Asset Prices, Monetary Policy and Macroeconomic Stability

This article discusses the role of asset prices in the conduct of monetary policy when the ultimate goal is to maintain price stability and limit fluctuations in real income. It is argued that judicious interpretation of asset price movements can provide information about the risks of future macroeconomic imbalances, and that this information should be utilized in monetary policy decisions. Simulations results from both theoretical and empirical models support the conceptual argument. It is stressed that policy reactions to asset prices must not follow a mechanical rule, since the appropriate response depends on the underlying shock.     

A Macroeconomic Policy Game for a Monetary Union with Adaptive Expectations

We consider a dynamic game model of a two-country monetary union. Governments (fiscal policies) pursue national goals while the common central bank’s monetary policy aims at union-wide objectives. For a symmetric demand shock, we derive numerical solutions of the dynamic game between the governments and the central bank. We consider conflicting (non-cooperative Nash equilibrium) and coordinated policy-making (cooperative Pareto solutions). We show that there is a trade-off between the deviations of instruments and targets from desired paths; the volatility of output and inflation increases when private agents react more strongly to changes in actual inflation.     

Non-Euro EU Member States and ECB-Originating Monetary Shocks: A Macroeconomic Policy Trilemma Question

Atlantic Economic Journal -     

宏观调控政策三箭齐发

对于地产商和境内外炒房族来说,今年9月第一周充分领教到了国家宏观调控政策的威力。从9月5—7日,宏观调控政策是三箭齐发,击中丁,炒房者的要害。     

中美“宽松”货币政策、通胀预期与货币规则的探讨

2008年10月以来,中美两国均采取了不同程度的"宽松"货币政策来应对源于美国金融危机的全球经济衰退。本文的研究显示,2008年,中美两国货币供应量M1和M2增长率是相似的;2008年底到2009年8月,中国的M1和M2增长率分别为20.6%和21.4%,而美国的M1和M2增长率仅为3.36%和2.14%,中国的通胀预期是市场对"超级宽松"货币政策的合理反应。在过去的一年间,中国货币当局对美国金融危机的反应比美国的政策干预更为积极。而货币供应量的高增长孕育着价格上涨的风险,货币政策应当从被动协调美国的相机抉择转向遵循货币数量规则,抑制通胀预期,以实现宏观经济的稳定增长。     

开放经济条件下时变参数泰勒规则在我国货币政策中的适用性研究

文章在考虑IS曲线、菲利普斯曲线以及泰勒规则等理论模型系统的内生性结构基础上,利用时变参数随机波动向量自回归(TVP-SV-VAR)模型捕捉我国货币政策对产出、通胀与汇率反应的时变特征,检验实际汇率与实际有效汇率进入泰勒规则对货币政策有效性的影响差异性。研究结果表明,相比未引入汇率因素或引入人民币实际汇率的泰勒规则,将人民币实际有效汇率引入泰勒规则使得货币政策钉住通胀目标参数与钉住产出缺口参数均得到更为显著的改善,更符合我国货币政策规则的实际。我国货币政策规则正由"相机选择型"向"规则型"利率调控模式转变,货币政策调控空间也逐渐向产出缺口与通胀率目标及人民币汇率稳定目标转变,具体而言,货币政策对通胀与产出的调整仅表现为先递增后递减的短期正向效应,且2006年第3季度以来,我国货币政策具有明显的通胀治理偏好;货币政策对人民币汇率波动在2001年之前表现为逐渐增强的短期负向效应,而后影响效应逐渐减弱。     

The Macroeconomic Role of Fiscal Policy

This article examines the new consensus that fiscal policy shouldhave no macroeconomic role in ‘flexible inflation targeting’regimes. There is little basis for this presumption. Fiscalpolicy remains important in setting the policy mix and in managingshocks and imbalances. The credibility of an inflation-targetingregime should be enhanced rather than reduced if fiscal policyplays its proper role. It is true, nevertheless, that the costsof focusing fiscal policy narrowly on public-sector concernsmay not be very great, most of the time. However, when interestrates cannot be used, the role of fiscal policy must be different.With interest rates at their lower bound of zero, there is noplausible alternative. For asymmetric shocks and adjustmentsin EMU, fiscal policy needs, ideally, to substitute for theinterest-rate policy reaction function of the consensus, butthe difficulties are very great. We suggest a policy focus onreal exchange rates as a way of resolving some of the dilemmas.There is a serious danger that orthodox views about fiscal policy,drawn from the consensus, will be inappropriately applied, especiallyin Europe. Footnotes ¹ E-mail addresses: christopher.allsopp{at}new.ox.ac.uk; david.vines{at}economics.oxford.ac.uk     

International Monetary Policy Spillovers

Open Economies Review - This paper explores for spillovers from monetary policy in the United States to a number of advanced countries, namely Canada, Denmark, the Eurozone, Japan, Sweden,...     

Communication and Monetary Policy

Recent trends toward greater central bank independence and theadoption of formal inflation targeting by several countrieshave served to emphasize the importance of communication policy.In this paper, we explore some of the economic effects of publicinformation that arise whenever public information serves thedual role of conveying fundamental information as well as servingas a focal point for better coordination. More precise publicinformation is a double-edged tool. While it is very effectivein influencing actions through coordination, sometimes it canbe too effective, and coordinate actions away from fundamentals.     

Evaluating Monetary Policy Options

We present a procedure for evaluating ex ante the effects of alternative paths of a monetary policy tool (the federal funds rate in our illustrations) on output and the price level within a variant of a widely used vector autoregressive model of the U.S. economy. This exercise is a supplement to, or even an alternative to, analysis that relies on a particular structural model. Illustrations of the method are provided by evaluating the effects of changes in the funds rate target. Additionally, the Taylor rule is used to generate target funds rates for different target inflation rates, and the effects of these are evaluated.     

Policy Choices and Resilience to International Monetary Shocks

Abstract

The well-known trilemma theory states that the nominal exchange rate regime plays a crucial role in a country's ability to pursue monetary policy that is for its domestic objectives independent from other countries' influences. In particular, a flexible exchange rate is required for an independent monetary policy. Capital controls may help a country with a fixed exchange rate to gain some policy space but the effect of capital controls is leaky and often short-lived. We revisit these conventional wisdoms and find no strong evidence supporting them in practice. In particular, a flexible exchange rate does not reliably deliver monetary policy independence, but capital controls do. This is consistent with the view that most (developing) countries dislike either depreciation or appreciation of their currencies, and therefore would choose to follow US monetary policy moves even if they are on a flexible exchange rate regime. In other words, to build resilience to international monetary policy shocks, capital controls are a necessarily component.     

对当前宏观调控的若干政策建议

在市场经济条件下,宏观调控难度加大。当务之急是将"热钱"收入笼中,探索治标治本之策。建议大量释出国有流通股,尽快让社保入市资金退出;逐步放开股票一级市场,改善资本市场结构;实施财政紧缩政策,停建大型公共设施;发挥市场调控手段作用。     

宏观政策取向的调整：从促进增长转向充分就业

处于临界点的中国失业问题 在衡量中国的失业问题时,通常采用四种不同的口径.首先,是中国政府发布的失业率,实际上就是"城镇登记失业人数".这不过是冰山的冰尖而已.有意义的是它的趋势.     

出其不意的央行货币政策

2006年8月18日,央行出其不意地上调了金融机构人民币存贷款基准利率。金融机构一年期存贷款基准利率上调0．27个百分点,其他各档次存贷款基准利率也相应调整,长期利率上调幅度大于短期利率上调幅度。同时,也规定对个人消费信贷利率有所优惠。     

Optimal Monetary Policy in China

Using the structural vector autoregression model, we estimate the current responses of monetary policy to contemporaneous shocks from macroeconomic variables. Our findings indicate that the People's Bank of China responded to inflation and output changes, but did not react to asset price fluctuations during the period from January 1997 to March 2010. The optimal monetary responses to exogenous shocks are also examined. It is revealed that using asset prices to formulate monetary policy would not help to improve monetary authorities' performance in lowering the volatilities of output growth and inflation while keeping output growth and inflation in their safety zones. The effectiveness of monetary policy and fiscal policy in reacting to external shocks is also discussed.     

The Interactions between Fiscal Policy and Monetary Policy

This paper studies the interactions of fiscal policy and monetarypolicy when they stabilize a single economy against shocks ina dynamic setting. If both policy-makers are benevolent, then,in our model, the best outcome is achieved when monetary policydoes nearly all of the stabilization. If the monetary authoritiesare benevolent, but the fiscal authority discounts the future,or aims for an excessive level of output, then a Nash equilibriumwill result in large welfare losses: after an inflation shockthere will be excessively tight monetary policy, excessive fiscalexpansion, and a rapid accumulation of public debt. However,if, in these circumstances, there is a regime of fiscal leadership,then the outcome will be very nearly as good as when both policy-makersare benevolent. Footnotes ¹ E-mail addresses: t.kirsanova{at}exeter.ac.uk; jari.stehn{at}bnc.ox.ac.uk;david.vines{at}economics.oxford.ac.uk     

Global Spillovers of China's Monetary Policy

Spillovers from China's monetary policy have become increasingly obvious with China's growing importance in the global economy and its close economic and trade ties with the world. This study establishes a proxy structure vector autoregression model to investigate the magnitude and transmission channel of spillovers from China to global and regional economies, taking advantage of high-frequency changes in asset prices in the financial markets to identify monetary policy shocks. The analysis reveals that China's monetary policy can affect the global economy by influencing international trade and commodity prices but there is no evidence of China's monetary policy affecting global financial variables. Tightness in China's monetary policy can cause a decline in world output whereas expansion in monetary policy can support global trade and output. This study also finds that the response of emerging Asian economies to China's monetary policy shock was nearly twice that of developed economies, while the transmission path did not change. The results of this study are consistent with the stylized fact that China's monetary policy plays an important role in the global trade and commodity cycle, although it does not drive the global financial cycle.