技术进步促进经济增长和福利的机制研究——基于REDUX模型扩展后的实证分析

本文在"新开放经济宏观经济学"框架下,将技术进步要素引入生产过程中,分析其对生产、消费、闲暇、汇率等经济变量的冲击以及对各国国民福利的影响,并对技术进步带来的增长率、汇率和通货膨胀的变动作了实证分析。理论结果显示,黏性价格下的货币扩张性政策在短期内促进了消费和闲暇的增长,而在长期内使产出、消费、闲暇都有明显的增长,实证研究表明国内外的福利水平均有显著的提高。     

MEASURING THE WELFARE COST OF INFLATION IN SOUTH AFRICA

In this paper, we estimate the long‐run equilibrium relationship between money balance as a ratio of income and the Treasury bill rate for the period of 1965:02 to 2007:01, and in turn use the relationship to obtain welfare cost estimates of inflation. Using the Johansen technique, we estimate a log‐log specification and a semi‐log model of the above relationship. Based on the fits of the specifications, we decided to rely more on the welfare cost measure obtained under the log‐log money demand model. Our estimates suggest that the welfare cost of inflation for South Africa ranges between 0.34% and 0.67% of GDP, for a band of 3‐6% of inflation. Thus, it seems that the South African Reserve Bank's current inflation target band of 3‐6% is not too poorly designed in terms of welfare.     

Macroeconomic Effects of Inflationary Shocks with Durable and Non-Durable Consumption

In this paper we show that inflation, both in the short and long run, negatively affects durable and non-durable consumption and output, and positively influences the current account balance. In particular, the impact of inflation is more pronounced on durable relative to non-durable goods. Using quarterly data from Canada, the UK and the USA, we demonstrate that these findings are consistent and robust across different econometric specifications. An open economy model with durable and non-durable consumption, households with labor/leisure choice and money introduced through cash-in-advance (CIA) constraint on consumption expenditure alone could meaningfully explain these empirical observations. Our empirical findings of non-neutral and negative effects of inflation on real growth are significant for many economic models in the asset pricing literature that support a negative co-movement of stock prices and expected inflation. Moreover, such positive inflation premium in our model could provide economic explanation for a positive slope of the nominal term structure in the data.     

Monetary Aggregates Targeting,Inflation Targeting and Inflation Stabilization in Ghana

The central bank of Ghana (BoG) has operated monetary aggregates targeting and inflation targeting since the 1980s, to ensure enhanced output growth, low unemployment and stable, low inflation. Under inflation targeting, the inflation rate averaged 13.26 per cent per annum between 2007 and 2015, compared with 29.22 per cent per annum under monetary aggregates targeting. The relatively lower inflation rates notwithstanding, an average inflation rate of 13.2 per cent per annum is far above the medium‐term target of 8 per cent. This paper has examined the effectiveness of monetary aggregates targeting and inflation targeting in keeping inflation at moderate levels. The autoregressive distributed lag (ARDL) model was applied to the data covering the period 1970–2015. The results show that monetary targeting has steered inflation to moderate levels only in the short run while inflation targeting has maintained low inflation rates in both short run and long run. But neither regime has kept inflation at stable levels and within the target band, due to the sluggish transmission of broad money supply and prime rate changes to inflation. We implore the monetary authorities to strengthen the institutional setup for steering short‐term interest rates in Ghana. They should also enhance the BoG Act 2002 (Act 612), to develop secondary anchors and rules around output, money supply and fiscal deficit. Finally, the monetary policy committee should monetary policy credibility and transparency through strengthening its communication framework.     

The Chinese Phillips curve – inflation dynamics in the presence of structural change

This paper models inflation dynamics in China from 1987 to 2014 using a Phillips curve framework. The Phillips curve is generally estimated under the assumption of linearity and parameter constancy. The existence of structural breaks in China’s inflation dynamics make standard linear models inappropriate tools for analysis however. Our results find that the Chinese Phillips curve is characterised by a non-linear relationship. The inflation/output relationship takes the form of a concave curve. This suggests that changes in the level of output effect inflation in China more strongly in periods when output is operating below its potential but the relationship is weaker when output is operating at or above potential. Based on these findings, the People’s Bank of China (PBC) could consider output cost and policy response on a case-by-case basis depending on the level of output in relation to potential.     

INFLATION TARGETING AND THE FISHER EFFECT IN SOUTH AFRICA: AN EMPIRICAL INVESTIGATION

The paper analyses the relationship between expected inflation and nominal interest rates during a period of inflation targeting in South Africa, i.e. from 2000 to 2005. Specifically, it investigates the Fisher hypothesis that nominal interest rates move one‐to‐one with expected inflation, leaving the real interest rate unaffected. The analysis distinguishes between a short‐run Fisher effect and a long‐run Fisher effect. Using cointegration and error correction models (for monthly data for the period April 2000 to July 2005), it was found that the short‐run Fisher hypothesis did not hold during the relevant period under the inflation targeting monetary policy framework in South Africa. This is attributed to a combination of the South African Reserve Bank's (SARB) control over short‐term interest rates and the effects of the monetary transmission mechanism. The long‐run Fisher hypothesis could not be confirmed in its strictest form: while changes in inflation expectations move in the same direction as the nominal long‐term interest rate. This suggests that monetary policy has an influence on the real long‐term interest rate, which has positive implications for general economic activity, thus confirming the credibility of the inflation targeting framework.     

利率规则的福利成本及对我国货币政策的启示——基于新凯恩斯DSGE模型的分析

文章建立了一个新凯恩斯框架下的DSGE模型来分析当期型、前瞻型和后顾型三种利率规则的福利效应。福利的测度为代表性家庭的终身效用,计算出了不同利率规则下的福利成本,其主要发现有：名义利率对通货膨胀的反应系数越大则福利成本越小;名义利率对产出变化的反应系数越大则福利成本越大;利率平滑在三种利率规则下对福利成本分别有着不同的影响。这些结果为我国的货币政策提供了借鉴。     

Effectiveness of history-dependent monetary policy

In this paper, we evaluate the effectiveness of history-dependent monetary policy, focusing on the design of targeting regimes and simple policy rules. Our quantitative analysis is based on a small estimated forward-looking model of the Japanese economy with a hybrid Phillips curve. Our main findings are: (1) History-dependent targeting regimes, such as price level targeting and income growth targeting, outperform inflation targeting; (2) Committing to a simple history-dependent policy rule results in nearly the same social welfare as the optimal delegation of price level targeting and income growth targeting; (3) The central bank can achieve almost the same performance as the optimal commitment policy by adopting the first difference hybrid policy rule in which the change in interest rate responds to inflation, output gap, and real income growth rate. J. Japanese Int. Economies 18 (3) (2004) 330–361.     

Inflation Transmission in Greater China

This paper examines inflation dynamics in Greater China. Using an asymmetric error correction model, we investigate how inflation in Hong Kong and Macao are related to inflation in Chinese Mainland. Our results based on data from July 1997 to December 2012 reveal that a long‐term equilibrium relation exists between inflation in Chinese Mainland and inflation in both Hong Kong and Macao, the two Special Administrative Regions of China. The degree of inflation pass‐through is higher for Macao than for Hong Kong. Moreover, we find no evidence of asymmetries in either Hong Kong and Macao's adjustment speeds towards long‐run equilibrium or in the short‐run pass‐through of accelerating or decelerating inflation in the Mainland. Collectively, our results show a close relationship among price dynamics of the three economies and call for a reconsideration of the exchange rate anchor in the Greater China Region.     

通货膨胀对经济增速放缓福利成本的影响研究

通货膨胀与经济增长都对社会福利有重要影响。通过扩展卢卡斯（1987）经济增速放缓的福利成本测算模型，将通货膨胀引入模型，进而探讨通货膨胀对经济增长放缓的福利成本影响。研究结果表明，通货膨胀通过影响代表性消费者的贴现行为而对增速放缓福利成本产生影响；经济增速放缓的福利成本随着通货膨胀的提高而降低；新时期经济增速放缓2个百分点导致的福利成本为5.38%。     

Nominal debt and inflation stabilization

The “fiscal theory of currency crises” ( Daniel 2001 ; Corsetti and Ma?kowiak 2005, 2006 ) claims that with long‐term nominal debt, a government can delay the timing of an inevitable currency crisis that results from a fiscal shock. The present paper shows that, in contrast, long‐term nominal debt might have destabilizing effects when a government introduces an inflation stabilization policy. It is shown that a stabilization policy that is successful in the absence of long‐term nominal debt can cause a crisis when long‐term nominal debt exists. The model implies that a government with a large stock of long‐term nominal debt must overcome a high fiscal hurdle for a successful stabilization policy. This difficulty is avoidable if long‐term debt is indexed to inflation.     

Do Remittances Induce Inflation? Fresh Evidence from Developing Countries

The goal of this article is to examine the determinants of inflation in both the short run and the long run for 54 developing countries using a panel data set covering the 1995–2004 period. Apart from the commonly used economic determinants of inflation, we model the impact of remittances and institutional variables on inflation. Using the Arellano and Bond panel dynamic estimator and the Arellano and Bover and the Blundell and Bond system generalized method of moments estimator, we find evidence that in developing countries remittances generate inflation. The effect of remittances on inflation is more pronounced in the long run. Moreover, we find that openness, debt, current account deficits, the agricultural sector, and the short‐term U.S. interest rate have a positive effect on inflation. We also find that improvements in democracy reduce inflation.     

DO INTERNATIONAL MONETARY FUND PROGRAMS IMPACT ON THE SACRIFICE RATIO?

From time to time, the International Monetary Fund (IMF) makes resources available to member states for short‐term balance‐of‐payments support under an agreed arrangement know as a program. Most IMF programs include quantitative performance criteria for key macroeconomic variables, which borrowers must meet to obtain Fund resources. Standard open economy models predict that if policymakers are able to credibly commit to reducing inflation, rational economic agents will lower their expectations of inflation and, therefore, the trade‐off between inflation and output will fall. The present study tests whether IMF programs, by lending credibility to a country's adjustment program, influence the inflation–output trade‐off. The results from the study suggest that IMF programs do not significantly influence the inflation–output trade‐off. This finding is robust to changes in the estimation approach, the method used to obtain the output gap estimates and outliers.     

Understanding the inflation–output nexus for China

In this article we examine several hypotheses relating to output and inflation dynamics in China. The hypotheses tests are based on the exponential generalised autoregressive conditional heteroskedasticity (EGARCH) model of Nelson [Nelson, D. (1991). Conditional heteroskedasticity in asset return: A new approach, Econometrica, 59, 347–370]. Our findings suggest that Chinese output–inflation behaviour is consistent with the hypothesis that increased inflation uncertainty lowers average inflation; the hypothesis that inflation volatility reduces economic growth and the hypothesis that higher output volatility increases economic growth. However, we find no support for the hypothesis that higher output volatility increases the average inflation rate.     

Endogenous monetary policy shifts and the term structure: Evidence from Japanese government bond yields

I construct a no-arbitrage term structure model with endogenous regime shifts and apply it to Japanese government bond (JGB) yields. This model subjects the short-term interest rate to monetary regime shifts, specifically a zero interest rate policy (ZIRP) and normal regimes, which depend on macroeconomic variables. The estimates show that under the ZIRP regime, the effect of deflation (inflation) on lowering (raising) bond yields amplifies on the long end of yield curves, compared with a case with positive interest rates under the normal regime. On the other hand, output gaps’ ability to raise bond yields weakens for all maturities.     

Monetary Policy in Illiquid Markets: Options for a Small Open Economy

Two impediments to effective monetary policy operation include illiquidity in bond markets and the zero bound of interest rates. Under these conditions alternative means of enacting monetary policy may be required. This paper empirically explores policy options implemented through equity and currency markets that will generate similar inflation responses at different time horizons. In terms of GDP loss the least costly means of achieving a particular long run inflation outcome is via the current monetary policy arrangements. Currency market alternatives are volatile but less expensive than the equity market in terms of output loss for short term inflation horizons.

The choice of the inflation rate as a target in an economy with pricing-to-market

This article verifies an effect caused by introducing alternative inflation targeting in a two-country economy model by following the new open-economy macroeconomics trend of incorporating pricing-to-market behavior among firms. Previous research suggests that, from the point of view of stabilizing output and inflation, central banks must choose producer price inflation as a target under the assumption that purchasing power parity applies. This paper, however, with a revived conventional pricing-to-market model, indicates that a central bank must choose consumer price inflation, not producer price inflation, from the point of view of stabilizing output and inflation.     

The Impact of Inflation Uncertainty on Output Growth and Inflation in Thailand*

We explore the impact of inflation uncertainty on output growth in Thailand, an emerging market economy with moderate inflation. Inflation and output uncertainty are modeled in a bivariate constant conditional correlation generalized autoregressive conditional heteroskedastic (AR(p)‐cccGARCH(1,1)) specification. We include the exchange rate in the mean equations, and use the headline and core inflation rates and industrial production to generate inflation and output uncertainty series. These series are then used in Granger causality tests to make inferences about the effect of monetary policy‐induced inflation uncertainty. Causality tests show a positive relation from inflation to inflation uncertainty. Additionally, increased inflation uncertainty decreases output. These results are consistent with real costs associated with moderate inflation. Finally, we find no evidence that monetary policy reduced these costs.     

Effects of Job Security Laws in a Shirking Model with Heterogeneous Workers

This paper explores the policy implications of job security laws. It extends Carter and De Lancey's (1997) efficiency wage model from the assumption of two types of workers to allow for infinite types of workers. One key difference between the models is that the proportion of nonshirking workers in equilibrium is an exogenous constant in their model, whereas it is an endogenous variable in this study. They find that a job security law increases the welfare of both shirkers and non-shirkers without reducing output. In this setting, it is shown that the law may increase the welfare of both shirkers and nonshirkers at the cost of lower output, or it may result in higher output, but the welfare effect of workers is uncertain.     

The Term Structure as a Predictor of Real Activity and Inflation in the Euro Area: A Reassessment

We study the informational content of the term structure of interest rates on future developments in inflation and real activity for the euro area, explicitly taking into account the possibility of a time-varying risk premium. We put forward a simple adjustment procedure for the term premium based on the rational expectations hypothesis of the term structure and provide evidence that the predictive content of term spreads for future developments in industrial production improves significantly if the adjusted term spread is used. The adjustment also achieves some (less systematic) improvements in the forecasting abilities of the term spread for headline inflation and core inflation. JEL no. E43, E44, E47