食品通胀周期中城镇居民食品消费结构动态及福利损失研究

在食品通胀周期背景下,使用城镇住户抽样调查数据及AIDS-ECM模型对城镇居民食品消费结构动态及福利损失进行了研究。研究结果表明:首先,长期中分类食品价格上涨会增加自身消费支出,而抑制其它分类食品消费支出。短期中通过食品消费结构调整实现动态均衡,且收入层次越高调整速度越显著,食品结构越均衡;其次,长短期中食品质量越高其支出弹性越高,且高质量食品支出弹性随收入层次增加而增加。短期自价格弹性较长期弹性敏感,高质量食品自价格弹性在中、高收入层才显著;再次,城镇居民食品消费的福利具有周期性特征,粮食、肉禽类食品消费福利构成食品消费福利主体,通胀期的福利损失大于收缩期的福利获得,在长短期中食品消费福利变化随收入层次增加而减少。现阶段稳定核心食品价格,减小收入分层差距,是优化城镇居民食品消费结构,增加福利的两个重要途径。     

通胀预期与真实价格之间的关系

本文通过偏相关分析的统计方法,对通胀预期与真实价格之间的关系进行了数量分析.研究发现,通胀预期与消费价格指数存在相互的正向作用.通胀预期的形成具有短期特征,对未来物价的判断更多地依赖最近时段的环比物价水平,而通胀预期对后期物价指数特别是同比物价指数具有长期影响.以房屋和股票为代表的环比资产价格变动对通胀预期的形成具有正向作用,但通胀预期对后期资产价格走势不存在反作用.     

我国CPI与PPI非线性调整的实证解释

本文基于两区制门槛误差修正模型对我国CPI与PPI倒挂现象进行实证解释.研究结论表明,CPI与PPI之间存在非线性协整关系,只有当偏离达到一定程度时,系统才会开始向长期均衡状态调整.在调整过程中,CPI与PPI对误差修正的调整速度并不相同,PPI的调整速度要高于CPI的调整速度,而且调整主要是通过倒挂期PPI的变化来完成.两个区制的差别还反映在Granger因果关系上;在区制一时仅存在从CPI到PPI的单向Granger因果关系;而在区制二时存在CPI和PPI的双向Granger因果关系.     

通货膨胀率波动的区制转换与持续期依赖特征

本文运用具有持续期依赖性质的Markov转换模型和Gibbs抽样方法分析了1996年以来我国月度通货膨胀率波动的非线性区制转换和持续期依赖特征,加深了对通货膨胀率(即通胀率)动态机制的认识。结果表明:通胀率波动存在"低水平"和"高水平"两个区制阶段,两者均值折年率分别为0.260%和7.670%,两个区制的参考分界线为3.700%。21世纪通胀率经历了3次"高水平"阶段,每次均处于同比CPI波动的上升期。通胀率在"低水平"阶段具有明显的正持续期依赖特征,持续30个月时,物价由"低通胀"转入"高通胀"的概率超过0.900;而通胀率在"高水平"阶段几乎不存在持续期依赖性。     

我国粮食价格与居民消费价格关系研究

本文从因果关系和协整关系两方面研究我国粮食价格与居民消费价格之间的相互关系,因果关系检验发现两者之间存在双向Granger因果关系,协整检验认为两者之间存在协整关系.本文进一步使用可以揭示协整变量非线性调整过程的门限协整模型进行检验和分析,实证结果支持粮食价格和居民消费价格之间存在非线性的协整关系,并且当出现短期偏离时,主要是通过粮食价格的调整以趋实现均衡.     

我国居民通胀预期的测度:基于银行间债券市场数据的方法

通胀预期测度是通胀预期管理的前提。文章基于通货膨胀持久性特征,在无套利假设下,将实际通胀率这一宏观变量纳入传统的因子模型中,并运用银行间债券市场收益率数据对我国居民通胀预期进行了估计,结果显示我国居民通胀预期并不完全满足理性预期假设,而是与实际通胀之间存在有规律的系统性偏差,短期实际利率的变动是造成偏差的主要原因。文章认为通过强化货币政策前瞻性可以消除这种偏差,从而抑制实际通货膨胀水平。     

中国通胀预期、通货膨胀和农产品价格的关系研究

在引入通胀预期这一因素后,根据2002—2011年样本利用VAR方法对通胀预期、通货膨胀和农产品价格三者之间的动态关系进行实证分析。研究发现,三个变量具有很强的趋同性,通胀预期和通货膨胀均有明显的惯性,并且通胀预期对通胀的影响要大于通胀对通胀预期的影响;农产品价格和通货膨胀之间存在着双向的因果关系,农产品价格受到通货膨胀56%的决定性影响,而农产品价格对通货膨胀的影响仅为14%。     

我国通货膨胀对经济增长的 影响存在门槛效应吗——基于省级动态面板平滑转换模型的实证分析

本文利用动态面板平滑转换模型,发现我国通胀率对经济增长存在非线性门槛效应。从东部、中部和西部来看,其门槛值依次上升,但通胀率对经济增长的影响速度却依次下降。在通胀率较低时,无论是当年还是上年通胀率,对经济增长都有促进作用;但随着通胀率的上升,虽然当年通胀率对经济还具有一定的促进作用,但上年通胀率对经济增长开始呈现较大的负向作用,两者间表现为左高右低非对称的“U”形。另外,经济增长的可持续在一定程度上也受通胀率的影响,并在东部、中部和西部表现出不同的特征。因此,央行应致力于降低通胀率来促进经济增长,并根据区域情况不同实施差异化的货币政策。     

中国经济增长与碳排放之间的长期均衡关系及其短期非线性调整

运用Hansen和Seo的两区制阈值协整理论,研究了1953—2010年中国经济增长与碳排放之间的关系及其关系的短期非线性调整。结果表明:经济增长与碳排放之间存在非线性协整关系;当两者的长期均衡关系出现短期偏离时,在正常区制中,主要依靠碳排放的调整使两者间关系恢复到长期均衡状态,在极端区制中,碳排放和经济增长都会向均衡状态做出调整,且碳排放的调整速度更快。     

媒体报道、通胀预期与新凯恩斯菲利普斯曲线

本文研究媒体报道对通胀预期的影响以及预期对现实通货膨胀的驱动效应。文章根据发行量排名、影响力和覆盖范围选取媒体库并计算相关媒体报道的量化指标,通过调查数据获得现实中公众对未来的通胀预期,进而检验媒体报道是否对公众预期通胀率具有显著影响。文章还进一步构建了基于微观基础的新凯恩斯菲利普斯曲线模型,用以考察通胀预期对现实通胀率的驱动效应。研究结果表明,中国的媒体舆论显著驱动公众预期,媒体舆论对公众预期变化的解释程度接近30%;单份报刊每增加1篇关于物价上涨的相关报道,公众预期通胀率会上升0.1%～0.2%;同时,公众预期又对现实通胀率具有显著驱动效应,公众预期通胀率每上升1%,现实通胀率上升0.3%～0.7%。因此,我国存在着从媒体报道到公众预期再到现实通货膨胀的传导机制。     

国际石油价格与通货膨胀的溢出效应及动态相关性

国际石油价格大幅波动不可避免地给全球经济带来了一定程度的冲击和影响。文章采用向量自回归、多元GARCH-BEKK和DCC-GARCH模型对中美两国通货膨胀与国际石油价格之间的均值溢出效应、波动溢出效应及动态相关关系进行了实证检验。检验结果表明,国际石油价格与中国通货膨胀不存在任何方向的均值和波动溢出效应,美国通货膨胀与国际油价则存在双向显著的均值和波动溢出效应;中国通货膨胀与国际油价的动态相关关系显著弱于美国,不易受到国际油价的冲击和影响。从整体上看,当前中国通货膨胀与国际石油价格的关联性并不显著,但随着我国石油消费对进口依赖程度的不断提高,石油安全问题在可预见的未来将成为中国需要应对的一个现实挑战。因此,相关部门应及早采取有效措施,应对未来石油冲击对宏观经济的影响。     

Inflation dynamics in Kazakhstan1

In January 1992, Kazakhstan initiated a reform programme to move towards market-determined prices. The price liberalization process was characterized by large relative price shifts and an increase in the overall price level towards those observed in market economies. The paper shows how the piecemeal manner in which prices were liberalized resulted in strong relative price variability over a prolonged period of time, against a background of high inflation. Convergence towards international relative and absolute price levels has progressed but is not complete, with prices for energy and services in particular still below market economy levels.     

Inflation pressure and price intervention: an ominous combination∗

Of the debate regarding the new round of surging inflation in China, structural opinion interprets inflation as a problem of structural price growth, mainly brought about by a price hike for selected commodities as a result of exogenous shocks from different sectors. In line with the explanation, various measures aiming to control prices have been implemented recently. On the basis of basic economic principles and empirical evidence drawn from four cases, this essay argues that price intervention policies are counter-productive in bringing inflation down.     

Inflation, Shadow Prices and the EMU: Evidence From Greece

The paper examines whether inflation systematically distorts the informational content of price signals. A shadow cost function is specified, and the deviation of shadow from actual prices is modeled as a function of the level of economy‐wide inflation, as well as other conditioning variables like budget deficits and changes in inflation rate. It is found that inflation is associated with significant allocative costs in most Greek manufacturing sectors. Measures of cost gains resulting from Greece's convergence towards the EMU are provided and the policy implications are explored.     

Oil price–inflation pass-through in Romania during the inflation targeting regime

In the wake of the inflation-targeting strategy in Romania, we estimate the impact of international oil prices upon the consumer price index (CPI) and core inflation. The inflation target was systematically missed by the monetary authorities who explain this failure by exogenous factors. Using a frequency domain framework, we show that the oil price–inflation pass-through can be observed only for those components of inflation which include volatile prices and only in the medium run. Our results put forward that the constant missing of the target cannot be explained by the oil price–inflation pass-through and the credibility of the strategy is put into question.     

通胀预期对未来住房价格的影响——基于消费者信心指数的分析

以消费者信心指数作为通货膨胀预期指标,以中国1999—2010年住房市场月度数据为样本,实证检验通货膨胀预期对未来住房价格的影响。实证检验结果表明,通货膨胀预期会导致住房价格上涨,即生产者和消费者对通货膨胀预期将推动住房价格的不断上涨,因此,稳定通货膨胀预期对于稳定住房价格具有十分重要的作用。     

Decomposing household,professional and market forecasts on inflation: a dynamic factor model analysis

A dynamic factor model with stochastic volatility is used to investigate the relationships between three alternative measures of inflation expectations. The results show evidence of both a common time-varying trend and a common transitory component between inflation and short-term inflation expectations from households, professionals and markets. While the common time-varying trend has declined in both level and volatility since the early 1980s, it was found that consumer expectations are disproportionately influenced by the visibility of prices of select few goods. Roughly speaking, a 1% point increase in food and energy prices leads to about 1/3% point increase in consumer forecasts of inflation. In terms of policymaking, this finding suggests that stability in highly visible prices can moderate inflation in a meaningful way.     

Profit Differences and Corporate Power: Some Empirical Surprises

Inflation targeting is currently the policy of choice for central banks. This policy invariably targets consumer price inflation, which is only one of many available price level indices (such as prices of new investments and house prices). As there is no stable relationship between these price levels, and as differences in developments between the different price levels might induce destabilizing behavior, there is no reason why “low and stable” consumer price inflation should guarantee monetary and financial stability. Following John Maynard Keynes, a “low and stable” increase of average nominal wages might do a better job. As price levels are designed to estimate the purchasing power of spending power and as income, and spending power are used to not just consume or invest but also to pay down many kinds of (gross) debt, it is advisable to use a joint definition of monetary and financial stability, which combines stable purchasing power of monetary income with a stable ability of households and companies to pay off debts.     

利率、魏克赛尔累积过程与资产价格

通货膨胀目标制的理论基础直接来源于魏克赛尔的累积过程理论。央行的利率政策不但会影响一般价格的上涨,而且会导致资产价格出现泡沫。现时的房产价格与未来的产出和通货膨胀关系密切,应该在CPI中给予一定的权重。低利率、低通胀和资产价格膨胀共存并不意味着累积过程理论失效,而是因为其反馈机制和通胀度量出现了问题。     

Should a central bank react to food inflation? Evidence from an estimated model for Chile

We examine whether food price shocks are a major source of macroeconomic fluctuations. We estimate a small open economy DSGE model using an alternative Taylor rule applied to Chilean data. The empirical evidence suggests that food inflation played a non-trivial role in shaping Chile's de facto monetary policy actions. Consistent with its commitment to price stability, the central bank increases the policy rate in reaction to food inflation. Despite an immediate monetary policy reaction to a food price shock, the policy rate gradually tapers off. This is due to a second-round effect on non-food inflation propagated by the food price shock. A main finding is that monetary policy that targets headline inflation is welfare improving.