The Dynamics Between Inflation and Inflation Uncertainty: Evidence from India

This study examines the causal nexus between inflation and inflation uncertainty. In this regard, conventional Generalized Autoregressive Conditional Heteroskedasticity (GARCH) models and Stochastic Volatility (SV) models are used to measure inflation uncertainty and Bai and Perron (Econometrica 66:47–78, 1998; J Appl Econom 18:1–22, 2003) test is used to identify structural breaks in inflation. The empirical evidence derived from the monthly data for the period from June 1961 to April 2011 suggests that the measure of inflation uncertainty obtained from SV model is more reliable than the measure obtained from GARCH model and also the causal nexus between inflation and inflation uncertainty seems to be significantly conditional upon the measure of uncertainty used. The structural break test identifies four episodes of inflation during the sample period, and the causality between inflation and its variability varies across different episodes. The inflation and its variance seem to be independent of each other during the first two regimes that cover the period from 1960 to 1980 and on the contrary, during the later period largely bidirectional causality is observed. Further, inflation seems to exert positive impact on inflation uncertainty, whereas inflation uncertainty has negative impact on inflation.

     

中国通货膨胀及其波动性关系的实证研究

本文利用GARCH模型生成中国通货膨胀波动性的衡量指标,并实证分析1983年1月至2010年4月中国的通货膨胀与通货膨胀波动性之间的关系。结果表明:在中国,通货膨胀率是通货膨胀波动性的Granger原因,通货膨胀对通货膨胀波动性有稳定的正向影响关系,同时相同强度的通货膨胀冲击远远大于通货紧缩冲击对通货膨胀波动性的影响。对中国而言,控制通货膨胀比追求经济增长更重要。     

Asymmetric Causality Between Inflation and Uncertainty: Evidences from 33 Developed and Developing Countries

Empirical studies have provided conflicting findings about the relationship between inflation and inflation uncertainty. Thus, the direction of the causality is still questionable. The present paper is aimed to extend the existing literature using non-linearity models and asymmetric causality tests. For this purpose, the data for 33 developed and developing countries during 1988Q4-2016Q3 is used. The results showed an asymmetry in the inflation behavior which is specified by smooth transition process, as well as separating positive and negative shocks observed in causality test. The asymmetric causality between inflation and inflation uncertainty is confirmed in most countries, although the empirical evidence in favor of Cukierman-Meltzer hypothesis is found to be weaker than Friedman-Ball hypothesis.

     

中国通货膨胀率及其波动关系分析

有关通货膨胀率和通货膨胀率波动影响关系,存在F riedm an-B a ll和Cuk ierm an-M e ltzer两种假说,即存在通货膨胀率及其波动的相互影响关系。使用GARCH和TGARCH模型,选择中国1993~2004年月度通货膨胀率数据,检验结果表明F riedm an-B a ll假说成立,稳健的货币政策对经济发展有积极作用。     

通货膨胀不确定性研究综述

通货膨胀不确定性的发生使价格信号失真,资源配置扭曲,是通货膨胀福利损失的真正症结所在.本文从通货膨胀不确定性的度量方法、通货膨胀和通货膨胀不确定性之间的关系、通货膨胀不确定性对实际经济的影响以及治理通货膨胀不确定性的货币政策等几个方面回顾通货膨胀不确定性的研究成果.为减轻通货膨胀不确定性对经济系统的危害,建议我国货币当局建立通货膨胀预期调查数据库,并把通货膨胀不确定性作为监督宏观经济运行的一项重要指标予以重点关注和有效控制,评价货币政策效果时把通货膨胀不确定性指标作为一个参考依据.更为重要的是,控制通货膨胀不确定性应成为政府治理通货膨胀的理论和政策基础.     

Central Bank Independence,Inflation and Uncertainty: The Case of Colombia

Colombia undertook reform of its central bank in 1991, pushing it in the direction of greater independence. We find that this reform led to a significant decrease in the level of inflation, as well as inflation uncertainty, suggesting an increase in credibility. However, there has also been an increase in inflation persistence since reform. The lower mean but greater persistence of inflation indicates that central bank independence has shifted the Phillips curve inward but also flattened it, a result consistent with recent research for the Euro-zone and the United States. Finally, further analysis reveals that, in accordance with the Friedman-Ball hypothesis, higher inflation raises uncertainty in Colombia, but that uncertainty does not increase inflation.     

中国通胀水平与通胀不确定性:马尔柯夫域变分析

本文使用中国1985年以来月度数据,基于马尔柯夫域变模型考察了通胀水平及其与不确定性的关系。我们将通胀的不确定性分解为两类成分:未来通胀冲击的不确定性和未来通胀均值域变的不确定性。研究结果表明,高的通胀水平伴随着这两类不确定性成分的同时增大,这意味着通胀成本很大程度上和不确定性的成本联系在一起,稳定价格和维持低通胀环境可能成为央行减少不确定性的重要手段。本文结果还表明,域变模型相对线性自回归模型以及ARCH模型更好地刻画了中国通胀率过程的特点。以往应用中忽略了这种域变特点可能导致通胀预测值相对于真实值的系统性偏差,或者通胀不确定性的错误估计。     

货币增长不确定性与通货膨胀不确定性——“波动溢出”假说与实证检验

文章基于通货膨胀——通货膨胀不确定性关系的理论研究,提出货币增长不确定性向通货膨胀不确定性波动溢出的计量检验假说,并利用中国数据,运用多元GARCH模型进行实证检验。结果发现,存在货币增长不确定性显著向通货膨胀不确定性波动溢出的效应。这意味着,货币增长不确定性具有提供有关预测通货膨胀不确定性信息的能力。同时也表明,货币增长不确定性是通货膨胀不确定性的重要解释变量,其重要性不应被忽视。实证结论的政策含义是:减少货币增长不确定性是降低通货膨胀不确定性的重要途径,我国20世纪90年代中后期稳健的货币政策所带来的通货膨胀不确定性显著降低的现实支持了这个观点。     

The Impact of Inflation Uncertainty on Interest Rates in the UK

This paper assesses the effect of expected inflation and inflation risk on interest rates within the Fisher hypothesis framework. Autoregressive Conditional Heteroscedastic models are used to estimate the conditional variability of inflation as a proxy for risk. With the UK quarterly data from 1958:4 to 1994:4, we found that both the expected inflation and the conditional variability of inflation positively affect the UK three‐month Treasury‐bill rate.     

Output,Inflation and the New Keynesian Phillips Curve

Explicit modelling of factor markets clarifies two fundamental aspects of the New Keynesian Phillips Curve (NKPC). First, we clarify the relationship between output and marginal cost. Second, for the NKPC in inflation–output space, we identify the key stochastic influences on inflation without recourse to ad hoc cost or excess demand shocks. The econometric implementation of this clarified NKPC, which evolves strictly according news on the stream of future marginal costs, allows us jointly to derive inflation as a forecast of future variables. Our approach clarifies the empirical successes and failures of the NKPC and allows us to provide new aggregate evidence on the degree of price rigidity in the UK economy.     

The Inexorable and Mysterious Tradeoff Between Inflation and Unemployment

This paper discusses the short-run tradeoff between inflation and unemployment. Although this tradeoff remains a necessary building block of business cycle theory, economists have yet to provide a completely satisfactory explanation for it. According to the consensus view among central bankers and monetary economists, a contractionary monetary shock raises unemployment, at least temporarily, and leads to a delayed and gradual fall in inflation. Standard dynamic models of price adjustment, however, cannot explain this pattern of responses. Reconciling the consensus view about the effects of monetary policy with models of price adjustment remains an outstanding puzzle for business cycle theorists.     

产出缺口和货币缺口对中国通货膨胀的影响分析

通货膨胀形成的两个重要原因是总需求的过度膨胀和货币供应量的过快增长。利用HP滤波衡量产出缺口和货币缺口,并利用1999—2007年的季度时间数据检验两者对中国通货膨胀的影响。结果表明,产出缺12和货币缺口都是中国通货膨胀的重要原因,且货币缺口对中国通货膨胀的影响远远大于产出缺口影响。     

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。     

Reinforcing the Link Between Contributions and Pensions: The Effect of the Population Aging

In this paper, we analyze a majority voting process on the earnings-related part of pension benefits in a Social Security system with flexible retirement. We show that the aging of the population may make it easier to implement one of the proposed reforms to achieve a delay in the average retirement age of workers, to reinforce the link between contributions and pensions.     

Monetary Shocks, Inflation and the Asymmetric Adjustment of EU Output

Empirical studies have suggested that price rigidities ensure that real output responds asymmetrically to monetary shocks. Models advanced by Tsiddon and Ball and Mankiw argue that the degree of asymmetry to demand shocks is sensitive to inflation. This study tests whether this is the case for a sample of EU economies. Maximum likelihood estimation offers confirmation of output asymmetry in the cases of Germany and Italy but no such evidence in France and the UK.     

The Link Between Wages and Productivity in Spain

This paper examines the effect of productivity on wages for Spanish industrial sectors by developing a model that captures effects from both sector‐specific and aggregate variables. The results show that a dual behaviour can be inferred, at the sector level, in the wage‐setting mechanism. It is also found that the linkage between wages and productivity varies over time. Some explanations for the increase in wage dispersion are provided, focusing on the increasing decentralisation in wage bargaining after 1986. Finally, we cast some light on the theoretical structure underlying the labour market.     

中国的通货膨胀惯性与通货膨胀不确定性——基于有限理性NKPC模型的分析

本文拓展有限理性菲利普斯曲线模型并结合中国参数进行校准,然后利用校准模型研究中国通货膨胀惯性特征及其与通货膨胀不确定性之间的关系。结果显示,有限理性菲利普斯曲线模型能很好地模拟出与中国实际通货膨胀惯性类似的特征。进一步研究还发现,研究样本期间,中国通货膨胀惯性总体上呈现先上升而逐渐下降的驼峰型特征,而且与通货膨胀预期不确定性存在正向相关关系。这些发现意味着,我国中央银行货币政策滞后效应正在缩短,而为了进一步降低通胀惯性并提高货币政策有效性,引导通货膨胀预期保持稳定是一大途径。     

通货适度膨胀与企业生产经营的关系

许多国有企业已经经受了多年的通货紧缩之苦 ,由于通货紧缩物价不断下降 ,居民存款占收入的比例日益增高 ,即使存款利率极低 ,存款仍属于保值增值的状态 ,因为存款后几年还可买更多的东西。当然居民存款的动机是多种多样的。例如 ,为了子女上学、医疗、购房以及不可预测、又不可抗拒突发花钱因素等等。存款不会贬值的情况下 ,大多数人们总是要节省每一分钱的 ,能不花的尽量不花 ,导致了越来越高的储蓄率。在通货紧缩的情况下 ,减息的作用是不显著的。通货逐年保持适度膨胀 ,居民认为钱是越来越不值钱 ,不如购物保值 ,就会将准备存入银行的储…