The unconventional monetary policy of the European Central Bank: Effectiveness and transmission analysis

Since the beginning of the financial crisis in summer 2007, the European Central Bank (ECB) has redirected traditional monetary policy, based on interest rates, to an unconventional monetary policy focused on the quantitative expansion of its balance sheet. In this context, the present paper aims to assess the effectiveness of unconventional monetary policy instruments with regard to inflation and economic growth. To this end, the methodology is based on the estimation of a structural vector autoregressive model for the period 2007:Q1–2018:Q4, using four variables: EONIA, the total amount of assets on the ECB's balance sheet, the Eurozone inflation rate and the Eurozone economic growth rate. The results show a slight impact of the different balance sheet policies on inflation and economic activity behaviour, especially during the last year of the financial crisis. The robustness of these results is supported by the estimation of the same model replacing EONIA rates with shadow rates. Therefore, the results support the existence of monetary transmission for the period during which the unconventional monetary policy was developed as well as the effectiveness of the monetary policy adopted by the ECB in its commitment to price stability.     

房价上涨、通货膨胀与货币政策的选择

在房价上涨助推通货膨胀理论分析的基础上,采取VAR和条件均值模型对房价上涨是否助长了通货膨胀以及货币政策的切入时机进行实证分析。结果显示,房价上涨通过影响总需求对通货膨胀有正向推动作用,房价上涨超过5%的6个月后存款准备金率上调,超过10%的12个月后利率上调。对此,提出积极调控房价并适时调整货币政策的建议。     

Optimal monetary policy in a currency union with interest rate spreads

We introduce “financial imperfections” – asymmetric net wealth positions, incomplete risk-sharing, and interest rate spreads across member countries – in a prototypical two-country currency union model and study implications for monetary policy transmission mechanism and optimal policy. In addition to, and independent from, the standard transmission mechanism associated with nominal rigidities, financial imperfections introduce a wealth redistribution role for monetary policy. Moreover, the two mechanisms reinforce each other and amplify the effects of monetary policy. On the normative side, financial imperfections, via interactions with nominal rigidities, generate two novel policy trade-offs. First, the central bank needs to pay attention to distributional efficiency in addition to macroeconomic (and price level) stability, which implies that a strict inflation targeting policy of setting union-wide inflation to zero is never optimal. Second, the interactions lead to a trade-off in stabilizing relative consumption versus the relative price gap (the deviation of relative prices from their efficient level) across countries, which implies that the central bank allows for less flexibility in relative prices. Finally, we consider how the central bank should respond to a financial shock that causes an increase in the interest rate spread. Under optimal policy, the central bank strongly decreases the deposit rate, which reduces aggregate and distributional inefficiencies by mitigating the drop in output and inflation and the rise in relative consumption and prices. Such a policy response can be well approximated by a spread-adjusted Taylor rule as it helps the real interest rate track the efficient rate of interest.     

资产价格、通货膨胀与货币政策的动态分析:理论与中国实践

传统的CPI和GDP平减指数仅仅涵盖了普通商品和服务,股票和房地产等资产价格上涨的因素并不包括在内。随着现代金融的不断深化,通货膨胀与资产价格的内在关系越来越被人们所关注。虽然刚刚经历了2008年的金融危机,2009年房地产价格仍然不断快速上涨,有关泡沫的言论不断升温。探寻资产价格变化与通货膨胀预期的内在关系,完善货币政策对于资产价格的反应机制,对于维护经济金融的平稳发展意义重大。     

房地产泡沫的虚拟经济决定论及其实证检验

现代房地产具有虚拟资产特征。对房地产泡沫的虚拟经济决定论的实证检验包括:房地产价格与货币政策、利率政策、信贷波动及股价各自之间的相关检验。结果发现,货币供应量、利率等虚拟经济变量对房地产价格都存在显著的影响。整体而言,来自中国的实证分析初步支持了房地产泡沫的货币推动假说,房地产泡沫是一种货币现象的判断。     

Customer Markets,Inflation and Unemployment in a Dynamic Model with a Range of Equilibria

The paper presents a dynamic model incorporating a range of non‐accelerating‐inflation rates of unemployment (NAIRU) obtained according to the theoretical framework proposed by the customer markets literature. The analysis of the dynamic adjustments of unemployment and inflation emphasizes the real effects of demand shocks. Changes in the fiscal and monetary policy can exert permanent effects on output and unemployment, both determining persistence in the unemployment rate and selecting the actual steady‐state equilibrium within the NAIRU range.     

Managing an Economy Under EMU: The Case of Ireland

Ireland's experience of limited monetary independence within the EMS indicated that such independence was bought at the price of significant risk premia on interest rates. This experience informed its decision to join EMU, and membership has resulted in the expected credibility gain. Since the start of EMU inflation in consumer prices in Ireland has risen well above the EU average. However, this need not be a matter of concern within a monetary union. Instead, what should concern the Irish administration is a high rate of inflation in wage rates and domestic asset prices chiefly housing. While monetary policy is no longer available as an instrument of domestic policy, fiscal policy can still be used to effectively target these problems. The lessons of the first three years of membership is that the focus of fiscal policy within Ireland needs to change, and that the EU institutions also need to focus more clearly on the needs of the Euro area rather than on those of individual regional economies.     

Is the US Dollar a Suitable Anchor for the Newly Proposed GCC Currency?

Responses of inflation and non‐oil output growth from the Gulf Cooperation Council (GCC) countries to monetary policy shocks from the United States (US) were estimated to determine whether there is evidence to support the US dollar as the anchor for the proposed unified currency. A structural vector autoregression identified with short‐run restrictions was employed for each country with Fed funds rate as the US monetary policy instrument, non‐oil output growth and inflation. The main results suggest that for inflation, the GCC countries show synchronised responses to monetary policy shocks from the US which are similar to inflation in the US, and for non‐oil output growth, there is no clear indication that US monetary policy can be as effective for the GCC countries as it is domestically. Consequently, importing US monetary policy via a dollar peg may guarantee only stable inflation for the GCC countries – not necessarily stable non‐oil output growth. If the non‐oil output response is made conscientiously – and there are concerns over the dollar’s ability to perform its role as a store of value – a basket peg with both the US dollar and the euro may be a sound alternative as confirmed by the variance decomposition analysis of our augmented SVAR with a proxy for the European short‐term interest rate.     

Optimal monetary policy in a currency area

This paper investigates how monetary policy should be conducted in a two-region general equilibrium model with monopolistic competition and price stickiness. This framework delivers a simple welfare criterion based on the utility of the consumers that can be used to evaluate monetary policy in a currency area. If the two regions share the same degree of nominal rigidity, the terms of trade are completely insulated from monetary policy and the optimal outcome is obtained by targeting a weighted average of the regional inflation rates. These weights coincide with the economic sizes of the region. If the degrees of rigidity are different, the optimal plan implies a high degree of inertia in the inflation rate. But an inflation targeting policy in which higher weight is given to the inflation in the region with higher degree of nominal rigidity is nearly optimal.     

A POST‐KEYNESIAN AMENDMENT TO THE NEW CONSENSUS ON MONETARY POLICY

A common view is now pervasive in policy research at universities and central banks, which one could call the New Keynesian consensus, based on an endogenous money supply. This new consensus reproduces received wisdom: in the long run, expansionary fiscal policy leads to higher inflation rates and real interest rates, while more restrictive monetary policy only leads to lower inflation rates. The paper provides a simple four‐quadrant apparatus to represent the above, and it shows that simple modifications to the new consensus model are enough to radically modify received doctrine as to the likely effects of fiscal and monetary policies.     

Towards adopting inflation targeting: The credibility and limitations of monetary policy under the fixed exchange system—the case of Jordan

In this paper, the interest rate pass‐through is examined within its intermediate lag of action to shed light on the credibility of monetary policy in Jordan, where the reputation of low inflation is imported through a fixed exchange rate system to the US dollar. We use time series methods which allow us to test for asymmetric adjustment. The results are compared to that of two inflation targeting countries at time proceeding building the credibility of price stability domestically: New Zealand and the UK. The empirical findings suggest that the interest rate pass‐through in Jordan is weak and slow. In addition, our results indicate the existence of non‐competitive pricing behaviour in the market. Comparing the results to the two inflation targeters, the study suggests that Jordan needs to move to a more resilient exchange rate arrangement.     

How Large Is the Risk of Stagflation in the Eurozone?

The rapid recovery of demand combined with supply constraints has led to rising prices during the past months. This is evident in oil and gas markets, but also in international trade, which has been thrown out of step by bottlenecks at Asian ports. This situation creates a trade-off for the European Central Bank, because a more expansionary monetary policy cannot mitigate the supply bottlenecks and supply-side restrictions, while a more restrictive monetary policy would slow down the economic recovery. For this reason, key interest rate hikes in the eurozone are not to be expected for 2022. If the supply-side factors become persistent and wage policy tries to pass the price effects on, monetary policy will be forced to become restrictive.

     

我国货币政策调控对产出和通胀影响的水平效应和波动率效应研究——基于VAR模型和局部投影模型冲击反应函数的实证分析

在“三重压力”下，我国货币政策调控要实现“稳增长”和“防通胀”在水平值和波动率上的“双重稳定”,既要保持适度经济增速，又要防止通货膨胀快速上升，还要防止产出和通胀波动形成的经济风险。为此，文章使用了局部投影方法和VAR模型方法计算了数量型和价格型货币政策的冲击反应函数，以此刻画货币政策对产出增长率和通货膨胀率的水平值和波动率的动态效应。实证结果表明，数量型货币政策对经济增长率和通货膨胀率均具有水平值上的显著正向效应，同时具有降低产出波动而提升通胀波动的冲击效应；价格型货币政策也对经济增长率和通货膨胀率具有显著正向效应，同时具有降低产出波动率和通胀波动率的双重稳定功能。因此，当前货币政策操作仍然要以价格型货币政策为主，以此实现货币政策逆周期和跨周期调控功能。     

零利率下限约束、宏观经济波动与混合型货币政策框架

宏观经济持续低迷引发学界关于货币政策有效性的广泛讨论。本文构建包含名义利率零下限约束的混合型货币政策框架,据以系统比较存在和不存在零利率下限约束两种情形下宏观经济波动异质性以及货币政策有效性的差异。研究发现,总需求下降时零利率下限约束情形下产出下降和通缩程度更为严重;总供给下降不会引致名义利率触及零利率下限以致宏观经济波动演变无明显差异;零利率下限约束情形下央行数量型调控的有效性显著降低,价格型调控则完全失效。本文认为考虑零利率下限约束的建模更宜刻画现实经济周期和宏观调控效力,忽视零利率下限约束会对宏观经济预判和政策调控有效性的认识产生偏误;需求低迷环境下“数量型调控为主、价格型调控为辅”的政策组合仍为央行合意的货币调控范式,央行须更加关注降低实际资金利率;政府应注重宏观政策协调配合,实施更加积极的财政政策以与货币政策发挥有效政策合力,促使实体经济趋稳高质发展以摆脱利率下限约束困境。     

MONETARY AND FISCAL INTERACTIONS: SHORT‐RUN AND LONG‐RUN IMPLICATIONS

We model policy interactions in a growing economy. Unemployment can persist and matters for the real wage; conflicting claims underpin inflation outcomes; and aggregate demand determines capacity utilization and unemployment. Monetary policy is characterized by a Taylor rule. Fiscal policy is characterized by a marginal tendency to run deficits or surpluses. We address three questions: can monetary policy ensure macroeconomic stability in the absence of coordinated fiscal policy, can fiscal policy ensure macroeconomic stability when the monetary authority pegs the interest rate, and can policy authorities trade‐off some sustained inflation for a long‐run improvement in unemployment rates?     

ARE LONG‐RUN PRICE STABILITY AND SHORT‐RUN OUTPUT STABILIZATION ALL THAT MONETARY POLICY CAN AIM FOR?

A central tenet of the so‐called new consensus view in macroeconomics is that there is no long‐run trade‐off between inflation and unemployment. The main policy implication of this principle is that all monetary policy can aim for is (modest) short‐run output stabilization and long‐run price stability, i.e. monetary policy is neutral with respect to output and employment in the long run. However, research on the different sources of path dependency in the economy suggests that persistent but nevertheless transitory changes in aggregate demand may have a permanent effect on output and employment. If this is the case, then, the way monetary policy is run does have long‐run effects on real variables. This paper provides an overview of this research and explores conceptually how monetary policy should be implemented once these long‐run effects are acknowledged.     

不完全汇率传递下的货币政策工具规则分析

本文尝试构建一个开放条件下的总供给-总需求模型,通过名义进口价格刚性在模型中引入汇率传递因素。模型对各种货币政策工具规则下社会福利损失函数进行比较,考察在不同的汇率传递程度下的各种货币政策工具规则。研究结果显示,社会福利水平随着汇率传递程度下降而提高;货币政策工具规则对消费者物价指数(CPI)上涨作出反应一定程度上优于对国内制造商品价格上涨作出反应,制定的货币政策工具规则应该以CPI为目标,以使社会福利损失最小。     

风险承担渠道：货币政策信贷传导渠道新探

近年来,＂风险承担渠道＂作为货币政策传导的一条新渠道,逐渐引起学界和业界的广泛关注。2008年爆发了全球性金融危机,反思其成因,＂过低的利率＂被一些学者认为是重要的诱因之一。长时期过于宽松的货币政策将引起投资者风险偏好的上升,导致金融不平衡的累积。风险承担渠道的研究表明,追求物价稳定的宽松货币政策对金融稳定产生了负面的影响。物价稳定与金融稳定双重目标的有效实现,需要货币政策与宏观审慎政策的协调配合。     

政策协调、产业结构升级及宏观经济效应分析

不同模式的宏观政策协调不但会对产业结构优化产生差异性影响,也会影响产业结构优化带来的宏观经济效应。本文在新凯恩斯框架下构建理论模型,并基于贝叶斯参数估计和数值模拟分析政策协调对产业结构优化以及宏观经济效应的影响。研究发现:数量型货币政策比价格型货币政策更有利于产业结构优化,收入型财政政策比支出型财政政策更有利于产业结构优化;价格型货币政策和收入型财政政策的政策协调更有利于产业结构优化对消费、就业和产出的促进作用,数量型货币政策和支出型财政政策的政策协调更有利于产业结构优化对通货膨胀的稳定作用;货币政策对产业结构优化升级这一目标与稳定经济波动这一目标存在着Trade Off现象,财政政策对产业结构优化升级这一目标与促进经济增长这一目标存在着Trade Off现象。因此,建议采取货币政策为主、财政政策为辅的宏观经济调控政策,具体操作体现在减息为主结合降低税率水平为辅的政策协调组合来应对经济增速下滑和产业结构升级。     

Impacts of short-term interest rates on stock returns and exchange rates: Empirical evidence from EAGLE countries

In this study, we estimate Bayesian vector autoregression (BVAR) and time-varying structural VAR (TVP-VAR) models for Brazil, Indonesia, Mexico and Turkey to analyze the impacts of short-term interest rates on stock prices and exchange rates considering the relationships between these variables. BVAR and TVP-VAR models’ estimations indicate that monetary policy decisions of these countries lead to capital movements as well as capital movements may create a considerable amount of variation in exchange and stock markets both in the periods of economic stability and financial crisis. We also reveal that increases in interest rates intending to prevent capital outflows may lead to decrease in stock returns, which in turn may deteriorate the real economic activity in Indonesia, while changes in short-term interest rates in Brazil, Indonesia and Turkey cannot be used as a tool to stabilize the value of their home currencies against the USD. Our study highlights the importance of formulating an optimal monetary policy framework accompanied by macro-prudential polices, which help to reach inflation target and smooth the possible variations in exchange rates and stock prices during economic crisis conditions in Brazil, Indonesia, Mexico and Turkey.