Optimal Inflation Contracts and Inflation Targets with Uncertain Central Bank Preferences: Accountability Through Independence?

This paper examines some problems which arise when monetary policy is delegated to an independent central bank and where the central bank's preferences are unknown. Two key conclusions emerge from the paper. First, even with optimal targets or contracts, central bank independence may not always be desirable because central banks may have distorted preferences relative to society. Second, if the delegation solution is preferable, and the independent central bank responds to information about supply shocks, the central bank may be made more accountable by allowing it to set its own inflation targets, i.e. by making it goal-independent     

危机中美国定量宽松货币政策的实施效果——央行资产负债表的视角

金融危机爆发后,美联储采取定量宽松的货币政策。文章从央行资产负债表的视角,对定量宽松货币政策实施的背景、具体措施进行了阐述,并重点考察了定量宽松货币政策对央行资产、负债及其构成、货币政策决策的影响。研究表明,急剧膨胀的央行资产、大量投放的流动性必然造成将来通胀压力,定量宽松货币政策如何顺利退出,事关经济金融的稳定和货币政策的效果,也是央行在经济复苏阶段面临的新的课题。     

Signalling commitment with monetary and inflation targets

This article studies a two-period game between the public and a central bank about whose ability to commit to an announced target the public is uncertain. The central bank chooses between announcing a target for an intermediate variable (money growth) and its goal variable, inflation. Prior to setting its instrument, the central bank receives private, noisy information about the link between money growth and inflation. Monetary targeting facilitates communication of the central bank's type, in that the probability of separation is always higher than under inflation targeting. This advantage of monetary targets from a dependable central bank's perspective is outweighed for most parameter values by the advantage of inflation targeting in terms of inflation control. If the regime choice is treated as a strategic decision, over a large range of parameter values both central banks choose the regime that a dependable central bank would prefer.     

货币政策有效性与货币政策透明制度的兴起

本文着重探讨货币政策透明性与货币政策有效性之间的关系,目的在于说明货币政策透明制度能够兴起的一个关键因素在于货币政策的透明性有利于提高货币政策的有效性。在标准的“时间不一致性”理论里面,货币政策是否透明对货币政策的效应是没有影响的,因为在这类理论里面,经济主体能够使用所有可获得的信息形成与经济系统相一致的、无偏的估计。但问题的关键在于,这种假设的基本前提在实践中并不完全成立。当考虑到经济主体对经济运行结果和经济运行过程的不完全认知时,货币政策透明性对于促进经济主体的学习过程,稳定和引导公众的通胀预期,进而提高货币政策的有效性就起着至关重要的作用。     

混沌理论在我国货币政策制定和执行中的应用

我国货币政策环境可视作混沌的复杂系统。混沌理论表明,系统在时空上的复杂结构通常隐含着简单的决定性准则,一旦这样的准则被发现,管理当局则可以观察或者控制系统内部的复杂状况,以达到预期目标。运用于货币政策的混沌理论,是指将货币政策环境看作是具有高度复杂性和长期行为不可预测性的混沌系统,其中必然隐含着复杂系统内普遍适用的简单决定性准则。如果我们掌握并始终遵循这一准则,就可以观察并控制货币政策环境这一复杂混沌系统,使货币政策目标向预期的方向发展。     

Optimal monetary policy regime for oil producing developing economies: Implications for post-war Iraq

This paper theoretically investigates optimal monetary policy regime for oil producing developing countries. We analyze credibility and reputation of the Central Bank and macroeconomic dynamics under alternative monetary policy regimes. We construct a detailed and realistic model that can be used to analyze macroecomic structure and expectation dynamics of an oil producing open economy. We take into account the asymmetric information between the public and the central bank and theoretically investigate how this asymmetric information impacts the real economy and the credibility of the central bank. The simulation results indicate that central bank achieves higher credibility and lower inflation under dollarization and higher output levels under currency board regime. The model constructed in this paper has many policy implications for oil producing open economies. Using the implications of the model, we make monetary policy regime recommendations for post-war Iraq.     

外汇市场干预信号渠道与投机头寸相关性研究

文章主要通过研究外汇市场干预操作与货币政策改变之间是否存在相关性,来考察中央银行在外汇市场上进行冲销干预的效果。在央行拥有内部信息,投机者拥有基本面私有信息的条件下,文章使用GARCH时间序列模型,以期货市场上能够反映市场参与者对公开及私有信息理解的投机净头寸(变化)数据作为预期的代理变量展开分析。文章的结论不支持信号渠道,外汇市场上的可预期干预结果更可能与央行期望的干预方向相反,并且过去的投机者净头寸持有量可以促使干预发生。     

Inflation targeting and exchange rate volatility smoothing: A two-target,two-instrument approach

This paper introduces a strategy to model a small open economy, whose central bank has established two simultaneous policy objectives: an inflation target, and a maximum limit for nominal exchange rate volatility. In line with the Tinbergen–Aoki condition, the monetary authority establishes two policy instruments, one for accomplishing each target: the monetary policy rate, and the stock of foreign exchange reserves. Monetary policy analysis is built around a non-microfounded augmented New Keynesian DSGE model estimated through Bayesian techniques for the Guatemalan economy. It is found that each instrument is efficient in accomplishing its own target. Nevertheless, a coordinated effort is required for central bank policymakers before employing both instruments simultaneously, in order to avoid sending mixed signals to economic agents about its monetary policy stance, and endanger the achievement of its inflation target.     

Understanding China’s monetary policy: an institutional perspective

Given China’s status as a large transitional economy, analysing the country’s monetary policy requires an understanding of the institutional and policy environment within which monetary policy operates. As China’s monetary policy has multiple objectives and the central bank is subordinate to the State Council in monetary policy decisions, addressing deep-rooted structural issues and improving governance and institutions are essential so that monetary policy can be more focused and effective. Confronted with the Impossible Trinity dilemma, China faces daunting challenges in tackling the inevitable policy choice between monetary autonomy and exchange rate control as its capital account increasingly liberalises. This article analyses China’s unique and evolving monetary policy framework from an institutional perspective and evaluates the challenges to monetary management and reforms. Relevant policy implications for monetary policy implementation are also discussed.     

央行货币政策操作政策拐点与开关函数的测定

货币政策操作是政府对经济进行宏观调控的重要手段。不同的国家和地区、不同的经济发展时期,其货币政策的运用效果及特点存在明显的差异。赵进文、闵捷(2005)的研究结果表明:在1993年第1季度至2004年第2季度期间,我国货币政策操作在效果上表现出明显的非对称性,具有很强的非线性特征。在此基础上,本文首先通过Terasvirta检验法判定了央行货币政策操作开关函数的类型,之后基于先进而复杂的T-O-O网格点搜索法,测定了我国货币政策操作的政策拐点与开关函数的具体形式。     

Regional debt in monetary unions: Is it inflationary?

This paper studies the inflationary implications of interest bearing regional debt in a monetary union. Is this debt simply backed by future taxation with no inflationary consequences? Or will the circulation of region debt induce monetization by a central bank?We argue here that both outcomes can arise in equilibrium. In the model economy, there are multiple equilibria which reflect the perceptions of agents regarding the manner in which the debt obligations will be met. In one equilibrium, termed Ricardian, the future obligations are met with taxation by a regional government while in the other, termed Monetization, the central bank is induced to print money to finance the region's obligations. The multiplicity of equilibria reflects a commitment problem of the central bank. A key indicator of the selected equilibrium is the distribution of regional debt holdings. We show that regional governments, anticipating central bank financing of their debt obligations, have an incentive to create excessively large deficits. We use the model to assess the impact of some policy measures within a monetary union as well as dollarization.     

中国货币政策与股票市场的关系

本文提出的综合理论框架全面分析描述了以稳定物价水平、促进国民经济持续增长为目的的货币政策与股票市场的关系 ,着重对中央银行干预股票市场的必要性和有效性进行理论分析和实证检验。本文应用的动态滚动式的计量检验方法适应中国经济体制不断调整的特征 ,不但可以完成我们的理论分析 ,更可以检测中央银行对股票市场干预的机制及干预的有效性 ,从而分析进一步的政策含义 ,为中央银行的货币政策制订和预期效果提供一个前瞻性的预测分析框架。     

Macroeconomics and Politics Revisited: Do central banks Matter?

This paper provides a model encompassing both partisan influences on monetary policy and the issue of central bank independence. In a regime of partial independence, central bank's policy responses are not immune from partisan influences. Still, the latter fail to affect systematically the expected output level in election years. The predictions of the model are consistent with the empirical literature on partisan cycles and account for some of its controversial findings.     

Monetary policy,fiscal policy and cross signal jamming

This paper considers the issue of rule versus discretion when the central bank and the government share private information but have different preferences over inflation and output. We demonstrate that if the monetary policy is rule-based, Intuitive Criterion selects the unique separating equilibrium in which the central bank signals a low supply shock by a low interest rate. Interestingly, discretion may be better than the rule for the central bank, contrary to the case of complete information. Also, we examine the effect of information asymmetry on the monetary and fiscal policy mix. We show that cross signal jamming whereby the monetary authority and the fiscal authority successfully jams an unfavorable signal of each other does not occur in equilibrium.     

Endogenous contract structure and monetary policy

We analyze the co-determination of monetary policy and the labor contracts chosen by members of the public, who can either fix or index their nominal wages. Fixed nominal wages allow the central bank to offset productivity shocks, while the public fix nominal wages in response to the central bank offsetting shocks; so there is an equilibrium in which, realistically, nominal wages are fixed and shocks offset: a result which holds in single- as well as in multi-period games. In addition, there may be equilibria in which agents index their nominal wages, and the central bank optimally responds by stabilizing price. In contrast to conventional models, the Ramsey rule may be implemented in a finitely repeated game. The central bank does not deviate for fear that agents would change their labor contracts such that the central bank's least favored equilibrium will subsequently be played.     

The Limits of Transparency

This paper probes the limits of transparency in monetary policymaking along two dimensions: feasibility and desirability. It argues that, due to limited knowledge about the economy, even central banks (CBs) that are considered champions of openness are not very clear about their measurement of the output gap and about their beliefs regarding the effect of policy on inflationary expectations. Consequently, feasibility constraints on transparency are more serious than stylized models of the transmission mechanism would imply. In addition, no CB has made clear statements about its objective function, including in particular the relative weight on output versus inflation stabilization, the policy discount factor and the shape of losses from the inflation and the output gaps over the possible ranges of realizations of those variables.
The paper also argues that there is a trade-off between full transparency and full utilization of information in setting policy and that excessive transparency may facilitate the exertion of political pressures on the CB.
The last section of the paper abstracts from feasibility constraints and discusses the desirable levels of openness in various areas of the policymaking process. It is argued that the strongest case against immediate transparency arises when the CB has private information about problems within segments of the financial system. Premature release of information may, in such a case, destroy efficient risk-sharing arrangements and long-term investments by triggering a run on the financial system. This is illustrated within the context of the classic Diamond–Dybvig model of bank runs. The paper also probes the desirable levels of transparency in other areas of the policymaking process like the bank's objective function, the bank's output target, forecasts of economic shocks, disagreements within the CB board and the publication of CB interest-rate forecasts.     

Announcements credibility and government securities: evidence from Colombia

This article evaluates the effect of central bank announcements on government securities yields in emerging economy. In particular, based on the Colombian experience, we present empirical evidence to address the effect of credibility scenario in which the central bank announcements are made. The findings denote that credibility performance must be taken into account to verify the impact of monetary policy announcements.     

货币供给的内生性与货币政策的效率——兼评我国当前货币政策的有效性

货币内生性理论指出公众的货币需求会直接影响中央银行的货币供给。因此 ,公众通过调整货币需求可以对中央银行的货币政策效果产生不确定的影响。本文利用货币内生性理论来分析公众行为对中央银行为稳定物价水平而采取的政策效果的影响 ;并通过实证分析证实我国M2 的供给有较强的内生性 ;我国货币政策在治理通货膨胀和通货紧缩的效果上存在着不对称性 ,以此可重新认识我国当前通货政策的有效性。     

Optimal Degrees of Transparency in Monetary Policymaking

According to most academics and policymakers, transparency in monetary policymaking is desirable. I examine this proposition in a small theoretical model emphasizing forward–looking private sector behavior. Transparency makes it easier for price setters to infer the central bank's future policy intentions, thereby making current inflation more responsive to policy actions. This induces the central bank to pay more attention to inflation rather than output gap stabilization. Then, transparency may be disadvantageous. It may actually be a policy–distorting straitjacket if the central bank enjoys low–inflation credibility, and there is need for active monetary stabilization policy.
JEL classification : E 42; E 52; F 58     

基于流动性过剩的财政政策和货币政策协调性研究

流动性过剩是当前中国宏观经济中的突出矛盾，影响了中国经济健康有序的发展。要解决流动性膨胀问题，不应该仅仅从银行体系这个角度来考虑，而应该从整个宏观经济平衡这个更为广泛的视角去分析和研究。这意味着仅仅依靠货币当局，沿用提高存款准备金率和存贷款利率、向市场发行央行票据等现有的货币政策手段来应对流动性膨胀，难以根治问题。应在运用货币政策的同时，配合财政政策，通过两大政策的协调配合，建立起消费主导的良性经济发展模式和合理的国民收入分配格局，才是应对流动性膨胀的治本之策。