Housing Collateral and the Monetary Transmission Mechanism

In this paper, we quantify the effects of the recent increase in the housing loan‐to‐value ratio (LTV) on the monetary transmission mechanism. We set up a two‐sector dynamic stochastic general equilibrium model with collateral constraints and production of goods and housing. Using Bayesian methods, we quantify the component of the monetary transmission mechanism that is generated by housing collateral. We find that this component is substantial and strongly increasing in the LTV. We conclude that in order to properly understand the monetary transmission mechanism, we need to take into account the effects of housing‐related collateral constraints and their changing nature.     

Response of Asset Prices to Monetary Policy under Abenomics

In this paper, I investigate the causes of the recent sharp response of the yen and Japanese stock prices to the discussion of, and the subsequent implementation of bold monetary easing by the Bank of Japan as demanded by Prime Minister Abe. I present statistical evidence that the response of the two asset prices have indeed been unusually large relative to the past experience with nonconventional monetary policy (NCM) even after allowance is given for the rise in global economic activity and asset prices. I also point out that the rally has been led by speculative trading by foreign investors, while domestic investors have largely stayed on the sidelines. I discuss possible reasons for such foreign investor behavior. Simply put, the unprecedented political pressure raised hopes of the adoption of bold measures by the Bank of Japan. I discuss, however, the possibility that the room for further action by the Bank is quite limited apart from what might be called a targeted helicopter drop of money. I also point out the possibility that investor behavior may have not been based on economic fundamentals. The asset price volatility since April 2013 is interpreted in the light of such discussions.     

Asymmetric Information and the Transmission Mechanism of Monetary Policy

Abstract. This paper analyses the consequences of asymmetric information in credit markets for the monetary transmission mechanism. It shows that asymmetric information can not only reinforce but can also weaken or overcompensate the effects of the standard interest rate channel. Crucial is that informational problems lead to an external finance premium that can be positive or negative for marginal entrepreneurs. Tight money may lead to an increase in the absolute value of this premium, implying that there is a credit channel of monetary policy, but its working direction is ambiguous.     

货币政策是否应关注资产价格——基于货币稳定的视角

货币稳定是一个伴随着货币交易范围扩展而不断拓展的概念,资产交易规模使资产价格波动能严重影响货币稳定和社会福利,因此,货币稳定应当包括资产价格稳定。利用中国1998-2009年月度、季度数据,以及协整检验、误差修正估计和方差分析等方法研究后得出:资产价格与传统通货膨胀指标现值及预期值存在联动性、与经济运行中的货币存量具有显著的数量解释关系,资产价格通过影响消费、投资等经济因素冲击着货币政策效果;货币政策对维护包括资产价格在内的货币稳定并非无能为力,经验表明资产价格往往对货币政策调整做出积极反应。因此,货币稳定指标应根据传统通货膨胀指标和资产价格指标综合计算,即货币政策应根据资产价格传导机制,精确分析资产价格与货币中介目标的关系,准确采取政策工具。     

Individual Stock Returns and Monetary Policy: Evidence from Japanese Data

The present paper uses Japanese firm‐level data to investigate the effects of monetary policy on stock. The main purpose of this paper is to examine whether monetary policy has heterogeneous effects on stock returns and whether such heterogeneity can be explained by existing theories of monetary transmission mechanisms. We find little evidence that the demand sides of the interest rate and balance sheet channels explain the heterogeneous effects of monetary policy. However, there is evidence that the supply sides of the interest rate and balance sheet channels, when measured by capital intensity, financial leverage and interest payment burden, can explain its heterogeneous effects.     

宏观共同因子、特质因子以及货币政策对中国各线城市房价的影响——基于FAVAR模型

运用FAVAR模型,将中国各线城市房价分离出宏观共同因子和特质因子部分,研究了各因子及货币政策对房价的影响。研究发现:大城市的房价更易受宏观共同因子和地区特质因子的影响,且变动的持续性更大;共同因子可在很大程度上解释房价变动的持续性和波动性;共同因子对房价的影响较为持久,而地区特质因子只在短期内影响房价;利率和货币供应量可以有效地影响房价;相比利率,货币供应量对一线和二线城市房价水平的影响更大,对各线城市房价波动的影响更为持久;一线城市的房价水平及其波动对货币政策冲击的敏感度较高,二线城市的敏感度居中,三线城市的敏感度较低;未发现货币政策的"价格之谜"现象,表明本文模型设定的合理性较强。     

货币政策工具对资产价格动态冲击的识别检验

文章以不同的货币政策手段在资产价格波动的不同阶段所表现出的作用效果为出发点,通过SVAR模型,识别出不同货币政策工具的单独动态冲击,并分别分析了膨胀阶段和低迷阶段的资产价格对货币政策冲击响应的程度,以解决针对不同阶段资产价格波动的货币政策调控手段和时机的选择问题。结果表明,货币政策对资产价格的作用具有有效性,在价格膨胀阶段可在一定时期内采取利率手段对资产价格波动进行微调,当出现价格泡沫时控制货币供应量会收到即时效果;而在资产价格低迷阶段,以利率调节资产价格具有明显和相对持久的作用。     

Measuring Monetary Policy in Germany: A Structural Vector Error Correction Approach

Abstract. A structural vector error correction (SVEC) model is used to investigate several monetary policy issues. While being data-oriented the SVEC framework allows structural modeling of the short-run and long-run properties of the data. The statistical model is estimated with monthly German data for 1975–98 where a structural break is detected in 1984. After splitting the sample, three stable long-run relations are found in each subsample which can be interpreted in terms of a money-demand equation, a policy rule and a relation for real output, respectively. Since the cointegration restrictions imply a particular shape of the long-run covariance matrix this information can be used to distinguish between permanent and transitory innovations in the estimated system. Additional restrictions are introduced to identify a monetary policy shock.     

中美货币政策变动与国内资产价格调控

后金融危机时代,美国持续量化宽松货币政策所带来的溢出效应已对中国资产价格调整产生实质性影响;美国货币政策变动后可通过利率和国际资本流入进行传导,能直接引起中国股票市场价格的剧烈波动并间接推动房地产价格的上涨;在中国房地产市场正处于深度调控背景下,美国货币政策的进一步放宽将对中国货币政策的适度紧缩形成强烈制约,使中国资产价格调控面临巨大的风险和隐患。     

Monetary and fiscal policy transmission in Poland

This paper combines a fiscal structural vector-autoregression (SVAR) with a monetary SVAR for the Polish transition economy. Data are constructed from scratch in order to account for features of the transition economy and for delays in implementing legislated government spending and tax changes (fiscal foresight). For monetary policy, we find no price puzzles in the combined SVAR. Also, fiscal foresight variables have no statistically significant effects. We calculate an initial government spending multiplier of 0.70, which later peaks at 1.61 for the cumulative multiplier. This multiplier is much larger than multipliers estimated in previous studies not combining fiscal and monetary policy, where they were found to be close to zero. On the other hand, the tax multiplier is generally near zero in our study. We demonstrate the importance of combining fiscal and monetary transmission mechanisms when assessing the effects of government macroeconomic policies.     

应对资产价格波动的货币政策选择与均衡框架构建

资本市场的快速发展,使资产价格波动与货币政策效果之间的关联性不断加大.货币政策是否应当和应该如何对资产价格波动作出反应,多年来吸引了众多学者和货币政策制定者的高度关注.综合已有的理论实践和我国货币政策操作的现实,虽然目前资产价格还不具备作为我国货币政策独立调控目标的条件,但是有必要将其作为货币调控的辅助监测指标纳入中央银行货币政策操作的视野.央行应尽快建立与资产价格监测相关的指标体系,形成考虑资产价格波动因素的货币政策传导机制,构建均衡实体经济与虚拟经济的货币政策操作框架.     

中国资产价格与货币政策关系实证研究综述

国内学者对中国资产价格和货币政策的相关性进行了大量的实证研究,对货币政策的制定具有一定指导意义。这些研究成果在变量计量、研究方法等方面进行了大量探索,为该领域的理论研究做出了积极贡献。但是目前的成果也存在对中国资产结构、资产市场演变等研究背景考虑不足和成熟计量模型缺失等缺陷。     

The Effects of Monetary Policy Shocks in the USA: A Forecast‐Augmented VAR Approach

This paper formulates a forward‐looking monetary policy function for the USA in a structural vector autoregression (VAR) model, by using forecasts of key macroeconomic variables, in addition to the ex post realised variables used in a standard VAR. Since this forecast‐augmented VAR (FOAVAR) uses both forecasted and realised variables, and the standard VAR uses only realised variables, the standard VAR is nested in the FOAVAR. I find that the Fed responds to forecasted macroeconomic variables more significantly than realised variables. I also find that the monetary policy shock in the FOAVAR generates impulse responses of variables that are consistent with the predictions of economic theories, while the policy shock in the standard VAR causes a price puzzle: an increase in the price level due to a contractionary policy shock. These results suggest that a monetary policy function identified in a standard VAR, by using only realised macroeconomic variables, may incorrectly represent the Fed's policy function.     

Monetary transmission mechanisms in a small open economy: a Bayesian structural VAR approach

Abstract This paper develops a Bayesian structural VAR model for Canada in order to estimate the effects of monetary policy shocks, using the overnight rate target as the policy instrument. I allow the policy variable and other home and foreign variables to interact with each other contemporaneously. The key finding is that monetary policy affects the real economy through both the market interest rate and the exchange rate. I also find that the Bank of Canada responds to any home and foreign variables that embodies information about future inflation and that external shocks are an important source of output fluctuations.     

Foreign Money Shocks and the Welfare Performance of Alternative Monetary Policy Regimes*

The welfare properties of monetary policy regimes for a country subject to foreign money shocks are examined in a two‐country sticky‐price model. Money targeting is found to be welfare superior to a fixed exchange rate when the expenditure switching effect of exchange rate changes is relatively weak, but a fixed rate is superior when the expenditure switching effect is strong. However, price targeting is superior to both these regimes for all values of the expenditure switching effect. A welfare‐maximising monetary rule yields lower output and exchange rate volatility than price targeting for a wide range of parameter values.     

货币政策传导机制与货币政策有效性:争论与启示

我国当前以信贷渠道为主的货币政策传导渠道将逐步被货币渠道所取代,货币政策传递的环境和条件不完善是制约我国货币政策传导效果的主要原因,我国货币政策传导效果存在明显的地区差异。     

Changes in US Monetary Policy and Its Transmission over the Last Century

In this paper, we investigate US monetary policy and its time‐varying effects over more than 130 years. For that purpose, we use a Bayesian time‐varying parameter vector autoregression that features modern shrinkage priors and stochastic volatility. Our results can be summarized as follows: First, we find that monetary policy transmits jointly through the interest rate, credit/bank lending and wealth channels. Second, we find evidence for changes of both responses to a monetary policy shock and volatility characterizing the macroeconomic environment. Effects on the macroeconomy are significantly lower in the period from 1960 to 2013 than in the early part of our sample, whereas responses of short‐ and long‐term interest rates are nearly unaltered throughout the sample. Changes in the way the Fed conducts monetary policy and different economic environments may account for that.     

我国货币政策对股票市场影响的实证研究

对货币政策与股票市场关系的文献进行了回顾,然后运用2009～2012年的时间序列数据,实证研究货币供应量和利率对股票价格的影响,结果表明：我国的货币政策对股票市场存在影响,而货币供应量的增加会使股价上涨,利率的上升会使股价下跌。根据实证结果,提出相应的对策建议。     

REGIONAL EFFECTS OF MONETARY POLICY IN CHINA: EVIDENCE FROM CHINA'S PROVINCES

This study examines the provincial effects of monetary policy from 1978 to 2011 in China. We used the SVAR method to measure the magnitude and timing of each province's response to monetary policy shocks when considering the influences of spillover effects among provinces. Then we also explored the regional effects of monetary policy employing multiple linear regressions. The results confirm that provinces respond differently to monetary policy actions. It was found that in the short run, the influence of spillover effects on a province's response is very important, but in the long run, the negative influence of deposit transfers overtake the positive impact of the spillover effect. For the factors causing the regional effects on monetary policy, the results show that the interest rate channel is rather weak at the regional level in China. The bank lending channel can explain the regional effects of monetary policy to some extent. Thus in China, the bank lending channel is more effective than the interest rate channel at the regional level.