通货膨胀先行指标和预测方法的国际比较

通货膨胀的准确预测是中央银行货币政策有效实施的一个基础,本文主要研究了先行指标方法在通货膨胀预测中的应用.本文首先研究了几种主要的通货膨胀预测模型,然后对通货膨胀预测模型在部分国家和地区央行的应用进行了比较.     

An Alternative Core Inflation Measure

Abstract. We combine the ideas of the trimmed mean and the Edgeworth index to construct an alternative measure of core inflation named 'Trim of Most Volatile Components (TMVC)'. At each point of time, this measure trims away the components of the price index that have been most volatile in the recent past. Statistical tests indicate that neither the trimmed mean nor the Edgeworth index dominates the TMVC in terms of tracking trend inflation.     

An Alternative Monetary Model of Inflation and Growth

This paper presents a simple model of a monetary economy in which production takes time and is financed by loans from financial intermediaries such as banks. The model is an example of a pure credit economy, but does not contain the contentious Wicksellian construct of a natural rate of interest. Rather, the main determining factor of economic outcomes is the struggle over income distribution between finance (Keynes's rentiers), industry, and labour. The model yields a number of macroeconomic results, some of which are sharply at variance with those obtained in more orthodox or mainstream, models. In particular, a structural long-term Phillips-curve type relationship emerges in inflation-growth space, for some demand-side and monetary policy changes. In addition, the model is also able to identify other circumstances in which the opposite cases of either stagflation or non-inflationary growth can occur.     

Forecasting Australian marriage rates

"The paper discusses the problem of modelling demographic variables for the purpose of forecasting. Two empirical model selection procedures are applied to suggest final form forecasting equations for Australian marriage rates. The suggested models are then assessed by comparing their post-sample forecast performance with that of univariate ARMA-type models of marriage rates which are regarded as approximations to marriage rate final equation models. In this instance the ARMA models are preferred for forecasting purposes. The properties of the ARMA model forecasts are then examined and the modelling strategy is contrasted with the regression method used by Withers."     

Forecasting Inflation Using Constant Gain Least Squares

This paper assesses the usefulness of constant gain least squares when forecasting inflation. An out‐of‐sample forecast exercise is conducted, in which univariate autoregressive models for inflation in Australia, Sweden, the United Kingdom and the United States are used. The results suggest that it is possible to improve the forecast accuracy by employing constant gain least squares instead of ordinary least squares. In particular, when using a gain of 0.05, constant gain least squares generally outperforms the corresponding autoregressive model estimated with ordinary least squares. In fact, at longer forecast horizons, the root mean square forecast error is reliably lowered for all four countries and for all lag lengths considered in the study.     

Forecasting Australian Marriage Rates*

The paper discusses the problem of modelling demographic variables for the purpose of forecasting. Two empirical model selection procedures are applied to suggest final form forecasting equations for Australian marriage rates. The suggested models are then assessed by comparing their post-sample forecast performance with that of univariate ARMA-type models of marriage rates which are regarded as approximations to marriage rate final equation models. In this instance the ARM A models are preferred for forecasting purposes. The properties of the ARM A model forecasts are then examined and the modelling strategy is contrasted with the regression method used by Withers.     

Inflation and Capacity Constraints in Australian Manufacturing Industry

In the present paper we estimate a model of price-cost inflation for Australia using business survey responses of firms in the manufacturing sector. The data allow us to circumvent a number of key statistical problems, related in particular to the measurement of costs and structural changes in the model. Equally important, the data allow a new and more detailed perspective on the nature of supply constraints affecting inflation in the manufacturing sector. A new finding is that capital constraints have been more important in generating inflationary pressure than labour constraints or general indicators of capacity utilisation.     

A Comparison of Alternative Exchange Rate Forecasting Models*

This paper compares a number of structural and times-series models on the basis of their accuracy in forecasting the A ustralian-US dollar exchange rate out of sample. Purchasing power parity, forward exchange theory, static and dynamic specifications of both the flexible price and sticky price monetary models, and univariate ARIMA models are considered in the paper. Exchange rate forecasts are generated at horizons of one to four quarters. In contrast to overseas results which support the view that the exchange rate follows a random walk, several models in this study are found to generate forecasts superior to the random walk model.     

通货膨胀实时预测及菲利普斯曲线的适用性

本文从实时分析的视角,基于多种退势方法的产出缺口最终估计、准最终估计和实时估计序列,分别构建了四类预测模型对我国通货膨胀率进行预测,分析了产出缺口修正效应和滞后阶数变化效应对通胀预测的影响,并进一步考察了产出缺口在通胀预测中的作用及菲利普斯曲线在通胀预测中的适用性。研究结论表明,通胀率的实时预测效果要明显比基于最终数据的差,其中滞后阶数变化效应对实时预测精度的影响大于产出缺口修正效应;尤为重要的是,尽管在最终数据的预测分析中,产出缺口的引入能够提高通胀率的预测精度,但是在实时预测中,产出缺口没有提供有价值的信息,因此"产出—通胀"型菲利普斯曲线在我国通胀实时预测中并不适用。     

Forecasting with the Nonparametric Exclusion-from-Core Inflation Persistence Model Using Real-Time Data

International Advances in Economic Research - This paper contributes to nonparametric forecasting techniques by developing three local nonparametric forecasting methods for the nonparametric...     

Inflation and Stock Market Returns:Some Australian Evidence*

This paper analyzes the relationship between Australian stock returns and inflation over the period 1965-79. The effects of inflation in a ‘rational investor’ valuation framework are discussed. Empirical tests suggest that nominal stock returns and inflation are related in a significantly negative fashion, implying that stocks have been extremely poor inflationary hedges for the investor over the period. In addition, Granger-Sims tests of causality indicate a mainly unidirectional relationship between inflation and stock returns, with price level charges leading the equity index in time.     

通货膨胀目标法在我国的适应性分析

通货膨胀目标法作为一种货币政策框架,在工业化国家取得很大的成功,在维持物价稳定、促进经济增长方面发挥了积极的作用。虽然该法目前尚不适合我国国情,但并不意味着在我国没有实施的可能性。如果我国不断加大综合的公共部门的改革,提高中央银行的独立性和政策透明度,完善和健全金融市场体系,不断增强金融系统活力,这样,通货膨胀目标法也许会成为一种极具吸引力的选择。     

International Telecommunications Forecasting: an Investigation of Alternative Functional Forms

This paper provides an investigation of alternative models of international telecommunications traffic for several of the main streams emanating from Australia. Specifically, several alternative functional forms are compared with the standard double-log specification so often used in such studies. The motivation for such a study is twofold. In the first place, the double-log specification generates elasticities that are constant over time. Given the intertemporal changes in the budget share of telecommunications, this may not be a resonable formulation. The second motivation derives from teh need to use the demand models to forecast. Although the double-log model may provide a good within-sample fit, this is no gurantee that it will provide good post-sample forecasts.     

Causal Relationships in Australian Wage Inflation and Minimum Award Rates*

When variables are correlated in time-series studies, it is often difficult to determine which is cause and effect, and in what sense. This paper applies multivariate time-series tests of causality to Australian wage, price, minimum wage award, labour demand and strike (working days lost) variables for 1953-76. The results provide tentative support for a model in which strikes are exogenous:the size of Arbitration Commission awards is determined by strikes (suggesting that a trade union capture theory of Arbitration Commission regulation may apply):money wages are determined by minimum wage awards; and the demand for labour variable (measured in this paper by the ratio of actual to potential output) is determined (in a negative relationship) by money wages.     

The Equity of Alternative Policies for the Australian Homeowner*

The income-tax treatment of homeowners and renters is an important instrument of national housing policy. Major changes in the treatment of homeowners occurred in 1975 and 1976; the second change focused especially on the problems of first-buyers and was coincident with an expanded home-savings grant scheme. As a further reform several writers have advocated the taxation of the rent imputed to homeowners. This paper develops a user cost of capital approach to estimate the distribution of housing costs along the income scale and between policy alternatives. The model indicates the vital importance of accounting for inflation whenever physical housing costs are inflating but mortgage costs are fixed in nominal terms. Although inflation is increasing housing costs at all income levels, high-income homeowners appear to be suffering the greatest cost increases as the result of inflation. Furthermore, unless mortgages are indexed, the customary imputed-rent formula is regressive.     

Forecasting the Australian economy with DSGE and BVAR models

Reflecting the importance of commodities for the Australian economy, we construct a dynamic stochastic general equilibrium (DSGE) model of the Australian economy with a commodity sector. We assess whether its forecasts can be improved by using it as a prior for an empirical Bayesian vector autoregression (BVAR). We find that the forecasts from the BVAR tend to be more accurate than those from the DSGE model. Nevertheless, for output growth these forecasts do not outperform benchmark models, such as a small open economy BVAR estimated using the standard priors for forecasting. A Bayesian factor augmented vector autoregression produces the most accurate near-term inflation forecasts.     

我国通货膨胀与产能过剩并存现象分析

2007年以来的通货膨胀受到了社会广泛关注,同时我国还面临着通货膨胀与产能过剩并存的矛盾,这是由多种因素叠加引起的.化解产能过剩与通货膨胀并存的矛盾需要从产业结构优化升级、扩大内需、统筹城乡发展、理顺资源价格体系和促进资本市场稳定健康发展等方面着手.