Monetary,fiscal, and structural drivers of inflation in Ethiopia: new empirical evidence from time series analysis

This study empirically investigates the drivers of inflation in Ethiopia using monthly data over the period July 1998 to September 2020. It explores short-run and long-run effects of domestic and external determinants of inflation—including demand-side, supply-side, and structural factors—using the cointegration and vector error-correction methodology. Four measures of inflation are considered: cereals, food, nonfood, and all-items Consummer Price Index (CPI) inflation. A key contribution to the existing literature is the investigation of the role of the fiscal sector in modeling inflation, a topic that has been neglected in the existing studies on inflation in Ethiopia. The empirical results show that disequilibria in the monetary sector, grains sector, and food markets have long-run effects on inflation. In the short run, inflation is driven by structural factors (notably, cereal output gaps and imported inflation) as well as demand-side factors (notably, money growth and public sector borrowing). The results hold when analysis is limited to the high growth period from 2005 onward, following the end of the International Monetary Fund (IMF) program in the country. The evidence provides valuable insights in the context of ongoing macroeconomic policy reforms in Ethiopia.     

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.     

Estimates of optimal public capital stocks in Japan using a public investment discount rate framework

The purpose of this paper is to empirically assess the optimality of the level of public capital in Japan. We use a methodological approach based on Burgess's (1988) procedure for calculating the public discount rate. This approach involves estimating a production function, but does not necessarily require utility function estimation. The results indicate that, although the Japanese economy experienced a public capital deficiency over the period 1960–1982, public capital moved toward optimal levels throughout the period. First version received: March 1997/final version received: June 1998     

开放进程中的货币政策目标和汇率制度选择

20世纪80年代以后,理论研究对货币政策目标和汇率制度选择问题进行了新的诠释,国际经验为此提供了实证支持。应用于中国的现实情况,在开放和发展进程中,不完全的资本流动性、现实经济中的多重政策目标以及宏观经济内外失衡之间的传导机制,使得中国在实施货币政策的同时,应该而且能够维持汇率的相对稳定性。     

宏观经济政策对人民币汇率变动的影响

本文从影响汇率变动因素的角度出发,着重探讨在不完全资本流动情况下宏观经济政策对一国汇率变动的作用,进而对人民币走势作一利弊分析,指出人民币走向国际可自由兑换货币是中国参与经济全球化的必然趋势。     

Intergenerational transfers and the social discount rate

This paper investigates the relationship between intergenerational asset transfers and the choice of the discount rate for use in cost-benefit analysis in a model of a competitive overlapping generations economy constrained by a socially managed exhaustible resource. Provided that there are no distortions in capital markets and that all agents hold perfect foresight, cost-benefit techniques will result in a Pareto efficient resource allocation if the discount rate is set equal to the market rate of interest. But since the path of the interest rate depends on the level of intergenerational transfers, cost-benefit techniques do not ensure a socially desirable distribution of welfare between generations; a social optimum will result only if intergenerational transfers are properly chosen and enforced. Decentralized private altruism may result in intergenerational transfers that both present and future individuals would agree are too small if members of the present generation attach positive weight to the general welfare of future generations, not simply their personal descendants. In a world where intergenerational transfers are non-optimal, second-best policy-making may imply a constrained optimum that is inefficient. Together, these findings suggest that cost-benefit analysis is at best a partial criterion to policy formulation that should be used only in conjunction with ethical principles that define the proper distribution of welfare between present and future generations.     

Jump risk of Presidential election: evidence from Taiwan stock and foreign exchange markets

This article employs jump-diffusion models, including the ARJI model and the GARCH-jump model, to examine jump intensity and volatility of Taiwan stock and foreign exchange markets during a Presidential election period. The empirical results indicate that, firstly, the ARJI model fits data better than the GARCH-jump model. Secondly, the Presidential election events enhance the jump intensity of both markets and the jump-induced variance is higher than diffusion-induced variance. It reveals the importance of the discrete jump process during a Presidential election period, and might provide some implications for option pricing or hedging strategy. Due to the intervention of the Central Bank in the foreign exchange market during a Presidential election period, the results indicate that jump intensity and volatility of jump size are more moderate.     

我国M1货币政策中介目标的 一个合理选择

本文定义了货币M1的一个新增长率,以其值作为与实际经济增长率相适应的中介目标值;定义了货币M1的一个超额增长率,以其负值作为与通货膨胀率相适应的中介目标值;在此基础上,重新确定M1货币增长率的值作为中介目标值。实证表明在中国这样确定的货币政策中介目标值与经济增长和通货膨胀最终目标一致。     

The lean times in the Peruvian economy

The growth rate of “nonprimary gross domestic product (GDP)” (Perú’s urban economy) dropped to 3.6 percent in 2014 and to 2.4 percent in 2015, far below the annual average of 7.3 percent recorded over the previous decade; moreover, an equally low growth rate of 2.8 percent per year is projected in 2016. In the macroeconomic history of Peru, the times of plenty —that is, the more or less prolonged booms—are also times of high prices of the commodities that the country exports; meanwhile, the lean times—that is, the more or less intense recessions in which economic activity slows down—are times of low commodity prices. This article describes the negative external shock undergone by the Peruvian economy and its recessionary and inflationary effects over 2014–15, analyzes the fiscal and monetary policies applied in response to the external shock, and outlines the macroeconomic challenges faced by the new government of Pedro Pablo Kuczynski.     

Implied discount rate and payback threshold of energy efficiency investment in the industrial sector

The industrial sector is responsible for about a third of the energy usage in the United States, and there is significant energy saving potential from the industrial sector. However, the phenomenon of “energy efficiency gap” – the scenario in which cost-effective energy efficient technologies enjoy only limited market success – appears frequently in the industrial sector. This article tries to explain this efficiency gap in the industrial sector by empirically estimating the implied discount rates and payback thresholds industrial firms use to evaluate their energy efficiency investments. Using the Industrial Assessment Centers (IAC) database from 2002 to 2011, with more than 30 000 energy efficiency recommendations, this article builds structural models of firms’ evaluation of an energy efficiency project. The model results show that the implied discount rates of medium to small industrial firms range from 40 to 45%, and the average payback threshold is about 9 months.     

Causes of Inflation in Europe, the United States and Japan: Some Lessons for Maintaining Price Stability in the EMU from a Structural VAR Approach

Price stability being among the primary goals of EMU monetary policy,it should be interesting to analyse thefactors that led to the disinflationarydevelopments of the last years. Using a structural VAR approach withlong-run identifying restrictions derived from an open-economy macromodel, various factors of inflation for Austria, Germany, Italy, the UnitedKingdom, the United States and Japan and the extent to which they havecontributed to inflation are analysed. These factors are energy price shocks, supply shocks, wage setting influences, demand and exchange rate disturbances and money supply surprises. The latter three are also used to calculate core inflation. Within a smaller model for aggregate EMU data, supply and demand influences are analysed. While supply and demand factors have generally contributed to the inflation decline, monetary policy, enhanced competition, low energy prices and moderate wage setting are featuring most prominent in the recent disinflation process.     

货币政策透明度的结构与体系的非完整性

本文通过分析货币政策透明度基本结构的合理性,以及三类透明度所发挥的不同作用,提出透明度建设不仅仅是透明程度的提高,更要注重透明度体系的完善.并且,针对我国目前不存在目标透明度,也不能建立目标透明度的事实,建议注重知识透明度的建设及其作用的发挥,使市场主体可以深入学习和理解央行的经济模型和货币政策决策规则,从而发挥货币政策透明度应有的作用.     

The effectiveness of fiscal and monetary policy responses to twin crises

We study how effective fiscal and monetary policy responses are during a twin crisis. Using the dataset provided by Laeven and Valencia (2008 Laeven, L and Valencia, F. (2008) Systemic banking crises: a new database. IMF Working Paper No. 08/224 [Google Scholar]), we identify 57 episodes of twin crises. Following the methods proposed in Baldacci et al. (2009 Baldacci, E. 2009. Gupta, S. and Mulas-Granados, C., How effective is fiscal policy response in systemic banking crises?, IMF Working Paper No. 09/160 [Google Scholar]) and Hutchison et al. (2010 Hutchison, M. 2010. Noy, I. and Wang, L., Fiscal and monetary policies and the cost of sudden stops, Journal of International Money and Finance, 29, 973–87 [Google Scholar]), we construct the variables measuring the duration and output cost of a twin crisis. We find that fiscal policy does not seem to be associated with the shortening of a twin crisis. Regarding monetary policy, we find that monetary tightening is associated with the lengthening of a twin crisis duration, consistent with the result in Hutchison et al. (2010 Hutchison, M. 2010. Noy, I. and Wang, L., Fiscal and monetary policies and the cost of sudden stops, Journal of International Money and Finance, 29, 973–87 [Google Scholar]) dealing with a sudden stop crisis. In addition, our results show that while a mild monetary expansion is effective in reducing a twin crisis duration, over-expansionary monetary policy loses its effectiveness.     

The effect of monetary and fiscal credibility on public debt: empirical evidence from the Brazilian economy

This study relates to the literature regarding credibility effect on public debt for developing economies under inflation targeting. The novelty is the investigation of effects of both monetary and fiscal credibility on public debt and its management. The main idea is that high credibility might improve public debt management. With this purpose, this paper addresses empirical evidence based on the Brazilian experience. The findings denote that credibility is an important instrument to improve the public debt management under inflation targeting.     

中国财政政策的外部均衡效应:相对效力检验

中国国际收支"双顺差"的长期存在,表明中国经济存在一定程度的外部失衡.基于蒙代尔政策指派理论模型以及协整检验和误差修正模型的实证估计,可以发现中国财政政策对外部均衡的相对调控效力要优于货币政策,因此中国应运用出口退税等财政政策来促进外部均衡的实现,并考虑选择发行超长期债券方式为财政赤字融资,同时还应及时完善其他宏观经济政策,从而实现中国经济长期稳定的协调发展.     

State space models for the exchange rate pass-through: determinants and null/full pass-through hypotheses

In this article, we formulate linear Gaussian state space models for the estimation of the exchange rate pass-through of the Brazilian Real against the US Dollar, using monthly data from August 1999 to August 2008. The state space/Kalman filtering framework allows the investigation of some empirical aspects previously suggested in the literature, such as time-varying coefficients and null/full pass-through hypotheses. We also test whether some theoretical ‘determinants’ of the pass-through are statistically significant in the period considered. The principal findings are as follows: (1) the data offer strong support to a time-varying pass-through; and (2) the variance of the exchange rate pass-through, the monetary policy and the trade flow have shown to be relevant determinants of the exchange rate pass-through.     

How fiscal policy affects housing market dynamics: Evidence from Spain

This paper studies how the announcements of fiscal law changes affect the real estate market, focusing on the case of Spain. An announcement of a future fiscal law change gives the opportunity to buyers to advance or delay purchases to maximize fiscal benefits. In particular, we study announcements and their posterior effects about the mortgage tax laws in 1998, 2010, 2011, and 2013 plus the VAT law in 2012. The paper is based on contextually rich data from 2004 through 2015 for Spain, provided by a real estate agent with a strong presence across the Spanish territory. We use two dependent variables to best capture the changes: time on market of a dwelling and the price discount of the dwelling. Simultaneity bias is avoided by considering that the degree of overpricing and atypicality affects time on market but not the selling price. The identification strategy is improved by considering the type of properties most affected by the changes versus the rest of properties, using a difference-in-difference estimation. We consider two tax policy announcements: income tax credit on dwelling purchases and VAT rate change on the purchases of new dwellings. In the case of the income tax credit, this fiscal policy affects only primary accommodations. In the case of the VAT tax rate, only new houses are affected. We show that credible fiscal policy announcements distort the housing market by temporarily decreasing dwellings’ time on market and their price discounts, to immediately and long-lastingly increase them just after the tax policy expires. There is a negative causal effect of tax policy announcements on the housing market.     

通货膨胀对我国信贷渠道有效性的影响

学术界一般认为,由金融市场信息不对称所产生的逆向选择、道德风险和监控成本是信贷渠道存在的主要前提条件。在我国当前经济背景下,研究通货膨胀是否影响了我国货币政策信贷渠道的传导效率。结果表明,通货膨胀导致了我国货币政策信贷渠道效率的下降。     

The liberalization of trade and foreign direct investment: a political economy analysis

Abstract

In theory, the IMF could influence fiscal and monetary policy via several channels, among them advice to policy makers, conditionality, and the moral hazard it induces with the borrowers. This article tries to disentangle those effects empirically. Using panel data for 98 countries over the period 1975–2000 it analyzes whether IMF involvement indeed influences fiscal and monetary policy in program countries. There is evidence that participation in IMF Standby and Extended Fund Facility arrangements improves economic policy. Money disbursed and the degree to which a program is implemented does not have any systematic influence. The same is true for future availability of resources as measured by exhaustion of a country’s quota with the Fund. The final section discusses policy implications.     

Interest rate gaps and monetary policy in the work of Henry Thornton: Beyond a retrospective Wicksellian reading *

Abstract

This paper revisits the theory of interest rates propounded by Henry Thornton (1760 – 1815). Particular attention is paid to Thornton's examination of the inflationary effects of the gap between the Bank of England's discount rate and the current rate of profit. The paper shows that Thornton is also concerned, unlike Wicksell, about the consequences of a gap between the Bank of England's discount rate and the effective bank lending rate on the market for loanable funds, which results mainly from the usury laws. Thornton's analyses offer then a framework for regulating the value of money through adjustments to the bank rate.