Globalization, Financial Volatility and Monetary Policy

Recently it has often been claimed that globalization eases the job of central banks as it helps to tame inflation. This is used to argue that central banks (particularly the ECB, referring to the objectives as laid down in the EU Treaty) could or should reduce their efforts in the fight against inflation in favor of supporting the general economic policies of the governments. This paper takes a critical look at this argument, pointing to the structural changes associated with globalization and to the corresponding increase in uncertainty by which the central banks are affected. As an example of this, the increase in financial volatility is analyzed and explained as the result of optimal portfolio allocation, and its implications for monetary policy are discussed.     

Interest Rate Volatility Prior to Monetary Union under Alternative Pre-Switch Regimes

Abstract. The volatility of interest rates is relevant for many financial applications. Under realistic assumptions the term structure of interest rate differentials provides an important predictor of the term structure of interest rates. This paper derives the term structure of differentials in a situation in which two open economies plan to enter a monetary union in the future. Two systems of floating exchange rates prior to the union are considered, namely a free-float and a managed-float regime. The volatility processes of arbitrary-term differentials under the respective pre-switch arrangements are compared. The paper elaborates the singularity of extremely short-term (i.e. instantaneous) interest rates under extensive leaning-against-the-wind interventions and discusses policy issues.     

Monetary Policy and Exchange Rate Volatility in a Small Open Economy

We lay out a small open economy version of the Calvo sticky price model, and show how the equilibrium dynamics can be reduced to a simple representation in domestic inflation and the output gap. We use the resulting framework to analyse the macroeconomic implications of three alternative rule-based policy regimes for the small open economy: domestic inflation and CPI-based Taylor rules, and an exchange rate peg. We show that a key difference among these regimes lies in the relative amount of exchange rate volatility that they entail. We also discuss a special case for which domestic inflation targeting constitutes the optimal policy, and where a simple second order approximation to the utility of the representative consumer can be derived and used to evaluate the welfare losses associated with the suboptimal rules.     

Fiscal Policy, Monetary Policy and the Exchange Rate

Domestic fiscal and monetary policy settings can influence the strength of the Australia dollar in a number of different ways.     

货币冲击、房地产收益波动与最优货币政策选择

与传统资产定价模型中风险收益权衡关系相悖,我国房地产市场存在投资异象和波动长记忆性特征。文章利用泰勒规则(Taylor Rule)的利率缺口,在剔除市场预期之后测度了中国市场的货币政策冲击,并基于房地产投资回报的时序数据波动聚集性和时变性特征构建GARCH(1,1)-M模型,以此度量我国房地产市场投资收益的波动演变路径,解释了央行实施加息的货币政策后当期房价反而上涨的投资现象。文章还立足于房地产市场参与人的投资特征,从行为金融学的全新研究视角出发,建立包含行为资产定价的动态模型经济系统,研究资产价格波动与最优货币政策选择问题,求得相应闭型解,为实施关注资产价格波动的最优货币政策提供理论基础。     

Overturning Mundell: Fiscal Policy in a Monetary Union

Central to ongoing debates over the desirability of monetary unions is a supposed trade-off, outlined by Mundell (1961) : a monetary union reduces transactions costs but renders stabilization policy less effective. If shocks across countries are sufficiently correlated, then, according to this argument, delegating monetary policy to a single central bank is not very costly and a monetary union is desirable.
This paper explores this argument in a setting with both monetary and fiscal policies. In an economy with monetary policy alone, we confirm the presence of the trade-off and find that indeed a monetary union will not be welfare improving if the correlation of national shocks is too low. However, fiscal interventions by national governments, combined with a central bank that has the ability to commit to monetary policy, overturn these results. In equilibrium, such a monetary union will be welfare improving for any correlation of shocks.     

关税、货币政策与中国实际均衡汇率

加入WTO后 ,降低进口品关税等措施将影响人民币均衡汇率水平 ,同时开放经济下国内货币政策、财政政策等宏观经济政策调整也会改变均衡汇率水平。本文运用动态一般均衡的方法 ,探讨中国在加入世界贸易组织之后 ,关税税率调整、货币供应量增长率改变、财政政策调整等措施对实际均衡汇率的长期效应。把货币引入生产函数和消费者的效用函数 ,我们扩展了由Turnovsky提出的两商品资本积累模型 ,利用参数赋值(calibration)的方法进行了均衡状态下的比较静态分析。研究发现降低进口品关税使人民币面临贬值压力 ,而政府增加税收 ,减少对贸易品的消费则有利于人民币的保值和升值。实证研究结果表明 :国外实际利率水平下降 ,实际货币供应量增长率降低都将引起人民币均衡汇率贬值。     

存款利率上限、金融脱媒与货币政策传导

文章在DSGE框架下引入抵押贷款约束和存款利率上限,研究了存款利率上限对货币政策传导的影响.根据我国的实际情况,文章允许存款利率在规定的上限内浮动,并分析了已有文献尚未涉及的存款利率上限偶然紧的情形.研究发现:(1)当央行采取紧缩性货币政策时,存款利率上限抑制了存款利率的上升,导致存款利率偏低,家庭的银行储蓄减少,从而产生金融脱媒现象;(2)金融脱媒导致银行可贷资金减少,引起贷款供给扭曲,贷款利率大幅上升,与没有存款利率上限的情形相比,经济波动更大;(3)偶然紧的存款利率上限具有非线性性质,使主要经济变量对扩张性与紧缩性货币政策冲击的脉冲反应存在不对称性.     

The Role of the Natural Rate of Interest in Monetary Policy

This paper examines the role of the natural rate of interestin the conduct of monetary policy. The natural rate figuresprominently in many theories of the business cycle and of inflationfluctuations, and therefore has the potential to play a keyrole in monetary policy given the current mandates of many centralbanks. However, the presence of financial imperfections andmeasurement uncertainty draw into question whether estimatesof the natural rate can be reliable indicators of excess demandpressures. Natural rate-based theories may, nonetheless, provideuseful guidance in the formulation of desirable monetary policies.(JELE21, E31, E43, E58)     

我国货币政策与人民币汇率的互动关系研究

基于SVAR模型研究我国货币政策与人民币汇率的相互作用关系,发现我国货币政策对汇率冲击的反应具有逆经济风向的操作特征,汇率升值,货币政策扩张;而人民币汇率对货币政策冲击的反应也符合经济理论,货币政策扩张会引起人民币汇率贬值。同时,在货币供应量作为货币政策变量时,汇率水平的反应表现为经典的超调现象,但在名义利率作为货币政策变量时,汇率的反应曲线则表现为延迟的超调现象。总体上,我国货币政策对人民币汇率变动非常敏感,相反人民币汇率对货币政策的反应相对较弱。     

当前我国"负利率"现状及货币政策选择

在当前的宏观经济形势下,我国的负利率对居民消费和储蓄、企业投资、商业银行的经营管理和资本市场等具有不同影响。综合考虑这些影响,央行目前不宜提高名义利率,而应该提高宏观经济调控水平,确保经济能够长期健康发展。     

城乡收入差距、人均收入及失业率对犯罪率的影响——基于2003～2007年我国省级数据的面板分析

本文通过固定效应模型分析了收入差距、失业率、城乡绝对收入水平对刑事犯罪率的影响,并且对执法警力支出可能产生的内生性影响进行稳健性讨论.分析得出收入差距与犯罪率存在显著的正相关,而失业率对犯罪率的影响并不显著,且城乡绝对收入水平对犯罪率产生反向的影响.在减少收入分配不公的同时加强新农村建设,缩小城乡收入差距,完善社会福利制度和加强法制建设,有利于降低犯罪率,促进和谐社会发展.     

英文摘要

LI Cheng, LI Ke-jun, MA Wen-tao （School of Economics and Finance, Xi＇an Jiaotong University, Xi＇an 710061, China） Abstract： This paper applies the simulation method on the basis of Dynamic Stochastic G...     

人民币汇率水平与波动程度对我国出口的影响

在不存在价格粘性的情况下,汇率贬值促进出口贸易,而汇率波动程度的影响取决于企业的目标选择,即以总收益期望最大化还是以净利润变动最小化为目标.实证发现,我国企业以总收益期望最大化为目标,而忽略汇率风险管理与控制,我国出口增长主要得益于生产成本优势,而汇率水平与波动程度的贡献很小.这解释了为何人民币升值并没有明显阻碍我国出口的增长.     

Time Inconsistency and the Exchange Rate Channel of Monetary Policy

This paper analyses time–inconsistency problems related to the exchange rate channel of monetary policy. Within a simple open–economy macroeconomic model, where the exchange rate is the only forward–looking variable, we show that a difference emerges between optimal policy under discretion and under commitment. Moreover, the nature of the time–inconsistency problem resembles that resulting from standard New Keynesian models: when cost–push shocks occur, the exchange rate channel gives rise to excessive output stabilisation and insufficient inertia in monetary policy under a discretionary policy.
JEL classification : E 42; E 52; E 61     

Money,Interest Rate and Foreign Exchange Rate As Indicator Variables Of Monetary Policy

Since monetary policy operations affect the ultimate targets such as real income and prices with considerable time lags, this papers attempts to identify the indicator variable of monetary policy in Korea by using autoregression tests, variance docompositions of VAR forecasts and cointegration analyses. The results show that in Korea unlike the U.S., a broad concept of money, interest rate and foreign exchange rate, taken together, could serve as the indicator variables. In particular, M3, But not M2 nor MCT, is significantly related to real income both in the short-run and in the long-run. Such a finding rejects the practice of controlling either M2 or MCT which the Korean monetary authority had exercised before implementing the recent IMF financial-reform program. [E5]     

A Theoretical Analysis of Trade Union Membership Fees, Bargaining Power, Wage Rate and Unemployment

The positive effect of membership fees on trade unions' cohesion and commitment and the adverse effect of these fees on trade unions' density imply that the effects of membership fees on trade unions' bargaining power, wage rate and unemployment can be depicted by inverted U-shaped curves whose upper bounds are reached when membership fees are set at half the ratio of the upper-bound on members' level of satisfaction from the trade union services to their disposable income rate. The implications of these effects for membership fees are analysed for a trade union that sets its membership fee so as to minimise the loss stemming from missing wage rate and unemployment targets.     

开放经济下的货币政策效果

文章从我国目前货币政策的效果分析入手 ,提出国内货币政策运行机制改革和外汇体制改革必须结合进行 ,以及汇率和利率政策的搭配问题。提出要提高我国货币政策的有效性 ,必须将固定汇率制转变到管理的浮动汇率制上来 ,逐步加强中央银行对外汇市场的宏观调控和加强我国货币市场建设 ,完善对货币供应量内生性波动的冲销手段。     

The Cost Channel of Monetary Transmission and Stabilization Policy in a Post-Keynesian Macrodynamic Model

This paper develops a macrodynamic model that takes into account the potentially inflationary consequences of interest rate manipulations through the cost channel of monetary transmission. Evaluations of the macroeconomic implications of the cost channel are common in the mainstream literature. But this literature uses supply-determined macro models and provides standard optimizing microfoundations for the various ways in which the interest rate can affect mark-ups, prices and ultimately the form of the Phillips curve. Our purpose is to study the implications of different Phillips curves, each embodying the cost channel and derived from Post-Keynesian, cost-based-pricing microfoundations, in a monetary-production economy. We focus on the impact of these Phillips curves on macroeconomic stability and the consequent efficacy of stabilization policy. Ultimately, our results suggest that the presence of the cost channel is less significant for stabilization policy than the general orientation of the policy regime. These results corroborate earlier findings that, in a monetary-production economy, more orthodox policy regimes are inimical to macro stabilization.     

股价波动、社会福利与货币政策制定——基于中国DSGE模型的模拟分析

文章构建了一个包含股票市场财富效应和稳态股利水平且反映中国现实特征的DSGE模型,通过扩展的货币政策泰勒规则,考察了面对技术冲击、利率冲击和股票市场冲击时,中央银行应如何制定货币政策以保持产出、价格和股票市场的稳定,并尽可能地降低社会福利损失.结果表明,货币政策考虑股价波动能够有效降低社会福利损失;中央银行存在多重调控目标时需要注意区分冲击的类型来相机抉择,在利率冲击下,货币政策应当对股价波动做出反应,而在技术冲击和股票市场冲击下,则需要在各个经济变量之间进行权衡.