WEALTH,ASSET PORTFOLIO,MONEY DEMAND AND POLICY RULE

I look at the linkages between monetary policy and asset wealth using quarterly data for the USA. I show that a positive interest rate shock leads to a fall in aggregate wealth and an important change in portfolio composition: housing wealth gradually decreases, but the effects are very persistent; and financial wealth quickly shrinks, but the impact is short‐lived. I also find that the money market can be characterized as follows: (i) the money demand has a large interest elasticity and a small output elasticity; and (ii) the estimated monetary policy reaction function highlights the special focus given by the central bank to developments in monetary aggregates. These features call for an approach whereby monetary authorities put more emphasis on tracking wealth developments, in particular, given the asset portfolio rebalancing between money holdings and financial and/or housing assets.     

后金融危机时代国际货币秩序变革研究——人民币国际竞争力的提升

此轮金融危机的广泛蔓延使各国经济受到不同程度的负面影响,后危机时代的国际经济秩序面临重大调整的时机,其中货币制度的选择、各国货币实力的此消彼长成为全球新货币经济秩序建立的决定性推动力。本文选取货币竞争的视角,在总结英镑、美元、欧元等国际货币竞争主导因素的基础上,探讨后金融危机时代国际货币经济秩序的变革方向和趋势,最终以人民币国际化为落脚点提出相关建议。     

Alternative Monetary Targets,Instruments and Future Monetary Policy Frameworks

ABSTRACT

This article expands on the debate of whether merely controlling inflation can be considered a good outcome in terms of monetary policy, discussing proposals for adopting alternative monetary targets (e.g., price level, nominal GDP), alternative instruments (e.g., monetary finance, central bank digital currencies), for enlarging central banks' mandates (e.g., incorporating employment, wages, inequality, environmental objectives) and for the design of future monetary policy frameworks.

We argue that in the coming years, central banks should not simply maintain their pre-2008 standards by de-implementing unconventional monetary policies. Instead, they must take advantage of their past and recent experiences in order to improve, under an evolutionary perspective, future monetary policy and financial stability frameworks. Based on this, measures implemented since the 2008 crisis would have three possible treatments in new frameworks: i) be discarded, due to their predominantly adverse effects; ii) not be regularly implemented, but be used as backstop mechanisms if needed; iii) be incorporated as regular measures of monetary policy/financial stability frameworks. Accordingly, monetary and financial stability authorities will increasingly need to evolve and engage in a continuously adaptive and innovative process in order to face challenges posed by financial markets that are becoming more dynamic, innovative, complex, interconnected and globalised.     

中央银行独立性与货币、金融稳定政策协调

当今,金融危机给经济发展带来了极大的危害,为此,金融稳定是当务之急.审视中国的金融现状,我们必须加强金融体系各组成部分内部及其相互之问的有效风险配置、资源配置等核心功能,将中央银行独立性、货币稳定政策及金融稳定政策纳入统一框架之下,有效协调货币、金融稳定政策,提高金融机构风险管理水平.     

Global Imbalances and the Financial Crisis: Reassessing the Role of International Finance

Global current account imbalances have recently been singled out by many as a key factor contributing to the global financial crisis. Current account surpluses in several emerging market economies are said to have put significant downward pressure on world interest rates, thereby fueling a credit boom and risk taking in major advanced economies with current account deficits (the “excess saving” view). We argue that this perspective on global imbalances bears reconsideration. We highlight two conceptual problems: (i) explaining market interest rates through the saving-investment framework; and (ii) drawing inferences about a country's cross-border financing activity based on observations of net capital flows. We trace the shortcomings of this perspective to a failure to consider the distinguishing characteristics of a monetary (credit) economy. We conjecture that the main macroeconomic cause of the financial crisis was not “excess saving” but the “excess elasticity” of the international monetary and financial system.     

Monetary policy implications of short-term capital flows in Turkey

The advent of global financial crisis in 2008, unleashed volatile short term capital flows to the emerging markets. This has forced many central banks in the developing world to adopt innovative policy measures to address concerns related to financial instability caused by the volatile nature of capital flows. In 2010 Turkish Central Bank included financial stability in addition to price stability as one of primary goals of its monetary policy. Several macro-prudential measures had been taken and ‘corridor system’ of setting the short-term policy rates had been introduced. In this paper, we have estimated an extended Taylor rule, using error correction model, to examine the impact of global financial factors in impacting the setting up of the policy rate in the pre and post 2010 periods in Turkey. It has been found that in the post-2010 period, global financial factors and monetary policy stance of the core economy, USA, have become major factor(s) in shaping up the monetary policy. Particularly our results of variance decomposition show that global financial indicators such as, VIX and EMBI have taken prominence in the setting of the short-term policy rate. This has not only made the domestic monetary more dependent on external factors but has also made pro-cyclical in nature.     

应对新冠疫情冲击的货币政策国际协调

新冠疫情冲击了世界经济增长和金融市场稳定。很多国家推出极度宽松货币政策应对危机。从经典货币政策国际协调的博弈理论来看,应对本次疫情冲击的各国货币政策协调性不足,“以邻为壑”的非合作均衡效果明显。为数不多的货币政策协调也存在执行力不足、深度与广度不够、新兴市场国家话语权低等问题。在世界经济紧密联系、货币政策溢出效应加强的背景下,为了应对疫情冲击,国际组织需要创设协议和合作剩余分配机制,寻找货币政策刺激效果和防止国际资产泡沫之间的平衡,加强政策沟通和信息共享,提高新兴市场国家话语权,建设有效的应对危机的货币政策国际协调机制。中国应在“一带一路”倡议的框架下建立长期货币政策协调机制,在现有的IMF和G20等平台上发挥发达国家与新兴市场国家之间的协调桥梁作用,通过持续开展央行间技术性合作等措施参与和推进协调进程。     

Financial frictions and optimal stabilization policy in a monetary union

Financial frictions differ across countries and thus cause international differences in the transmission of shocks. This paper shows how the optimal mix of monetary and fiscal policy depends on these country-specific financial frictions. To this end, we build a two-country DSGE-model of a monetary union. Financial frictions are captured by the cost channel approach. We show that the traditional solution to the assignment problem – the common central bank stabilizes the inflation rate at the union level and the national fiscal authorities stabilize the national economies – does not hold in a world with financial frictions. The cost channel decreases the efficiency of monetary policy and increases the need for fiscal stabilization even at the union level. Moreover, the more heterogeneous the union, the more important is fiscal policy in stabilizing shocks. Finally, we evaluate the scenarios in terms of welfare of the representative household.     

The Effectiveness of Unconventional Monetary Policy in Japan

Since the global financial crisis of 2007–2008, central bankers around the world have been forced to abandon conventional monetary policy tools in favor of unconventional policies such as quantitative easing, forward guidance, and even lowering the interest rate paid on bank reserves into negative territory. Japan, which faced a crisis in its banking sector and came up against the theoretical zero lower bound on interest rates nearly a decade earlier, was a pioneer in the use of many of these unconventional policy tools. This article analyzes the effectiveness of Japan’s bold experiment with unconventional monetary policy. Using a panel of bi-annual bank data covering the full universe of Japanese commercial banks over a fifteen-year period, this study analyzes the effectiveness of quantitative easing policy on the bank lending channel of monetary policy transmission. Our findings suggest that Japan’s unconventional monetary policy worked: there is a bank lending channel of monetary policy transmission in Japan. These results are robust to the inclusion of time fixed effects and generalized method of moments analysis.     

货币政策、金融周期及其宏观经济效应

本文综合金融市场的多维信息,利用主成分分析法合成我国的金融周期指数。在此基础上,构建TVP SV VAR模型研究2003—2017年间我国货币政策、金融周期及宏观经济变量间的时变互动关系。研究发现：（1）我国货币政策、金融周期和宏观经济变量之间存在显著的时变互动关系。（2）金融传导渠道可能扭曲货币政策效力,通过金融传导渠道,货币政策不仅会抑制经济增长,还可能加剧通货膨胀。（3）金融周期对货币政策产出效应的影响滞后于对价格效应的影响。短期来看,货币政策产出效应的时变特征与金融传导渠道无太大关联,但随时间推移,金融繁荣对产出的负面影响可能最终使货币政策产出效应发生反转。货币当局应警惕金融繁荣对货币政策效力的扭曲,审慎操作,且不宜承担过多刺激产出的任务。     

关于金融危机的十个问题

一场对世界经济和金融体系产生深远影响的金融危机,正在全球不断蔓延开来。对中国来说,如何从这场全球性金融危机中吸取经验教训、总结理论启示,是我们面临的重要任务。全球金融危机产生的原因、实体经济与虚拟经济的关系、国际货币体系改革、国际金融秩序重建、金融创新与监管、政府干预与市场原则、投资银行出现危机的原因、金融高杠杆、资产证券化的未来以及货币政策的目标选择等与金融危机相关的10个问题,是我们在理论上应该作出进一步思考的问题。     

Monetary and Financial Integration in the EMU: Push or Pull?

This paper examines the channels through which monetary union increased financial integration, using panel data on bilateral international commercial bank claims from 1998–2006. I decompose the increase in claims into three channels: a "borrower effect," as a country's EMU membership may leave its borrowers more creditworthy in the eyes of foreign lenders; a "creditor effect," as membership in a monetary union may increase the attractiveness of a nation's commercial banks as intermediaries, perhaps through increased scale economies or through an improved regulatory environment after the advent of monetary union; and a "pairwise effect," as joint membership in a monetary union increases the quality of intermediation between borrowers and creditors when both are in the union. Isolating these three channels through a series of difference-in-differences specifications, I find that the pairwise effect is the primary source of increased financial integration. This result is robust to a number of sensitivity exercises.     

Financial innovations and the future of monetary policy in Nigeria

This paper examines the implications of financial innovations on Nigeria’s monetary policy, using: trend analysis, error correction mechanism, and a structural model estimated with generalized method of moments. The study found that financial innovation improves the interest rate channel of monetary policy transmission, and the efficiency of the financial system. However, it increases the output gap and adds an element of uncertainty in the monetary policy environment as it increases the cost of implementing monetary policy and impinges on the potency of the operating target through its impact on the stability of the money multiplier, money velocity, and demand for money.     

金融非均衡状态下的通货膨胀成因与治理

当前我国经济运行中的金融非均衡现象日益突出。金融非均衡发展对货币政策最终目标——控制通货膨胀和金融稳定产生重大影响。本文分析了我国金融非均衡发展及其与通货膨胀相互关系的作用机理,并通过实证检验证明了金融非均衡发展是通货膨胀的格兰杰原因,最后提出了应对金融非均衡的政策策略:一是货币政策事前策略;二是加强金融监管和运用财政政策的策略。     

How does capital regulation react to monetary policy? New evidence on the risk-taking channel

Before the subprime crisis, financial stability was a microprudential issue addressed by capital regulation and unrelated to monetary policy. The financial crisis put this paradigm to the test and turned the spotlight on the relationship between financial stability and monetary policy. Hence, the following question arises: how does capital regulation react to monetary policy? This article seeks to answer this question. We analyze the link involving monetary policy and capital regulation through the risk-taking channel in Brazil. The findings suggest that banks react to monetary policy by changing the amount of loan provisions as well as the capital adequacy ratio (CAR). An important novelty of the study is the evidence that there is no trade-off between provisions and CAR, which are important tools used by banking supervisors. The key result of the article is that banks react to the macroeconomic environment differently from what is expected by banking supervision, i.e., there exists a paradox between the microprudential view and the macroprudential view. Thus, in terms of practical implication, a banking supervision strategy for financial stability must take into account the effects of monetary policy.     

金融危机形成理论的虚拟化--综述与评价

本文认为,从早期的金融危机形成理论到现代货币危机模型,对金融危机形成机理的研究逐渐从侧重关注实体经济领域转而侧重关注虚拟经济领域,呈现出不断"虚拟化"的趋势.毫无疑问,伴随着经济全球化的脚步,世界经济运行出现了许多新的特征,因而对金融危机形成机理的研究,必须系统了解金融全球化背景下的现代金融体系历史演进和现状,深刻认识当代经济的虚拟化进程.     

Monetary Regime Choice and Optimal Credit Rationing at the Official Rate: The Case of Russia

ABSTRACT

Stabilizing monetary policy in a small open economy is constrained by the open economy trilemma. In this paper, we investigate whether foreign exchange market interventions and the Central Bank’s credit rationing at the official rate (CROR) may soften this constraint and improve the results of monetary policy for different monetary regimes. We construct a dynamic stochastic general equilibrium (DSGE) model appropriate for analyzing the forward-looking behavior of households facing non-zero probabilities of losing access to financial market and CROR. We have found significant credit rationing in the quarterly Russian data of 2001:Q1–2014:Q2. The probability of losing access to financial market and the probability of CROR are estimated as 22% and 66%, respectively. Using Russian data of 2001:Q1–2014:Q2 we demonstrate that CROR provoked forward-looking activity in financial market, which led to more Ruble devaluation in the crises of 2008–2009. It improved poor countercyclical performance of two Russian monetary policy rules, whereas made small effect on welfare. Welfare maximization exercises reveal a tradeoff between low-inflation and high-welfare solutions and favor of a floating exchange rate regime. We found the optimal value of the probability of CROR in both exchange rate-based and Taylor rule-based models but resulting improvement in welfare is very small.     

The Structure of Financial Markets and the 'First Principles' of Monetary Economics

There has been a significant degree of financial restructuring over the last few decades, which has prompted a rethinking of the first principles of monetary economics. The focus here is on how four specifications of these principles address such issues as the need for central banks and the potential for separation of the monetary functions. The case is made for one approach, which suggests that the need to establish trustworthy credit relations, in an environment subject to fundamental uncertainty, is at the heart of monetary systems. It is argued that monetary history demonstrates that monetary standards and central banking have indeed tended to be the outcome of the competitive process in the financial sector.     

世界金融危机与新金融革命

"里根经济学"的兴起,有力地推动了西方金融革命,并使"货币热"席卷全球.与此同时,金融危机也波及整个世界。开展新金融革命,是消除世界金融危机的最佳途径.