前瞻性货币政策的微观传导机制有效吗*——来自中国上市企业资产负债表的证据

本文根据新古典资本需求理论和实际余额效应理论建立了一个包含投资需求和投资效率的前瞻性泰勒规则模型,并构造了一个反映企业投融资需求状况的企业综合状况指数,将其引入扩展的前瞻性泰勒规则模型,然后从宏观和行业两个层面对加入企业综合状况指数的前瞻性泰勒规则进行了检验和比较。研究发现：（1）前瞻性利率传导的企业资产负债表渠道基本有效,短期名义利率对于超过80%行业的企业综合状况指数缺口的反应系数显著,但对不同行业的反应差异较大;（2）短期利率对企业综合状况的反应系数较小,而对通胀缺口和产出缺口的反应系数相对较高,显示货币当局调整利率可能更多的是针对通胀缺口和产出缺口反应;（3）货币政策对资产价格“反应不足”,其对股价的反应系数非常小,对房价的反应系数不显著。     

通货膨胀目标区与非线性泰勒法则

本文采用STR、TV-STR模型,利用1991年1月至2010年3月的月度数据分析了我国货币政策反应函数,与现有中国货币政策反应函数的文献相比主要有以下几个结论:第一,我国货币政策反应函数存在着结构变化,先是在1997年11月突变,然后存在一个渐变过程.第二,1997年11月前后相应存在着两个通货膨胀目标区,分别为[14.109,16.123]和[0.985,2.902],且后一通货膨胀目标区要比前一通货膨胀目标区合理.第三,随着时间推移,我国货币政策反应函数的产出缺口反应系数,逐渐由负转正,利率平滑系数则逐渐变小,这反应了随着我国利率市场化的推进,我国的货币政策操作开始越来越多的使用利率这一价格工具.     

EXCHANGE RATE STABILISATION, LEARNING AND THE TAYLOR PRINCIPLE

The paper explores whether central banks can keep their interest rates independent from given foreign rates, and to what extent interest policies designed to stabilise nominal exchange rate changes can be applied instead of, or in addition to, the traditional interest rate response to inflation gaps. This modification of a Taylor Rule is analysed in a simple macro model with some New Keynesian features. Information is imperfect; agents cannot build rational expectations but try to learn 'true' market relations. Results show that the Taylor Principle can be generalised in an open economy with flexible exchange rates.     

Central Banking and Post-Keynesian Economics

Abstract

The Post-Keynesian theory of endogenous money has given much attention to the role of the central bank in the money creation process. Circuit theory has neglected this role, in so far as it has focused on the relationship between banks and firms within a monetary production economy. The aim of this paper is therefore twofold. First, it intends to fill this gap in circuit theory, by providing a role for the central bank in settlement of interbank debts. Secondly, it aims at reinforcing the Post-Keynesian analysis of central bank money by considering both the money-purveying and the credit-purveying roles of the settlement institution in the interbank market. The result of this analysis is a more comprehensive theory of endogenous money, where the lender-of-last-resort facilities of a central bank are viewed as an endogenous phenomenon involving both a money creation and a credit operation between the central bank and the domestic banking system. In such a framework, monetary policy consists of setting the base rate of interest at a level that enables banks to limit their bilateral debt position in the interbank market, so as not to disrupt the workings of the payment system by either an illiquidity or an insolvency crisis.     

Rethinking the Theory of Money,Credit, and Macroeconomics: A Review Essay

ABSTRACT

This essay presents an overview and assessment of John Smithin's 2018 book Rethinking the Theory of Money, Credit, and Macroeconomics. Smithin continues the projects of Keynes and Minsky with the aim of providing a general account what how the macroeconomy actually works. The essay evaluates Smithin's alternative monetary model of the economy in the light of several key Post-Keynesian themes.     

The role of exchange rate in inflation targeting: the case of Turkey

ABSTRACT

The role of the exchange rates in emerging market economies that have adopted inflation targeting (IT) is a critical and contentious issue in the relevant literature. This article investigates whether an exchange rate-augmented Taylor rule describes the Central Bank of Republic of Turkey’s (CBRT) monetary policy. Covering the period from 2002:1 to 2017:8 it also explores possible nonlinearities in the reaction function of the CBRT by employing a Threshold Vector Autoregressive (TVAR) model. The linear estimation of the model highlighted the importance of the exchange rate in monetary policy under IT. The results of the nonlinear model indicate that the stance of monetary policy was asymmetric with respect to exchange rate movements during the conventional IT period. However, the asymmetric monetary policy stance disappeared in the aftermath of the Global Financial Crisis. Increasing considerations of financial stability undermined the asymmetric policy stance of the CBRT in the post-crisis period.     

Estimating a monetary policy reaction function for the dominican republic

Abstract

The paper specifies and estimates a hybrid McCallum–Taylor monetary policy reaction function for the Dominican Republic (DR). The estimated reactions suggest that the Central Bank of the DR has been biased towards targeting the exchange rate. These findings are in line with the evidence on the fear-of-floating characteristic of developing countries. An evaluation of the estimated rule's historical performance shows that monetary base growth below (above) that implied by the ‘average’ policy reaction is associated with better (worse) macroeconomic performance.     

What Does the Taylor Rule Say About a New Zealand–Australia Currency Union?*

It has been suggested that the New Zealand economy may have similar characteristics and face similar shocks to some Australian states, so lowering the costs of a trans‐Tasman currency union. We test this, under the assumption that differences in Taylor rule‐implied interest rate paths for different regions give an indication of differences in aggregate shocks that hit different economies. We compare implied Taylor rule interest rates for each of the Australian states to implied Taylor rule rates for New Zealand. We also compare them to realised 90‐day rates. We find that the Taylor rule‐implied rates in Australian states and in New Zealand are similarly correlated with actual Australian interest rates.     

Modifying Taylor reaction functions in the presence of the zero‐lower‐bound — Evidence for the ECB and the Fed

We propose an alternative way of estimating Taylor reaction functions if the zero‐lower bound on nominal interest rates is binding. This approach relies on tackling the real rather than the nominal interest rate. So if the nominal rate is (close to) zero central banks can influence the inflation expectations via quantitative easing. The unobservable inflation expectations are estimated with a state‐space model that additionally generates a time varying series for the equilibrium real interest rate and the potential output — both needed for estimations of Taylor reaction functions. We test our approach for the ECB and the Fed within the recent crisis. We add other explanatory variables to this modified Taylor reaction function and show that there are substantial differences between the estimated reaction coefficients in the pre‐ and crisis era for both central banks. While the central banks on both sides of the Atlantic act less inertially, put a smaller weight on the inflation gap, money growth and the risk spread, the response to asset price inflation becomes more pronounced during the crisis. However, the central banks diverge in their response to the output gap and credit growth.     

A Post-Keynesian Model of Accumulation with a Minskyan Financial Structure

Abstract

Minsky's theory of financial instability is a strong alternative to neoclassical theory. Many Post-Keynesian authors use this analysis in order to elaborate models that give rise to crises or business cycles. Nevertheless, none of them has directly linked growth and financial structure. This article proposes a simple macroeconomic model linking the accumulation of capital and the state of the financial structure as defined by Minsky. The analysis shows how a capitalist economy may become financially fragile, and it suggests that instability is apt to be the rule.     

Asset price momentum and monetary policy: time-varying parameter estimation of Taylor Rules

In this article, we consider two new independent variables as inputs to the Taylor Rule. These are the equity and housing momentum variables and are introduced to investigate the potential usefulness of these two variables in guiding the Fed to lean against potential bubbles. Such effectiveness cannot adequately be evaluated if the Taylor Rule estimation follows the standard regression methodology that has been criticized in the literature to be econometrically incorrect. Using a time-varying parameter estimation methodology, we find that equity momentum as an input in the Taylor Rule does not contribute to changes in Fed Funds. However, the housing momentum plays an important role econometrically and can be a useful tool in setting Fed Funds rates.     

The tax-rate induced bond substitution hypothesis and the traditional textbook treatment of the relationship between tax-free and taxable bond yields

ABSTRACT

This empirical study posits and tests the ‘tax-rate induced bond substitution hypothesis,’ wherein the propensity for bond buyers to substitute tax-exempt municipal bonds for taxable bonds in their portfolios is hypothesized to be an increasing function of the maximum federal personal income tax rate. This substitution acts to elevate the real interest rate yield on taxable bonds while diminishing it on tax-exempt bonds, ceteris paribus. Two measures of real interest rates are included in the present analysis, ex post real interest rate and ex ante real interest rate. Empirical estimations for the 1981–2018 period provide strong support for the hypothesis. They reveal that the real interest rate yield on high-grade tax-exempt municipal bonds is a decreasing function of the maximum marginal federal personal income tax, whereas the real interest rate yield on taxable ten-year Treasury notes is an increasing function of that same tax rate. We examine the implications of this study and the information underlying it for the traditional formulaic textbook treatment of the relationship between yields on bonds whose interest rate payments are taxable versus those whose interest rate payments are tax exempt and find it is not as dependable as the textbooks would have us believe.     

基于标准泰勒规则的我国货币市场利率偏离估算

本文利用泰勒规则方法对我国货币市场利率偏离程度进行了估算。对我国货币政策反应函数的经验分析表明,我国货币政策并不符合稳定货币政策规则要求。标准泰勒规则具有良好的稳健性。根据泰勒规则原式及稳定货币政策规则最低条件计算结果表明,我国货币市场利率长期存在负的利率缺口,货币政策对通胀和产出缺口并不是稳定的,更不是最优的,货币政策存在着长期偏误。这对进一步理解我国的通货膨胀和宏观经济波动,合理评价货币政策,提供了新的视角。     

Central Bank Behavior, the Institutional Framework, and Policy Regimes: Inflation Versus Noninflation Targeting Countries

This article estimates central bank reaction functions for 20 OECD countries. It bridges the gap between the Taylor reaction function literature and the political-economy literature. Central banks react to both inflation and the output gap. Moreover, inflation-targeting countries have been able to reduce nominal interest rate to a greater extent than have non-inflation-targeting countries. Countries with fixed exchange rates react more strongly to inflation but not at all to the output gap, unlike countries with floating rates. Political influences also seem relatively more important in fixed exchange rate countries. Central bank independence also helps reduce nominal interest rates. (JEL E58 , C31 , C32 , C53 )     

Profit Expectations and Confidence: Some unresolved issues in the Austrian/Post-Keynesian debate

Austrian and Post-Keynesian economists both continue to make important contributions to subjectivism in economics. Yet, as the ongoing debate between members of the two schools demonstrates, Austrians and Post-Keynesians have very different views about the possibility of intertemporal coordination in a market economy. This paper returns to the debate between Hayek and Keynes in order to respond to a contemporary Austrian critique of Keynes's theory of expectations. The paper shows that the fundamental difference between the two schools ultimately boils down to the nature of conventional expectations and the question of confidence. If the conventional expectation holds to assume the future will look enough like the present to give investors confidence in their decisions, Hayek's arguments about the possibility of intertemporal coordination merit attention. If, however, this convention does not hold, as Keynes thought was sometimes likely, the self-regulating potential of a market economy is called into question.     

Estimating monetary policy reaction functions for emerging market economies: The case of Brazil

The paper investigates monetary policy in Brazil following a shift to a floating exchange rate alongside inflation targeting adoption. The benchmark reaction function reveals that the Central Bank behaves according to the Taylor principle by raising the overnight Selic policy interest rate more than the amount by which expected inflation exceeds the target. The investigation also considers a data-rich environment via an excess policy response containing information from a panel of 45 economic time series. The excess policy response carries a positive and significant coefficient in the reaction function including only an inflation gap variable.     

Comparing monetary policy reaction functions: ECB versus Bundesbank

This paper compares the European Central Bank’s (ECB) conduct of monetary policy with that of the Bundesbank. Estimated monetary policy reaction functions show that the ECB reacts similarly to expected inflation but significantly stronger to the output gap than the Bundesbank did. Theoretical considerations suggest that this stronger response to the output gap may rather be due to a higher interest rate sensitivity of the German output gap than to a higher weight given to output stabilisation in the objective function of the ECB. Counterfactual simulations based on the estimated interest rate reaction functions reveal that German interest rates would not have been lower under a hypothetical Bundesbank regime after 1999. However, this conclusion crucially depends on the assumption of an unchanged long-run real interest rate for the EMU period and is reversed when the Bundesbank reaction function is adjusted for the lower long-run real interest rate estimated for the ECB regime.

Confronting the Trilemma: Culture,Institutions, and Macroeconomic Disequilibria

Abstract

Although the fundamental trilemma of open-economy macroeconomics has been a popular framework for analyzing the effects of various policy combinations, it ignores how policy regimes change. Drawing from Post-Keynesian Institutionalist theory, this article considers this process in democracies as a type of technological change in which progress may be limited by insufficient knowledge and actions by vested interests. A case study of interwar France shows that these barriers often delay or weaken stabilization programs, which increase both political and economic uncertainty that further lowers aggregate demand and inhibits the attainment of macroeconomic equilibria. Although we should not generalize these observations, they suggest that understanding and addressing cultural and institutional factors may be necessary for successful countercyclical policymaking.     

The Simple Post-Keynesian Monetary Policy Model: An Open Economy Approach

Monetary policy with an inflation targeting rule is analyzed through a simple small-scale Post-Keynesian model that incorporates open economy issues. In contrast with previous Post-Keynesian attempts, the model embodies policy authorities that are committed not only to hitting inflation and/or output targets, but also to the achievement of the external balance. To take account of the external balance objective, we model the real exchange rate as an endogenous and moving target, with the nominal exchange rate being the instrument of that target. The model shows that in response to an adverse external shock the central bank has to consider first the required real exchange rate adjustment that will preserve the external balance, and secondly the level at which the interest rate must be set in order to maintain inflation stabilization. Keeping inflation to target requires higher interest rates and strong reliance on the unemployment channel which, under certain circumstances, also has adverse side effects on income distribution. We show that to deal with an exogenous external shock a policy mix of real exchange rate targeting and income distribution targeting outperforms inflation targeting.     

"机会主义"策略及其在中国货币政策中的运用

本文融合"机会主义"货币政策时变中间目标和阈值效应的特征,提出了含时变产出中间目标的"机会主义"货币政策规则,并利用时变阈值的"泰勒规则"从通胀和产出两方面对我国货币政策规则进行了考察.研究表明,我国利率的调节同时兼顾了经济增长和物价稳定,且调节程度依赖于通胀、产出与其中间目标的偏离程度,表现出"机会主义"货币政策策略的特征.利率对经济增长与其中间目标较小的偏离([-1.478,1.522])就会作出反应,而对通货膨胀与其中间目标较大的偏离([-2.55,2.15])才会作出反应.在我国"十二五"期间,为了实现促进经济平稳较快发展和保持物价总水平基本稳定的总体目标,我国货币政策应该采取更加灵活成熟的"机会主义"策略,调整对通货膨胀调节的力度和敏感度,同时应增强经济可能遭受负面冲击的预期,努力实现"控通胀稳增长"的目标.