Fiscal policy,long-run stability and aggregate supply

The model developed in this paper incorporates aggregate supply and hence the price level into existing dynamic IS-LM models of flow and stock equilibrium. Whereas the long-run equilibrium position in these models is stable and fiscal policy works regardless of empirical magnitudes when budget deficits are financed by printing money, the introduction of aggregate supply into these models is shown to render the stability of long-run equilibrium and hence the effectiveness of fiscal policy under money financing, open to empirical question.     

Long-Run Links among Money, Prices and Output: Worldwide Evidence

Abstract. Starting from the quantity theory of money we analyse the dynamic relationships between money, real output and prices for an unbalanced panel of 110 economies. Complementary to trivariate analyses we also adopt a P-star model explaining inflation via an equilibrium price level (P-star), which in turn depends on potential output and money. A key issue of the paper is the cross-sectional stability of estimation and inference results. We find cointegration among the considered variables. Particularly for high inflation countries homogeneity between prices and money cannot be rejected. Given homogeneity we find evidence for an error-correction mechanism linking current price changes and the lagged price gap. Parameter estimates indicating the adjustment towards the price equilibrium are larger in absolute value for high inflation countries. The latter results indicate that central banks, even in high inflation countries, can improve price stability by controlling monetary growth.     

DOES DEFLATION IMPINGE ON A GOVERNMENT'S FISCAL STANDING?

This paper uses a dynamic general equilibrium model with money to investigate theoretically under what conditions deflation impinges on a government's fiscal standing. Focus is placed on an upper bound that is compatible with a no Ponzie game condition for the government and an equilibrium. A comparative dynamics analysis demonstrates that if a government's fiscal deficit is not so high, deflation has a negative impact on the upper bound, while if a government's fiscal deficit exceeds a critical level, deflation rather improves it. The critical level depends on a time stream of disposable real incomes and a preference parameter.     

中国居民现金需求研究

本文通过一个动态 Baumol-Tobin 模型来研究中国居民的持币行为,该模型在以下方面改进了已有的研究:建立在动态决策基础之上,引入了货币化因素、居民存货行为以及货币调整成本。模型结果表明:现金需求函数中的变量之间的匹配性至关重要。同时函数的动态结构由债券一现金转换成本与货币调整成本函数的具体形式决定。最后,我们分别使用季度与月度数据估计了基于交易的误差修正模型(ECM),结果验证了该种设定下名义利率影响显著、通货膨胀率影响不显著的结论,同时表明名义利率的影响随时间而增强。     

ON THE INEFFICACY OF TEMPORARY POLICY IN A DYNAMIC GENERAL EQUILIBRIUM WITH MONEY*

We construct a dynamic economy with many consumers with money in their utilities. Two main results—a turnpike theorem and inefficacy of temporary policy—are established in a dynamic general equilibrium framework in which price effects generated through markets are explicitly factored in. Turnpike, which is perfectly independent from wealth distribution among the heterogeneous consumers, will be globally attractive. Temporary policy is not effective not only for the future but for the current economy if the long‐run interest rate level is low. The inefficacy result coincides with an intuitive explanation by the standard permanent income hypothesis.     

The unique minimal cash flow competitive equilibrium

In a strategic market game with paper money used for exchange the control of the amount of money or credit issued and the selection of the level of the penalty for default make it possible to select a single competitive equilibrium which is feasible as a non-cooperative equilibrium.     

中国居民现金需求研究

该文通过一个动态 Baumol-Tobin 模型来研究中国居民的持币行为,该模型在以下方面改进了已有的研究:建立在动态决策基础之上,引入了货币化因素、居民存货行为以及货币调整成本.模型结果表明:现金需求函数中的变量之间的匹配性至关重要.同时函数的动态结构由债券一现金转换成本与货币调整成本函数的具体形式决定.最后,我们分别使用季度与月度数据估计了基于交易的误差修正模型(ECM),结果验证了该种设定下名义利率影响显著、通货膨胀率影响不显著的结论,同时表明名义利率的影响随时间而增强.     

Policy Rules and Monetarist Arithmetic

This note demonstrates the existence of an important equilibrium path overlooked in the literature on monetarist arithmetic. Pleasant monetarist arithmetic is possible when the interest‐elasticity of money demand exceeds unity. In this case, tight money may lead to a transitory increase in seigniorage, the retirement of government debt, and lower inflation in both the short run and the long run. The set of equilibrium paths is sensitive, however, to the form of the policy rule. Pleasant monetarist arithmetic is not an equilibrium if the policy rule fixes the share of the fiscal deficit financed by seigniorage. Both pleasant monetarist arithmetic and the tight‐money paradox are equilibrium paths when the government's commitment to low money growth is conditional on inflation remaining below its previous level.     

货币冲击与中国经济波动——基于DSGE模型的数量分析

基于1993~2008年的季度数据,本文在一个包含Calvo价格粘性的新凯恩斯主义模型中,讨论了中国货币冲击与经济增长的关系。在假定货币政策通过调整货币供给增长实施的前提下,本文根据模型模拟和实际数据的对比以及脉冲响应函数分析得出以下结论:(1)货币并非我国经济波动根源,实际产出对货币供给具有一定反馈作用。(2)通货膨胀的顺周期性和领先增长表明中国经济周期存在总需求拉动的特性。物价波动在中短期主要由货币供应量波动引起。(3)货币政策对实体经济有效但效果有限,货币供给变动对投资的作用效力更大,对消费需求刺激有限。     

我国价格总水平决定的一个理论模型

开放经济条件下的价格总水平由产品市场、货币市场和劳动市场三个市场达到均衡状态时共同决定,影响我国价格总水平的主要因素包括货币供给量、名义工资水平、利率、汇率和资本市场发展水平。从长期来看,在其他情况不变的情况下,价格总水平随着名义货币供给量、名义工资水平、汇率以及利率的增加而上涨;推动资本市场发展对于促进价格总水平的稳定具有积极作用。     

A dynamic microeconomic model with durable goods and adaptive expectations

This paper develops a new model of a dynamic economy with durable goods that is simple enough so that interesting examples can be solved, even with limited computational capacity. The model is of temporary equilibrium in continuous time, with money, bonds and durable goods. Individuals form estimates of the marginal values of assets through a learning process of adaptive expectations. Properties of existence and uniqueness are shown for the equilibrium prices. A simple example is considered, to show how the model can simulate many of the dynamic adjustment problems of the business cycle.     

货币流通速度和产出变动的动态一般均衡分析

结构冲击如何影响我国货币流通速度和产出变动的动态一般均衡分析结果表明:货币、制度冲击使货币流通速度和产出基本上同向变动。短期内,技术冲击使货币流通速度下降,表明我国狭义货币具有奢侈品特征。就货币流通速度的变动而言,制度和货币冲击具有持久的正向效应,制度冲击最重要,货币冲击次之,技术冲击不重要,没有长期影响。就产出的变动而言,货币冲击产生了持久的"Tobin效应",制度、技术冲击具有显著、持久的正向效应。制度冲击最重要,技术冲击次之,货币冲击不重要。     

The information content of money in forecasting euro area inflation

This article contributes to the debate on the role of money in monetary policy by analysing the information content of money in forecasting euro-area inflation. We compare the predictive performance within and among various classes of structural and empirical models in a consistent framework using Bayesian and other estimation techniques. We find that money contains relevant information for inflation in some model classes. Money-based New Keynesian Dynamic Stochastic General Equilibrium (DSGE) models and Vector Autoregressions (VARs) incorporating money perform better than their cashless counterparts. But there are also indications that the contribution of money has its limits. The marginal contribution of money to forecasting accuracy is often small, money adds little to dynamic factor models, and it worsens forecasting accuracy of partial equilibrium models. Finally, nonmonetary models dominate monetary models in an all-out horserace.     

Dynamic efficiency and intergenerational altruism

Can dynamic inefficiency that may occur in societies populated by non-altruistic agents be removed by introducing intergenerational altruism? Although the answer seems to be negative, this paper shows, by means of a simple example, that the presence of an arbitrarily low proportion of altruists can be sufficient to prevent a society from reaching a non-Pareto optimal equilibrium. Intergenerational transfers from the old to the young can therefore provide an alternative—to public debt, fiat money or money bubbles which transfer goods from the young to the old—solution to the dynamic efficiency problem.     

货币流通速度和产出变动的动态一般均衡分析

结构冲击如何影响我国货币流通速度和产出变动的动态一般均衡分析结果表明：货币、制度冲击使货币流通速度和产出基本上同向变动。短期内，技术冲击使货币流通速度下降，表明我国狭义货币具有奢侈品特征。就货币流通速度的变动而言，制度和货币冲击具有持久的正向效应，制度冲击最重要，货币冲击次之，技术冲击不重要，没有长期影响。就产出的变动而言，货币冲击产生了持久的“Tobin效应”，制度、技术冲击具有显著、持久的正向效应。制度冲击最重要，技术冲击次之，货币冲击不重要。     

NUMERICAL SIMULATION OF NONOPTIMAL DYNAMIC EQUILIBRIUM MODELS

In this article, we propose a recursive equilibrium algorithm for the numerical simulation of nonoptimal dynamic economies. This algorithm builds upon a convergent operator over an expanded set of state variables. The fixed point of this operator defines the set of all Markovian equilibria. We study approximation properties of the operator. We also apply our recursive equilibrium algorithm to various models with heterogeneous agents, incomplete financial markets, endogenous and exogenous borrowing constraints, taxes, and money.     

Is the optimum quantity of money compatible with the unique price level under laissez-faire?

The purpose of this paper is to set forth a general equilibrium model to demonstrate that even if the real social costs of producing money are positive, the optimum quantity of money is incompatible with the unique price level under laissez-faire if zero-degree homogeneity of the production-maintenance cost function in M and P is assumed.     

A stable demand for money despite financial crisis: the case of Venezuela

The demand for broad money in Venezuela is investigated over a period of financial crisis and substantial exchange rate fluctuations. The analysis shows that there exist a long-run relationship between real money, real income, inflation, the exchange rate and an interest rate differential, that remains stable over major policy changes and large shocks. The long-run properties emphasize that both inflation and exchange rate depreciations have negative effects on real money demand, whereas a higher interest rate differential has positive effects. The long-run relationship is finally embedded in a dynamic equilibrium correction model with constant parameters. These results have implications for a policy-maker. In particular, they emphasize that with a high degree of currency substitution in Venezuela, monetary aggregates will be very sensitive to changes in the economic environment.     

管子轻重理论的均衡思想

<管子>后16篇,也称轻重篇,着重阐述了轻重理论,是中国古代特有的一种经济管理思想.前人学者大多从供求规律与货币数量论等角度对商品之间的轻重规律进行阐释.文章则重点阐述了轻重规律所蕴含的均衡思想,并且在阐述管子轻重理论中蕴含的局部均衡、动态均衡、一般均衡思想后,借用现代经济学的分析工具,试图重建管子轻重规律的均衡分析.西方经济学直到1769年以后才在经济学中引入均衡的概念,此研究将进一步丰富中国经济思想的研究.     

A cointegrated structural VAR model of the Canadian economy

This paper implements a cointegrated structural VAR model of the Canadian economy using quarterly data over the period 1964–1994. The dynamic properties of the estimated model are compared to the predictions of a simple textbook macro model. Four long-run equilibrium relationships are tested: (i) consumption–income; (ii) consumption–wealth; (iii) money demand; and (iv) the Fisher equation. The empirical results obtained are generally consistent with the predictions of the textbook model's long-run implications, although level shifts are observed in the consumption/income and the wealth/income ratios. Similarly it is found that there was an increase in the ex post real interest rate, implying a level shift in the Fisher relation, following the Bank of Canada's policy change towards a stable price level target.