中国通货膨胀动态路径的结构性转变及其启示

This article employs recently developed unknown structural break tests to investigate intrinsic structural instability in China inflation dynamics over 1981–2007. In order to capture accurately the statistical nature of potential structural beak, we use asymptotic p-value function under the non-standard distribution condition to compute the p-values for structural change tests in the presence of nuisance parameter. Empirical results suggest that China inflation dynamics witnessed a significant structural change at the end of 1994 and the instability appears to be originated from the dynamic parameters in the underlying model. The paper discusses important policy implications of the empirical findings through impulse response analyses.      

The inflation game

We study a game where households buy consumption goods to preempt inflation. This game features a unique equilibrium with high (low) inflation, whenever money supply is high (low). For intermediate levels of money supply, there exist multiple stable equilibria where inflation is either high or low. Equilibria with moderate inflation, however, do not exist, and can thus not be targeted by central banks. That is, depending on agents' equilibrium play, money supply is always either too high or too low for moderate inflation. Finally, we find that inflation rates of durable goods, such as houses, cars, luxury watches, or furniture, are useful leading indicators for changes in overall inflation.     

Inflation surprises and inflation expectations in the Euro area

In the second half of 2012, euro area inflation started declining and reached historical lows at the end of 2014. Market-based measures of inflation expectations also declined to unprecedented levels. During this disinflationary period, inflation releases have often surprised analysts on the downside. We provide evidence that inflation ‘surprises’ have significant effects on inflation expectations. The sensitivity of inflation expectations to the surprises, which has varied over time, disappeared after the introduction of the Asset Purchase Programme by the European Central Bank.     

Monetary aggregates and core inflation: evidence from India

This study constructs a model-based core inflation for India using Divisia monetary aggregates instead of traditional money measures with the methodology proposed by Bagliano and Morana (2003) and evaluates its forecasting abilities. The core inflation derived from Divisia monetary aggregates is found to be a better leading indicator of measured inflation than the core inflation derived from traditional money measures. These results argue for a case in favour of using monetary aggregates in the construction of core inflation for policy purposes.     

Is inflation targeting feasible in Poland?

In this paper we analyze whether inflation targeting is feasible in Poland. There are at least three prerequisites for successful inflation targeting: 1) central bank independence, 2) a high degree of central bank accountability, transparency, and communication to the public, and 3) a predictable and stable relationship between inflation and the instruments of monetary policy. While the first two prerequisites are relatively easy to analyze, the third criterion requires formal statistical analysis, which we undertake in this paper. The first two prerequisites for targeting are found to be met in Poland, and the empirical analysis shows some evidence of significant relationships between inflation and monetary instruments in Poland. Hence inflation targeting appears feasible in Poland.     

Inflation and inflation volatility in Thailand

Quarterly data for Thailand are used in this article for the period 1965q3–2013q4 to investigate both the relationship between inflation and inflation volatility, and the impact of inflation volatility on economic growth. Inflation volatility is estimated by deploying the generalized autoregressive conditional heteroscedastic (GARCH) technique. A Granger causality test is then conducted to examine the causality between inflation and inflation volatility. The empirical results obtained are consistent with a number of theoretical propositions. First, the results are consistent with the Friedman–Ball proposition, which states that a rise in inflation raises inflation volatility. Second, there is evidence supporting the Holland proposition that inflation volatility lowers the rate of inflation. This is consistent with the view that central banks attempt to stabilize inflation with the rise in inflation volatility. Third, empirical results obtained by asymmetric GARCH models suggest that inflation shocks have an asymmetric impact on inflation volatility (i.e. a positive inflation shock has a larger impact on inflation volatility – as measured by the logarithm of the conditional variance of inflation – than a negative inflation shock). Fourth, inflation volatility has an adverse impact on economic growth. Finally, given the fixed/pegged or managed float exchange rate system, US inflation has been found to have a positive impact on inflation and its volatility in Thailand. This article discusses the implications of empirical findings on the design and enactment of monetary policy for price stability in Thailand.     

Tracking real-time data revisions in inflation persistence

Regarding the forecasting of real-time data, it is assumed that the third quarter release produces the best forecasts since it includes data from new and revised sources, which this paper finds is not necessarily the case. There seems to be a benchmark effect when estimating the local nonparametric regressions and the forecasts of real-time PCE and core PCE when examining the four benchmark periods beginning in 1996:Q1, 1999:Q4, 2003:Q4, and 2009:Q3. There is a benchmark effect with respect to the estimated local nonparametric slopes with the demarcation being at the 2003:Q4 benchmark, which is also the demarcation for the forecasting results. For the benchmark revisions periods of 1996:Q1 and 1999:Q4, the second quarter real-time data releases produce the smaller RMSE and for the benchmark revisions of 2003:Q4 and 2009:Q3, the third quarter real-time data releases produce forecasts with smaller RMSE approximately 58% and 60% of the time, respectively.

Abbreviations: PCE, Personal Consumption Expenditures; KWLS, Kernel Weighted Least Squares; "V_" as a prefix stand for vintage, i.e. V_2003:Q4 is vintage 2003:Q4, which means that the data sample ends in 2003: Q3; IRSC, integrated residual squares criterion; NPISH, Non-Profit Institutions Serving Households; SNA, System of Accounts; RMSE, Root Mean Square Error; MAE, Mean Absolute Error; NAICS, North American Industry Classification System; SIC, Standard Industrial Classification; ARSC, Average Residual Squares Criterion; I-O, Input – Output; EIA, Energy Information Administration; ATM, Automated Teller Machines; BEA, Bureau of Economic Analysis; SNA, System of Accounts     

A critical assessment of existing estimates of US core inflation

Core inflation rates are widely calculated. The perceived benefit of core inflation rates is that they help to inform monetary policy. This is achieved by uncovering the underlying trend in inflation or by helping to forecast inflation. Studies which compare core inflation rates frequently assess candidate core rates on these two criteria. Using US data, the two standard tests of core inflation – the ability to track trend inflation and the ability to forecast inflation – are applied to a more comprehensive set of core inflation rates than has been the case in the literature to date. Furthermore, the tests are applied in a more rigorous fashion. A key difference in this paper is the inclusion of benchmarks to the tests, which is non-standard in the literature. Two problems with core inflation rates emerge. Firstly, it is very difficult to distinguish between different core rates according to these tests, as they tend to perform to a very similar level. Secondly, once the benchmarks are introduced to the tests, the core inflation rates fail to outperform the benchmarks. This failure suggests that core inflation rates are of less practical usefulness than previously thought.     

The effect of the market-based monetary policy transparency index on inflation and output variability

This paper examines empirically the effectiveness of the Federal Reserve’s policy under different levels of transparency by using a dynamic and continuous market-based index proposed by Kia (2011 Kia, A. 2011. “Developing a Market-based Monetary Policy Transparency Index: Evidence from the United States.” Economic Issues 16 (2): 53–79. [Google Scholar]) on inflation volatility and output volatility. In theory, the more transparent the monetary policy, the less volatile the money market will be with fewer disturbances and thus the more stable will be the economy. First, a bivariate VAR-BEKK-GARCH(1,1) model is estimated for inflation and output variables in the US economy in order to produce conditional variances and covariance over the period October 1982 to December 2011. Second, by incorporating conditional variances and transparency in a VAR model, impulse response functions reveal that after a positive shock in the Federal Reserve’s transparency (i.e. market participants consider the Federal Reserve’s actions to be more transparent), there is a statistically significant decrease in both inflation volatility and output volatility. Our results reveal the dynamic and crucial role that a central bank’s transparency plays in retaining economic stability and assuring the forecasts concerning inflation and economic growth made by the economic units.     

Empirical research on monetary policy,asset prices and inflation: an analysis based on provincial panel data in China

In this article, we investigate the dynamic correlations among monetary policy, asset prices and inflation and assess the regional effects of monetary policy in China for the period October 2007 to July 2013. We focus on the interdependencies among monetary policy and asset price fluctuations by using the Shanghai Interbank Offered Rate as the preferred variable for analysing monetary policy movement. In particular, we apply a vector autoregressive model in a panel setting, which allows researchers to examine variations over time or across individual regions. The empirical results presented herein indicate that monetary policy reacts actively to asset prices, although it is still shown to be ineffective. In addition, we find that asset prices display some regional differences in their response to an unexpected monetary policy shock.     

A persistence-weighted measure of core inflation in the Euro area

We propose a new core inflation measure for the Euro area which places the emphasis on the more lasting, i.e. persistent, price developments at a disaggregated level. The importance of each component of the HICP is reweighted according to its relative persistence, as measured by the sum of the autoregressive coefficients or by an indicator of mean reversion. Unlike headline inflation, our baseline core inflation measure is highly correlated with ECB monetary policy decisions, which could mean that they contain ex ante (pre monetary policy) information on inflationary pressure.     

Monetary,fiscal, and structural drivers of inflation in Ethiopia: new empirical evidence from time series analysis

This study empirically investigates the drivers of inflation in Ethiopia using monthly data over the period July 1998 to September 2020. It explores short-run and long-run effects of domestic and external determinants of inflation—including demand-side, supply-side, and structural factors—using the cointegration and vector error-correction methodology. Four measures of inflation are considered: cereals, food, nonfood, and all-items Consummer Price Index (CPI) inflation. A key contribution to the existing literature is the investigation of the role of the fiscal sector in modeling inflation, a topic that has been neglected in the existing studies on inflation in Ethiopia. The empirical results show that disequilibria in the monetary sector, grains sector, and food markets have long-run effects on inflation. In the short run, inflation is driven by structural factors (notably, cereal output gaps and imported inflation) as well as demand-side factors (notably, money growth and public sector borrowing). The results hold when analysis is limited to the high growth period from 2005 onward, following the end of the International Monetary Fund (IMF) program in the country. The evidence provides valuable insights in the context of ongoing macroeconomic policy reforms in Ethiopia.     

Jump risk of Presidential election: evidence from Taiwan stock and foreign exchange markets

This article employs jump-diffusion models, including the ARJI model and the GARCH-jump model, to examine jump intensity and volatility of Taiwan stock and foreign exchange markets during a Presidential election period. The empirical results indicate that, firstly, the ARJI model fits data better than the GARCH-jump model. Secondly, the Presidential election events enhance the jump intensity of both markets and the jump-induced variance is higher than diffusion-induced variance. It reveals the importance of the discrete jump process during a Presidential election period, and might provide some implications for option pricing or hedging strategy. Due to the intervention of the Central Bank in the foreign exchange market during a Presidential election period, the results indicate that jump intensity and volatility of jump size are more moderate.     

Near unit root and the relationship between inflation and interest rates: A reexamination of the Fisher effect

Tests of the Fisher effect are plagued by high persistence in interest rates. Instead of standard regression analysis and asymptotic results, methods relying on local-to-unity asymptotics are employed in testing for the Fisher effect with monthly U.S. data covering the period 1953:1–1990:12. These procedures are extensions of a recently presented method (Cavanagh, Elliott and Stock (1995)) based on simultaneous confidence intervals, and they have the advantage of being asymptotically valid whether interest rates are integrated of order one or zero, or near unit root processes. Taking appropriately account of the near unit root problem the findings in most of the previous literature are reconfirmed. There is support for the Fisher effect in the interest rate targeting period (1953:1–1979:10) of the Federal Reserve but not in the 1979:11–1990:12 period. First version received: July 1999/Final version received: April 2000     

Reactions of real yields and inflation expectations to forward guidance in the United States

We study the impact of forward policy rate guidance by the Federal Reserve’s Federal Open Market Committee (FOMC) used as an unconventional monetary policy tool at the zero lower bound of the policy rate on real and breakeven US Treasury yield curves. We find that explicit FOMC policy rate guidance announcements led to a significant reduction in real yields at horizons of 2 to 5 years ahead. By contrast, long-term breakeven inflation rates were little affected, suggesting that inflation expectations have remained well anchored, and that explicit FOMC policy rate guidance has not adversely affected central bank credibility.     

The dynamics of inflation: a study of a large number of countries

Over the last twenty years the statistical properties of inflation persistence has been the subject of intense investigation and debate without reaching a unanimous conclusion yet. In this article we attempt to shed further light to this debate using a battery of econometric techniques in order to provide robust evidence on the degree of inflation persistence and whether this has changed during the period in which several countries have followed inflation-targeting regimes or new monetary regimes. We consider the inflation rates of thirty developed and emerging economies using quarterly data for the period 1958 to 2007 which include alternative monetary policy regimes. The coefficient of the inflation parameter is estimated by Ordinary Least Squares (OLS), Autoregressive Moving Average (ARMA) and Autoregressive Fractionally Integrated Moving Average (ARFIMA) models. Furthermore, the grid-bootstrap Median Unbiased (MUB) estimator approach developed by Hansen (1999) is used to estimate the finite sample OLS estimates coupled with the 95% symmetric confidence interval. We also examine parameter stability of persistence coefficients by estimating a model with time-varying parameters.     

货币政策透明度的趋势、制度安排和宏观经济环境

近年来,透明度已经成为货币政策主要的特征之一,提高货币政策的透明度正在演变为一个国际趋势。根据Geraats(2009)使用Dicer和Eichengreen(2009)收集的数据测算的E-G指数,发现世界范围内货币政策的透明度已经取得了显著提高,但实践中呈现出执行较高行政透明度和经济透明度,而实行较低程序透明度和政策透明度的变化趋势;同时,还讨论了与透明度变化趋势相适应的制度安排及宏观经济环境。     

紧缩性货币政策复出的必要性分析

2007年12月的中央经济工作会议明确提出,2008年我国货币政策将从稳健性货币政策转化为从紧的货币政策.这是十年来我国货币政策方向的首次转变.货币政策转变的原因和影响成为理论界关注的焦点.本文分析了紧缩性货币政策复出的必要性及在通货膨胀的压力下,紧缩性货币政策给我国经济生活带来的影响.     

我国货币政策中介目标研究——一个文献综述

近年来,一些西方发达国家相继放弃了货币供应量目标,转向了利率、通货膨胀等目标,进而在我国也引发了货币供应量能否继续充当货币政策中介目标的争论.本文认为,尽管大多数实证研究均已表明货币供应量作为中介目标的有效性正不断降低,然而从我国当前的经济金融发展情况来看,选择利率或通货膨胀目标还缺乏可行性.因此,我国面临的现实选择只能是继续以货币供应量为目标,同时稳步推进金融体系、金融制度的改革,为中介目标的转变奠定基础.     

Welfare costs of monetary policy uncertainty in the economy with shifting trend inflation

We study welfare costs of the uncertainty about monetary policy in the economy featuring shifting trend inflation. We follow Ruge-Murcia (J Econ Dyn Control 36: 914–-938, 2012) to employ the SMM approach to fit the model to the US data (1979Q1-2015Q1). We find that the monetary policy uncertainty affects economic welfare through different dimensions. On the one hand, the policy uncertainty itself distorts the economic welfare negligibly, not only by increasing volatilities of consumption and leisure, but also by decreasing their average levels. A higher level of trend inflation then signifies these changes to produce greater welfare costs. Furthermore, the adverse impacts of policy uncertainty on the economy, documented by the impulse response functions of macroeconomic variables to policy uncertainty shock, become larger when central banks raise their inflation targets. On the other hand, the costs of exogenous variations in trend inflation are larger if there is policy uncertainty.