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.     

基于DSGE模型的我国核心通货膨胀研究

文章以新凯恩斯粘性价格理论为基础,采用DSGE模型,为我国核心通货膨胀指数的核算构建了微观基础,并因此获得了各部门价格指数的最优权重。分析认为：最优的权重受部门价格粘性、随机冲击以及部门产出缺口的价格弹性等因素的影响而变化,随着部门的价格粘性的增加而增加,且随着随机冲击方差的减少而增加,又随着部门产出缺口的价格弹性的增加而增加。与CPI指数相比,由最优权重所核算出来的核心通货膨胀指数更加的平滑稳定,没有剧烈的波动,基本上反映了CPI指数的核心趋势。并且文章的研究结论与侯成琪等(2011)的研究也相一致。因此,文章建议其可以作为我国货币政策制定与实施的具有福利标准的参考锚的。     

BQ分解在核心通货膨胀中的应用研究

文章对Blanchard and Quah趋势分解（BQ分解）在核心通货膨胀中的应用进行了深入的研究,并针对其在应用中所存在的问题提出相应的解决方案。 BQ分解是根据菲利普斯曲线理论发展而来的,主要用于对多维变量的趋势分解。研究表明,两维var模型的BQ分解通常是充分可解的。但是多维BQ分解由于自身的结构性原因,并不能保证一定可解出有意义的实数解。文章也证明了文献中所提出为了解决该问题的Cholesky分解,其与BQ分解相互矛盾而不可采用,所以文章推荐采用校准的方法。实证表明,由校准BQ分解所得到的核心通货膨胀完全满足理论和实践对它的要求,能够预测CPI指数的发展趋势,所以作为解决多维BQ分解无法正常求解时的备选方法,校准是一种便捷而有效的方法。     

Demand for Money in Transition: Evidence from China’s Disinflation

We examine money demand in the Chinese economy during a period characterized by significant disinflation and outright deflation, coupled with strong output growth. Our study establishes a stable money demand system for broad money M2. Inflation affects the adjustment of the system towards equilibrium, and shocks to broad money are found to lead to higher inflation in the context of an impulse response analysis. No evidence of non-linearity in money demand is found for the disinflationary period. The results provide support for the People’s Bank of China’s policy of specifying intermediate targets for money growth. Importantly, our results suggest that movements in the nominal effective exchange rate should be taken into account in a successful implementation of such a policy.

试析人民币对外升值与对内贬值并存

Since 2002, RMB has shown a phenomenon which is the co-existence of the external appreciation and the domestic inflation. This new monetary phenomenon has been strengthened in the context that US dollar depreciates internationally and that domestic economy is overwhelmed with excessive liquidities. The new monetary phenomenon is the reflection of the real economy that continuing trade surplus, triggered robustly by the export-driven economy, which brings a huge amount of foreign exchange reserve and accelerates sequentially the expansion of domestic money supply. Furthermore, a refrained appreciation of RMB tends to deteriorate the domestic inflation, which is not simply a traditional concept of CPI but a broad inflation parameter including a variety of asset prices. It is sure that the new phenomenon is becoming a new challenge to the macroeconomic equilibrium as well as the decision maker of monetary policy. __________ Translated from Jingji yanjiu 经济研究 (Economic Research Journal), 2007, (9): 32–48     

中国通货膨胀问题研究——基于菲利普斯曲线的三因素模型视角

当前,中国的通货膨胀压力不断增大,研究发现,中国目前的通货膨胀主要是由供给推动所致,且以经济"滞胀"为显著特点。因此,决策者应通过扩大产出来抑制供给型通货膨胀,避免使经济由"滞胀"转向"衰退"的轨道。     

A Note on Inflation Targeting

The authors present a pedagogical graphical exposition to illustrate the stabilizing effect of price target zones. Based on a textbook AD-AS apparatus, they find that authorities' commitment to defend a price target zone will affect the public's inflation expectations and, in turn, reduce actual inflation. They also find that, when the economy experiences supply shocks, the announcement that the monetary authorities intend to defend a price target zone will reduce the variability of domestic prices but raise the variability of domestic output relative to a free-price regime. However, when the economy experiences demand shocks, a price target zone tends to lower the variability of both domestic prices and out-put relative to a free-price regime.     

我国通货膨胀率均值过程和波动过程中的双长记忆性度量与统计检验

This paper uses the ARFIMA-FIGARCH model to investigate the China’s monthly inflation rate from January 1983 to October 2005. It is found that both first moment and second moment of inflation have remarkable long memory, indicating the existence of long memory properties in both inflation level and inflation uncertainty. By the Granger-causality test on inflation rate and inflation uncertainty, it is shown that the inflation level affects the inflation uncertainty and so supports Friedman hypothesis. Therefore, as for policy maker, they should roundly concerns on long memory properties of inflation and inflation uncertainty, and their single-direction relationship between them. __________ Translated from Guanli shijie 管理世界 (Management World), 2007, (7): 14–21     

Exchange rate pass-through in the Asian countries: does inflation volatility matter?

This paper presents a nonlinear relationship between exchange rate pass-through (ERPT) and inflation volatility. Through the lens of a threshold framework, we uncover a clear evidence of near to one ERPT to consumer prices once inflation volatility crosses a threshold level of 4.17. Clearly, there are significant differences in the degree of ERPT between the high and low inflation volatility in the inflation targeting (IT) and non-IT Asian countries.     

Inflation targeting and inflation expectations in Mexico

In this article we analyse inflation expectations in Mexico. After a review of the theoretical and empirical literature, we apply unit root, normality and cointegration tests to the data provided by Banco de México (Banxico) in the Survey on the Expectations of the Private Sector Economics Specialists. Our results reject the null hypothesis of normality for inflation expectations over the period 2004:01–2011:12. The exchange rate has become one of the most relevant variables in the transmission mechanism of monetary policy in a small open economy. In this regard, we show the existence of a long-run relationship between nominal exchange rate and interest rate where inflation expectations matter for long-term dynamics.     

Modelling inflation shifts and persistence in Tunisia: perspectives from an evolutionary spectral approach

This article examines the dynamic characteristics of the inflation rate in Tunisia over the last two decades, and particularly following the onset of the Arab Spring in 2010 which causes distortions in this country’s monetary policy. We focus on the two specific dimensions of the Tunisian inflation rate: inflation regimes and persistence. We tackle this issue by adopting an evolutionary spectral approach, initially proposed by Priestley and Tong (1973). Our main findings indicate a stable inflation regime in the last 10 years, with an average inflation rate of around 5.5%. It is also found that the Tunisian inflation experienced a high degree of inertia which reflects its gradual responses to shocks. We also discuss the policy implications of these results, which typically require policy-makers to implement sound institutional reforms to reduce inflation.     

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.