货币政策、外部冲击与通货膨胀

利用2001年1月—2013年6月的月度数据,构建DCC-MVGARCH模型分析用货币供应量表征的我国内部因素和用汇率和国际原油价格表征的外部因素对我国通货膨胀率的动态影响。研究结果表明:我国通货膨胀既源于内部调整,也受到外部冲击的影响;内部因素中的货币供应量增长率是影响我国通货膨胀水平的主要决定因素;相对而言,外部因素对通货膨胀水平的影响不大。     

Selecting Your Inflation Targeters: Background and Performance of Monetary Policy Committee Members

Abstract. This paper starts by describing the composition of monetary policy committees (MPCs) in inflation‐targeting and non‐targeting countries. The experience of MPC members on their inflation performance is then compared, opposing inflation targeters with non‐targeters. Our sample covers the major Organization for Economic Cooperation and Development countries, in the period 1999–2008. Our results first show that MPCs are different in inflation‐targeting (versus non‐targeting) countries. They also reveal that policy‐makers' backgrounds influence inflation, and that the influence of MPCs' experience is much greater in inflation‐targeting countries, while size effects are more important for committees that do not target inflation.     

关于我国货币政策促进经济增长的研究

人民银行货币政策目标是:保持人民币币值稳定并以此促进经济增长,所以搞清楚货币政策与通货膨胀、经济增长的关系就十分必要。通过计量分析可以得出:货币供应量M1的增长是推动GDP增长的主要因素,财政支出增长不是推动GDP增长的因素,但是不能否定其在反经济危机中的巨大作用;货币供应量M1的增长是推动CPI增长的主要因素;在制定货币供应量政策时,既要考虑到推动GDP增长的目的,也要受到CPI上涨的制约,需要在二者之间权衡;在制定利率政策时要研究均衡的利率,实际利率要向均衡利率靠近,并且要随着经济情况的变化及时调整,以达到最大的资本积累量,保证我国的长期经济增长。     

金融状况指数FCI与货币政策反应函数经验研究

文章运用VAR模型经验估计了中国的金融状况指数FCI,结果表明FCI指数对通货膨胀率具有良好的预测力。在此基础上,将FCI指数作为目标和信息变量纳入泰勒规则,运用GMM方法估计了中国的货币政策反应函数,发现FCI指数与短期利率存在正相关关系,可以成为货币政策的短期指示器;但是利率调节对CPI通胀率、产出缺口和金融形势的松紧变化均反应不足。特别是利率对金融形势松紧变化的调节不足,刺激了金融不平衡和资产价格泡沫的相互推动和累积,是经济不平稳发展的重要政策诱因。     

渐进性通货膨胀与我国货币政策失灵——以区域金融差异为视角

作为应对通货膨胀的主要宏观调控措施,货币政策历来都受到各国中央银行的重视.但是,从2006年开始的本轮通货膨胀中,中国政府屡次动用紧缩性货币政策的结果是消费物价指教的渐进攀升.本文从中国区域金融差异的角度分析了渐进性通货膨胀的原因,并在分析全国统一货币政策失灵机制的基础上为将来可能的区域性货币政策的实施提出了相关建议.     

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.     

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.     

中国宏观经济状况与货币政策抉择——基于后危机时代的视角

积极的货币政策帮助中国经济在危机中和后危机时代保持稳定而较快的增长。然而与之相随的是物价上涨、通胀压力显现和外部的人民币升值压力。当前中国经济的主要矛盾是防通胀,保增长的压力较小。而且,由于中国有管理的浮动汇率制度和对资本项目下货币流动的严格管理制度,利率上升本身不会对人民币升值带来显著影响,也不会导致热钱的大量流入。     

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.     

Stabilisation, Policy Targets and Unemployment in Imperfectly Competitive Economies

This paper argues that the rate of equilibrium unemployment depends on the objectives of the Central Bank. In a model where the Central Bank uses monetary policy to stabilise the economy, we show that unemployment and inflation will be lower with an inflation target than with targets for output, money or nominal GDP. The intuition for this is that the elasticities of demand in both the product and the labour markets are greater when there is an inflation target; we show that this leads to a lower mark-up of price over marginal cost and makes wages more sensitive to unemployment.     

Inflation targeting and the need for a new central banking framework

This article critically analyzes inflation targeting (IT) both theoretically and empirically. IT came into prominence in the 1990s and 1 central bank after another adopted this regime in the 1990s and 2000s. Proponents of IT mainly argued that IT regime was successful on the grounds that it resulted in lower inflation rates and hence better economic performances. However, inflation rates in the world were in a downward trend from the 1980s well into the 2000s, and both IT and non-IT regimes managed to decrease their inflation rates. In addition, focusing too much on price stability through IT paved the way for permanently higher than necessary interest rates and disinflationary “tight” monetary policy periods when inflation rate was above an arbitrarily targeted level. Tight monetary policy can and do affect the real economy negatively and overemphasizing price stability may hurt the economy in terms of lower potential output, decreasing investment and more unequal income distribution. Post Keynesians offer valuable alternatives within the framework of parking-it approach to the existing monetary policy paradigm. Our main conclusion is that central banks should set the policy interest rate as low as possible and keep it there, in line with Keynesian “cheap money” policy.     

财政政策对私人消费非线性效应的存在性及触发条件研究

文章通过构建财政政策与私人消费关系的理论模型,初步证明了财政政策对私人消费可能存在的非线性效应以及财政政策究竟发挥何种效应是由触发条件内生决定的事实。在此基础上文章运用门限模型,将触发条件量化为门限指示变量,并以1993年1月至2009年11月的月度数据为样本对上述问题进行了实证研究。结果发现:(1)在样本期内,财政支出政策对私人消费总体上表现为凯恩斯效应,与此相对的是税收政策表现为显著的非线性效应,并以税收增长率0.287为临界值,财政政策从凯恩斯区制向非凯恩斯区制转移;(2)我国财政政策非凯恩斯区制与高通胀区制高度吻合,即在经济出现高通胀的情况下,财政政策可能引发非凯恩斯效应;(3)我国财政政策对私人消费的促进作用十分有限,乘数效应并不明显。故政府应对财政政策做出适当的调整,在积极解决当前高通胀问题的同时,确保私人消费有效增长。     

Globalization, Financial Volatility and Monetary Policy

Recently it has often been claimed that globalization eases the job of central banks as it helps to tame inflation. This is used to argue that central banks (particularly the ECB, referring to the objectives as laid down in the EU Treaty) could or should reduce their efforts in the fight against inflation in favor of supporting the general economic policies of the governments. This paper takes a critical look at this argument, pointing to the structural changes associated with globalization and to the corresponding increase in uncertainty by which the central banks are affected. As an example of this, the increase in financial volatility is analyzed and explained as the result of optimal portfolio allocation, and its implications for monetary policy are discussed.     

政策可信性变动对菲利普斯曲线稳定性的影响——来自中国的经验证据

文章以1994年前后的价格冲击下人民银行将适应性政策转变为非适应性政策这一事件为背景,考察了公众对政策可信性的变动及其对通胀预期形成方式和菲利普斯曲线稳定性的影响。我们首先在理性预期假定下设定引入政策可信性变量的菲利普斯曲线模型。通过对"产出-物价"曲线的判断,SVAR模型中通胀冲击下通胀和产出缺口的响应函数以及菲利普斯曲线模型的递归最小二乘法检验,得出我国公众对政策的可信性增加,进而导致其通胀预期形成方式中的前向参照政策信息的成分增加,菲利普斯曲线发生改变。这就意味着,如果人民银行试图维持通胀预期形成方式和菲利普斯曲线的稳定,就应该保证政策可信性具有稳定性,而且,从长期实现价格稳定目标的角度来看,人民银行还应不断提高这一政策的可信性。     

Bertrand Games and Sharing Rules

We consider asymmetric Bertrand games with arbitrary payoffs at ties or sharing rules, and identify sufficient conditions for the zero-profit outcome and the existence of Nash equilibria. Subject to some technical conditions on non-tied payoffs the following hold. If the sharing rule is strictly tie-decreasing all players but one receive zero equilibrium payoffs, while everybody does so if non-tied payoffs are symmetric. Mixed (pure) strategy Nash equilibria exist if the sharing rule is (norm) tie-decreasing and coalition-monotone. I would like to thank Fernando Branco, the audience at Pompeu Fabra (Barcelona), ISEG (Lisbon), University of Mannheim, ESEM 2003 (Venice), EARIE 2005 (Porto), two anonymous referees, and the editor Dan Kovenock for very useful comments. This research received financial support under project POCTI/ECO/37925/2001 of FCT and FEDER.     

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.     

Sharing Rules in Teams

We examine the problem of output sharing in a moral hazard in team situation. Although we do not consider any particular procedure, we assume that the team uses some procedure to decide a sharing rule before actual production takes place (for example, this may be a bargaining process or a team welfare maximization problem). This must take into account that the team will play a noncooperative game in the production process conditional on the chosen sharing rule. We show that the procedure for deciding the sharing rule does not have to look for anything more complicated than simple linear sharing rules. We also show that, when there is limited liability, the procedure needs to consider only the slightly more complicated piecewise linear rules. As a consequence of the linear sharing rule result, we are also able to provide a characterization of implementable outcomes. Journal of Economic Literature Classification Numbers: D82, D2, C72, J54.     

Policy Adoption Rules and Global Warming

Although there is widespread agreement about the dangers of global warming and the resulting need to cut down emissions, there does not seem to be general agreement about the exact form the policy should take or the timing of its adoption. Failure to adopt and implement policies against global warming reflects the complexity of the problem, the uncertainties of climate change and the cost of policy adoption. Issues associated with the interactions between uncertainties and irreversibilities in determining the timing of policy adoption are analyzed by using the methodology of optimal stopping rules. Optimal policy functions are derived for cooperative and noncooperative solutions, with differential game representation. Issues associated with the empirical application of the optimal policy rules are also considered.