets the price level reduces the long-term variability of the price level, but only at the cost of increased variability of both inflation and output. We develop a model in which the one-step-ahead variance of output and the price level are lower under price-level targeting than under inflation targeting. This increased stability under price-level targeting works through an interest-rate channel that, to our knowledge, has not previously been emphasized in the literature. Surprisingly, if the sensitivity of demand to the real rate of interest is high enough, then the variance of inflation can also be lower under price-level targeting than under inflation targeting.     

中国农村人口迁移模型探索——一个对"民工荒"现象新的解释

本文构造了一个理论模型,得出了人口流动均衡条件,从而对“民工荒”现象做出了新的解释。本文的结论是迁移成本和就业概率决定了迁移人口的规模;农村工业部门的发展不仅分担城市就业压力,还缩小农民流动规模;农产品价格波动表示的农业剩余波动使得劳动力无限供给神话提前破灭,但并不意味着二元经济的终结。     

What Causes China＇s High Inflation？ A Threshold Structural Vector Autoregression Analysis

China＇s astonishing economic growth implies a necessity to understand its inflation. The present paper employs threshold nonrecursive structural vector autoregression analysis to explore the asymmetric effects of macro-variables on inflation in low and high inflation regimes. The empirical evidence demonstrates, first, that the reactions of inflation to various shocks are inflation-regime-dependent and asymmetric. Second, monetary policy influences China ＂s high inflation and adjusting the domestic interest rate in China may be an effective way to control inflation in a high inflation regime, but not in a low inflation regime. In a high inflation regime, a high inflation rate may cause the macro-policy authorities to increase the domestic interest rate, in an attempt to stabilize high inflation. Third, contrary to expectations, the world oil price is not a strong cost-push factor in a low inflation regime. Oil price increases may increase inflation in a high inflation regime, but there is no such obvious effect in a low inflation regime. Finally, China ＂s nominal effective exchange rate influences inflation in both low and high inflation regimes. A nominal effeetive exchange rate appreciation might be effective in controlling domestic inflation in both regimes.     

Inflation and Relative Price Variability: New Evidence for the United States

This article provides new evidence on the empirical relationship between inflation and relative prices in the United States. In line with the predictions of recent monetary search models, we find that the impact of expected inflation on relative price variability (RPV) has disappeared during the recent period when inflation expectations have been stabilized on a low level. Endogenous break‐point tests are applied to identify the timing and to confirm the significance of the changing role of inflation for RPV. The empirical findings are robust with respect to different price indices, disaggregation levels, and measurement concepts.     

Price‐Setting Behaviour in Lesotho: Stylised Facts from Consumer Retail Prices

This paper documents some of the main features of price‐setting behaviour by retail outlets in Lesotho over the period March 2002 to December 2009. These features include the frequency, size, duration and synchronisation of price changes. In addition, the paper compares price‐setting behaviour in Lesotho and South Africa using a comparable set of products. The findings reveal considerable heterogeneity in price‐setting behaviour across products, outlets, locations and time. Variations in inflation are strongly correlated with the average size of price changes, but rising inflation raises the frequency of price increases and reduces the frequency of price decreases. Price decreases constitute an important determinant of inflation movements. Surprisingly, the frequency and size of price changes in Lesotho differ substantially from those in South Africa, despite the presence of common retail chains and their joint membership in a customs union and common monetary area. These findings open up opportunities for further research into the sources of heterogeneity across products and Lesotho and South Africa in the setting of prices.     

China＇s Economy in 2007/2008： Coping with Problems of Runaway Growth

Fuelled by high domestic investment and rapid export expansion, China ＂s economy grew by ll.4 pereent in 2007, the highest increase since 1994 and the fifth eonseeutive year of double-digit growth. Such spectacular growth performance is unprecedented in the world＇s economic history. However, the Chinese Government is again worried about a possible ＂hard landing＂for the economy, as no economy can sustain very strong growth for extremely long period without overheating. Cracks in China ＂s economy are indeed emerging. The eonsumer priee index shot up to 6.9percent in November 2007, the highest level in a decade, with the annual inflation for 2007 rising to 4.S pereent, well above the government＇s ＂comfort level＂ of 3 percent. This prompted China＇s top leadership to declare that reducing economic overheating and curbing inflation would be the top poliey priorities for 2008. To contain such cost-push inflation, the government has to tackle its root causes, such as excessive liquidity, which is caused by the undervaluation of the renminbi, which in turn is attributable to China＇s chronic external and internal maeroeeonomie imbalances~ High growth is likely to continue in 2008, at around l O pereent, with inflation of S-6 pereent expected, despite the anticipated tighter maeroeeonomie control measures and the more troubled external economic environment （e.g. the expected US economic slowdown）. Regardless, China ＂s fundamental problems associated with runaway growth will largely remain. In addition, if the US economy slips into a serious recession, the Chinese economy will not be able to deeouple from it and escape unscathed.     

资产价格具有通货膨胀指示作用吗——基于LT-TVP-VAR模型的实证研究

资产价格变动通过财富效应等渠道影响总需求进而通货膨胀的变动,但其影响方向、强度及时变性尚有待进一步研究。本文通过建立包含潜在门限的时变参数向量自回归模型,实证研究房地产价格和股票价格对通货膨胀影响的时变特征。实证结果表明,房地产和股票价格均对通货膨胀产生显著的同向影响,并且影响强度表现出顺周期的时变规律。在资产市场发展的“繁荣期”,影响强度不断增强;而在“低迷期”,其影响趋弱甚至无效。当股票市场和房地产市场运行出现周期错配时,其通货膨胀效应更趋复杂和不确定。     

Exchange Rate Variability and the Macro-economy: Evidence from Developing and Developed Countries

Abstract

Using annual data, the paper studies the time-series evidence regarding the allocation of fluctuations in the exchange rate between demand components, real growth, and price inflation in a sample of developing and advanced countries. The evidence reveals patterns of interaction between the macro-economy and exchange rate variability. Across developing countries, appreciation decreases the cost of imports and price inflation, while depreciation shrinks the output supply, indicating high dependency on imported goods. The reduction in output supply correlates with higher inflation and an increase in the import value. In contrast, the evidence of the negative effect of currency appreciation on output growth is more prevalent across advanced countries, while depreciation stimulates competitiveness, resulting in higher demand for exports, investment and consumption. Across developing countries, exchange rate variability decreases trend real growth and increases trend price inflation. Across advanced countries, exchange rate variability decreases trend real growth while increasing the variability of price inflation and import growth. Minimizing variability of the exchange rate would be beneficial to sustain higher growth and reduce cyclical variability in developing and advanced countries.     

Inflation Transmission in Greater China

This paper examines inflation dynamics in Greater China. Using an asymmetric error correction model, we investigate how inflation in Hong Kong and Macao are related to inflation in Chinese Mainland. Our results based on data from July 1997 to December 2012 reveal that a long‐term equilibrium relation exists between inflation in Chinese Mainland and inflation in both Hong Kong and Macao, the two Special Administrative Regions of China. The degree of inflation pass‐through is higher for Macao than for Hong Kong. Moreover, we find no evidence of asymmetries in either Hong Kong and Macao's adjustment speeds towards long‐run equilibrium or in the short‐run pass‐through of accelerating or decelerating inflation in the Mainland. Collectively, our results show a close relationship among price dynamics of the three economies and call for a reconsideration of the exchange rate anchor in the Greater China Region.     

Inflation,Inflation Uncertainty,and Relative Price Variability

This paper tests three models that predict a relationship between the variability of relative price changes (RPV) and aspects of inflation such as expected inflation, unexpected inflation, and inflation uncertainty. These are, respectively, the menu-costs model, the Lucas-Barro signal-extraction model, and the Hercowitz-Cukierman extension of the Lucas-Barro model that allows for different price elasticities of supply across markets. The results imply rejection of the hypothesis that any one of the models entirely explains the relationship between inflation and RPV and also imply rejection of the hypothesis that the three models together jointly explain the relationship.