货币当局的目标锚定及其前瞻性决策规则北大核心

本文将前瞻性泰勒规则推广至随机状态,构建了两种目标锚定情景下的前瞻性决策规则,其能显性刻画未来多期前瞻信息的预期变动对当前名义利率调整的具体影响。对我国短期名义利率的拟合表明,货币当局对通胀和产出分别有长期锚定目标和短期锚定目标,且分别盯住通胀的长期趋势和产出的短时变动。当前名义利率调整前瞻性地虑及了未来通胀预期和经济不确定预期的影响:当未来预期通胀上升(下降)时,货币当局倾向于调低(提高)当前名义利率,当前扩张(紧缩)性货币政策可能是未来高通胀(低通胀)的原因,且倾向于放大后者的波动性;当未来经济的不确定预期下降(上升)时,货币当局倾向于调低(调高)当前名义利率,未来较低(较高)的经济不确定预期为当前货币扩张(紧缩)提供了缓冲空间。     

货币当局的目标锚定及其前瞻性决策规则

本文将前瞻性泰勒规则推广至随机状态，构建了两种目标锚定情景下的前瞻性决策规则，其能显性刻画未来多期前瞻信息的预期变动对当前名义利率调整的具体影响。对我国短期名义利率的拟合表明，货币当局对通胀和产出分别有长期锚定目标和短期锚定目标，且分别盯住通胀的长期趋势和产出的短时变动。当前名义利率调整前瞻性地虑及了未来通胀预期和经济不确定预期的影响：当未来预期通胀上升(下降)时，货币当局倾向于调低(提高)当前名义利率，当前扩张(紧缩)性货币政策可能是未来高通胀(低通胀)的原因，且倾向于放大后者的波动性；当未来经济的不确定预期下降(上升)时，货币当局倾向于调低(调高)当前名义利率，未来较低(较高)的经济不确定预期为当前货币扩张(紧缩)提供了缓冲空间。     

通胀、通胀预期和货币政策——基于中国2001—2010年数据的实证研究

文章用两种方法测度了我国通胀预期：（1）未来物价预期指数衡量通胀预期;（2）ARMA模型对通胀的预测值。并计量分析了影响通胀预期的因素,结果显示：CPI上升、正产出缺口增加和广义货币供应量增加,是形成通胀预期的主要因素。利率、人民币汇率和食品价格对通胀预期的形成作用不显著和影响较小。因此,存款准备金率动态微调,是目前管理好通胀预期的最好选择。     

人民币名义有效汇率变动对CPI传递效应实证检验——基于通货膨胀环境变化视角

通过将Taylor(2000)交错价格模型融入新开放宏观经济学模型(NOEM)导出实证模型,有效地将通货膨胀环境与汇率对国内价格传递相融合.选取1998年1月-2012年4月的数据对人民币名义有效汇率的消费者价格指数(CPI)传递效应在不同通胀环境下进行测算,在此基础上对传递途径进行了脉冲检验.实证结果表明,人民币名义有效汇率变动的CPI传递的长短期效应均较低且受通胀环境影响较大,1998年初至2002年末的持续低通胀环境阻碍了汇率传递所有渠道是导致传递效率低的原因所在,2003年初至2012年4月的较高通胀环境下汇率传递的货币渠道较进口商品价格渠道冲击显著但作用符号相反.     

有效汇率波动对国内价格的传递效应研究

随着我国对外贸易依存度的不断提高,外需成为拉动经济增长的重要动力。人民币相对于美元升值和国内面临的通货膨胀问题受到了国内舆论和国际社会的广泛关注。那么人民币名义有效汇率的变动是否就是国内通货膨胀的主要原因呢?本文利用VAR模型对人民币名义有效汇率的价格传递效应进行了实证分析。估计结果表明,人民币名义有效汇率对进口价格和工业品出厂价格的传递率较高,而对消费者价格的传递率则相对较低,汇率对国内通货膨胀有较弱的解释力。因此本文认为,通过调节人民币名义有效汇率对解决中国的外部失衡有一定的作用,货币政策制度者应当积极关注汇率变动等外部冲击。     

人民币汇率传递对我国物价水平影响的实证分析:2005～2008

本文考察了2005年7月至2008年2月期间人民币汇率变动对我国物价水平的影响。研究表明,人民币名义有效汇率变动对进口价格的传递是不完全的,当人民币名义有效汇率每变动一个百分点时,进口价格指数仅变化0.22个百分点;人民币名义有效汇率与国内物价水平存在负相关性,这与以往的研究结论恰好相反,对此,本文从人民币升值预期和人民币均衡汇率两个视角作了解释;全球商品价格指数并非影响我国国内物价水平的最重要因素,我国经济体具备较强的抵御外来冲击的能力。     

人民币升值对中国国际资本流动的影响

汇率波动是影响国际资本流动的重要因素,本文结合中国国际资本流动的主要特点,对人民币汇率波动及人民币汇率升值预期对中国国际资本流动的影响进行经验分析.实证结果表明,中国经济的持续快速发展和人民币升值预期是吸引国际资本大量流入中国的重要因素,人民币升值将会抑制FDI 的流入,但不会使我国的FDI 明显下降,国内利率也与FDI 呈负相关关系.本文认为,人民币名义汇率的适度升值和长期稳定性有利于外资的合理流入,但目前阶段应加强资本监管,预防经济风险.     

人民币汇率与通货膨胀之间的溢出效应及动态相关性

文章综合运用VAR模型、GARCH-BEEK模型和DCC-GARCH模型,对中国人民币汇率与通货膨胀以及不同类型通货膨胀之间的均值溢出效应、波动溢出效应以及动态相关性进行了实证检验与分析。结果表明,在均值溢出方面,仅存在人民币汇率对PPI通胀的单向溢出效应;在波动溢出方面,汇率与PPI通胀之间存在双向的ARCH型溢出效应,同时汇率对CPI通胀和PPI通胀、CPI通胀对PPI通胀存在单向的GARCH型溢出效应;在动态相关性方面,人民币汇率、CPI通胀与PPI通胀之间的相关性具有时变特征,但多数时期是正相关关系。为此,政策当局要进一步稳扎稳打地推进人民币汇率改革,采取各种措施避免人民币汇率的过度波动以维护汇率稳定,实现抑制通货膨胀、保持物价稳定的政策目标。     

人民币汇率的价格传递效应研究

本文通过建立SVAR（Structure Vector Auto Regression）模型,实证研究了人民币名义有效汇率对国内进口价格、生产者价格和消费者价格的传递效应并分析了全球金融危机的爆发对汇率价格传递效应的影响。结果显示：①人民币名义有效汇率对三类价格的传递是不完全的且存在一定的时滞,在长期内,1个百分点的正...     

人民币高估与通胀低估并存

【美国《华尔街日报》7月18日】我们应该记住历史的教训：1994年1月1日，中国的人民币汇率并轨，央行将牌价汇率由1美元兑人民币5．8元贬值至1美元兑8．67元，人民币贬值50％。此前的中国经济高度发烧，通胀最高超过了20%。当久违的通胀再次让我们担惊受怕的时候，人民币实际上已经开始走向高估的道路，而通胀因素在以前则一再被我们轻视。在人民币继续升值的呼声中，我们难道要眼睁睁看着人民币持续走向高估的道路？     

Goods Inflation,Asset Inflation,and the Greatest Peacetime Inflation in the US

In every episode of global monetary inflation originating in the Federal Reserve, we find both asset price inflation and goods inflation. The interrelationship between these two types of inflation depends both on cycle-specific factors and more general factors which transcend the cycle and stem from essential aspects of monetary disorder. The purpose of this article is to analyse the nature of this interrelationship and elaborate on the concepts of monetary disorder, goods inflation, and asset inflation. In today’s world of monetary systems where there is no stable demand for high-powered money (which itself is no longer a highly distinct asset) monetary disorder can be hard to recognize until quite late in the inflationary process. Asset price inflation now has a popular meaning quite different from the original found in Austrian business cycle theory. Two decades of widespread inflation targeting at around 2% per annum have encouraged us to ignore an old lesson. In a well-functioning capitalist economy under a sound money order, prices would fluctuate considerably upwards and downwards with a tendency to revert to the mean over the very long run. Finally the principles and hypotheses developed here are analysed in the laboratory of history, specifically for the greatest peacetime inflation in the U.S. (1963–80).     

中国通货膨胀率与其不确定性之间的非线性动态关系

通货膨胀率和通货膨胀不确定性之间相互影响,二者之间的内在关系对政府运用货币政策具有重要的现实意义。本文采用1990年1月以来居民消费价格指数(CPI)的月度数据,结合随机域回归模型、系列随机域的非线性检验方法、最大似然估计及贝叶斯估计方法,对我国通货膨胀率与通货膨胀不确定性的关系进行了实证分析。实证研究发现,通货膨胀率引起了通货膨胀不确定性,两者呈现非线性的U型关系,支持了Friedman假说;大的通货膨胀不确性引起通货膨胀率先升后降,呈现非线性倒U曲线关系,Cukierman-Meltzer假说在U型左侧范围内成立,于U型右侧Holland结论成立。     

通胀率动态与通胀惯性度量

本文从通胀惯性的理论模型出发,构建无限状态Markov区制转移的计量模型,实现对通胀惯性的有效度量。对美国通胀惯性的实证分析,证实货币政策工具的频繁使用会付出通胀惯性的代价,暴露出其单一目标货币政策框架的缺陷。我国央行的调控也已经对市场利率形成了显著的传导作用,谨慎地使用货币政策工具,使我国的通胀惯性在被货币政策短暂影响后,得以有效恢复。这表明坚持实行多目标、多手段与宏观审慎政策相结合的调控模式,对维护经济环境稳定与长期发展的重要性。十国通胀惯性的度量结果与对比分析,进一步佐证了本文观点。     

Inflation as the lesser evil

Abstract

The authors of this analysis of the German inflation seek to show the interdependence between the various factors which made that hyper-inflation possible, and the effects of the inflation on production, employment and the distribution of incomes. They reject an explanation of the German inflation in terms of the quantity theory which was widely held in the inter-war years. Instead they attempt to explain developments by showing the inter-relationship between the balance of payments, rates of exchange and the trend of internal prices and wages. According to this balance of payments theory, the supply of money will passively adjust itself to a rise in the level of prices and wages, the government budgetary deficit brought about by the faster rate of increase in prices and wages than in tax revenue being financed inter alia by the issue of notes.     

通胀透视

2010年以来,CPI屡创新高,通胀压力持续增加,控制通胀已经成为社会热点问题。本文在回顾CPI走势的基础上指出,在2011年中国经济和中国百姓仍难摆脱通胀带来的压力。文章系统地梳理和分析造成通胀的国际外部影响因素及国内自身内部因素的作用机制,指出在当前投资活跃的情况下,断然不存在所谓的通胀红利。中国经济反击通胀需要坚持稳健的货币政策,施行积极的财政政策,重点是加大政府转移支付力度,关注民生。同时辅以必要的行政、法律手段规范市场行为、打击投机炒作。     

关于我国高速增长与通货膨胀问题

小平同志南巡讲话以来,中华大地投资热潮一浪高过一浪,经济增长速度明显加快。对于这一热浪,各方看法不一,“冷”、“热’’之争又起。本期专稿发表了著名经济学家宋承先教授的文章《关于我国高速增长与通货膨胀问题》。宋教授在文中指出,我国已具备高速增长的物质基础,适度爬行的通货膨胀是允许的。     

Inflation and the Consumption Function

Conclusion Nominal interest payments that come as a compensation for a fall in the real value of monetary assets can hardly be counted as income, if that variable is to have economic content. In spite of this obvious fact, and in a time when consumers are quite often modeled as being extremely rational, most econometric studies still use the disposable income data as if they were a good approximation of an economically meaningful variable even in times of inflation. Both theoretical and empirical work indicate that this is not the case. Perhaps the fact that the empirical work performed also has remarkably good prediction properties will help make econometricians think more carefully about the economic content of the data series they use.     

Reconsidering the International Comovement of Inflation

In this paper we reconsider the degree of international comovement of inflation rates. We use a dynamic hierarchical factor model that is able to decompose Consumer Price Index (CPI) inflation in a panel of countries into (i) a factor common to all inflation series and all countries, (ii) a factor specific to a given sub-section of the CPI, (iii) a country group-factor and (iv) a country-specific component. With its pyramidal structure, the model allows for the possibility that the global factor affects the country-group factor and other subordinated factors but not vice versa. Using quarterly data for industrialized and emerging economies from 1996 to 2011 we find that about two thirds of overall inflation volatility is due to country-specific determinants. For CPI inflation net of food and energy, the global factor and the CPI basket-specific factor account for less than 20 % of inflation variation. Only energy price inflation in industrial economies is dominated by common factors.     

Inflation Expectations and Inflation Uncertainty in the Eurozone: Evidence from Survey Data

This paper uses the European Commission’s Consumer Survey to assess whether inflation expectations have converged and whether inflation uncertainty has diminished following the introduction of the euro in Europe. Consumers’ responses to the survey suggest that inflation expectations depend more on past national inflation rates than on the ECB’s anchor for price stability. Inflation expectations do not converge significantly faster than actual inflation rates. Regarding inflation uncertainty, the data indicate a relationship with country size following the introduction of the euro. This suggests that within EMU, inflation uncertainty may increase in countries that have a smaller influence on ECB policy. JEL no.  D84, E31, E58     

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.