G20主要经济体宏观经济政策溢出效应研究

本文分析美国、中国、日本、欧元区及英国等G20五个系统重要性经济体宏观政策溢出效应。研究表明,美元指数与大宗商品价格具有显著的负向关系,影响美元指数的美国量化宽松等货币政策将影响大宗商品价格。主要国际货币发行国基础货币总和与资本跨境流动具有显著的正向关系,美联储、欧洲央行等量化宽松政策对资本跨境流动尤其是流入新兴经济体的资本产生较强溢出效应。同时,发达经济体占据产业链高端而通过产业链条对国际贸易形成溢出效应。另一方面,中国经济通过总量扩张、外汇储备资产积累及生产链条等渠道对大宗商品价格、国际金融市场及国际贸易产生溢出效应。为此,各国应进一步加强国际协调,降低系统重要性经济体宏观经济政策负面溢出效应。     

基于资产组合再平衡渠道的央行资产负债表政策溢出效应研究

国际金融危机后,中央银行资产负债表政策成为各国央行实行货币政策操作的核心工具,但对其溢出效应的研究还停留在传统的传导渠道层面。文章基于非传统传导渠道的视角,先构建以CAPM为基础的模型理论说明资产组合再平衡传导渠道的机制,再以MSVAR模型实证检验日本央行资产负债表政策通过资产组合再平衡渠道对中国的溢出效应。实证结果表明,日本央行资产负债表的扩张使中国长期国债收益率下降、通货膨胀上升、产出水平下降,并且在不同区制下溢出效应的程度有所不同。中央银行资产负债表政策、资产组合再平衡渠道和信号渠道是货币政策发挥作用的新机制。这一结论对中国人民银行改革货币政策框架及加强国际货币协调有现实意义。     

基于资产组合再平衡渠道的央行资产负债表政策溢出效应研究

国际金融危机后,中央银行资产负债表政策成为各国央行实行货币政策操作的核心工具,但对其溢出效应的研究还停留在传统的传导渠道层面。文章基于非传统传导渠道的视角,先构建以CAPM为基础的模型理论说明资产组合再平衡传导渠道的机制,再以MSVAR模型实证检验日本央行资产负债表政策通过资产组合再平衡渠道对中国的溢出效应。实证结果表明,日本央行资产负债表的扩张使中国长期国债收益率下降、通货膨胀上升、产出水平下降,并且在不同区制下溢出效应的程度有所不同。中央银行资产负债表政策、资产组合再平衡渠道和信号渠道是货币政策发挥作用的新机制。这一结论对中国人民银行改革货币政策框架及加强国际货币协调有现实意义。     

欧版量化宽松,越赌越大

面对愈演愈烈的欧洲主权债务危机和流动性危机,欧洲央行的政策立场正在逐步软化。日前,欧洲央行宣布再次启动期限长达三年的长期再融资计划(LTRO),同时敦促欧洲银行提出贷款申请以满足其贷款需求。这被视为欧洲央行为缓解欧元区金融体系所承受的严峻压力而做出的新努力之一,LTRO试图依靠银行来重建欧元区债券市场的稳定性,但这很可能形成一个新的风险循环。     

欧洲央行降息至1．25％

欧洲中央银行28日宣布将欧元区主导利率降低0．25个百分点,即从1．50％下调至1．25％,以刺激经济增长。欧洲央行表示,做出降息决定是鉴于欧元区通货膨胀压力持续缓解和经济衰退程度加深。     

“朝三暮四”的欧美刺激政策

所谓的刺激措施,并不真正解决问题,而只是将初一的问题,拖到十五,是进两步退三步而已。欧元区债务危机依然威胁肆虐着欧洲。之前欧洲央行行长德拉吉还发誓要"不惜一切代价保住欧元",但未能在8月1日的政策会议上化为具体行动,使投资者的希望再次破灭,西班牙和意大利国债收益率急速飙升。欧洲央行显然真没辙了,只剩下德国总理默克尔反复     

媒体速览

欧洲央行或开展量化宽松以提高通胀率2014年末,欧洲央行暗示将开展量化宽松,以提高过低的通胀率。欧洲通胀率长期低于2%的目标值,而欧洲央行目前也无法进一步降低利率以刺激经济。只有扩张其资产负债表才能推行宽松政策,而这个规模需要达到10000亿欧元。欧央行在2014年末购买资产抵押债券和资产担保证券已达300亿欧元,如果持续下去,预计2015年底两种资产的购买规模将达2000亿欧元。此外欧央行还可以购买企业债券和政府债券,但前者的规模不能超过每年     

欧洲央行降息25基点至1％创历史新低

欧洲央行7日宣布,将欧元区基准利率下调25基点,至1％的历史新低。自去年10月以来,欧洲央行已累计降息325个基点j分析人士普遍认为,欧元区利率可能已经见底,下一步的问题在于是否效仿美、日、英等国采取量化宽松政策。     

加拿大经济11个月来首次实现增长

总部位于德国法兰克福的欧洲央行3日宣布，将欧元区主导利率维持在1％的历史最低水平上。同时，将存款利率维持在0．25％，边际贷款工具利率维持在1．75％。德国经济学家普遍预计，欧洲央行起码会将现行主导利率维持至2010年中期不变。其依据是，欧元区通胀率持续处于较低水平，且欧洲央行理事会对当前的经济复苏势头能否持续持怀疑态度。     

欧元汇率波动对欧元区进出口贸易影响的异质性及其原因研究

本文使用面板数据的变系数固定效应研究方法,利用1999～2012年的季度数据,实证研究了12个欧元区国家与美国的进出口贸易受欧元汇率波动影响的程度及其异质性。本文发现,在欧盟创始国的范围内,汇率波动效应的异质性不显著,但随着欧元区的不断扩大,汇率波动效应的异质性加强了。异质性的原因是欧元区各国在经济发展水平、产品竞争力、金融市场发达程度和经济一体化程度等方面的差异。     

Macroeconomic effects of financial stress and the role of monetary policy: a VAR analysis for the euro area

This paper analyses an otherwise standard macro-financial VAR model for the euro area that includes - apart from conventional measures of output, inflation and monetary policy - a composite indicator of systemic financial stress, namely the CISS index, and total assets of the ECB balance sheet capturing the stance of unconventional monetary policy. I find that the CISS contributes significantly to the dynamics of the macroeconomy and exerts a strong influence on monetary policy when looking at both policy rates and the ECB balance sheet. The significance of the CISS appears robust to the inclusion of a broad set of real and financial control variables. Based on tests of direct versus indirect (Granger-)causality patterns proposed in Hsiao (1982), I also find that unlike unconventional policy as measured by ECB balance sheet growth, the policy rate does not seem to react directly to variations in financial stress but rather indirectly through the impact of financial stress on macroeconomic conditions. These different patterns of reaction are broadly consistent with the ECB’s “separation principle”. The estimated effects of the ECB’s standard and non-standard policy measures on inflation and economic growth are moderate, although an easier stance in both policy tools helps calm down financial stress.     

The European Monetary Policy Responses During the Pandemic Crisis

This paper uses an event-based analysis to describe how the European Central Bank’s (ECB’s) policy responses to the pandemic crisis have affected the European financial and economic system. The result of our exercise, which is based on the examination of the main measures taken by the ECB during 2020, is that these responses have positively affected the European economic system by improving banks’ lending activity and by indirectly creating room for expansionary fiscal policies in the euro area’s high-debt countries that do not have fiscal capacity.

     

Central Bank Balance Sheet Policies and Inflation Expectations

We analyse the empirical effects of credit easing and quantitative easing on inflation expectations and exchange rates. Both monetary policy strategies are summarised in measures for composition and size of the central bank balance sheet and are included in a VAR model. The results show that changes in balance sheet size had positive, albeit weak effects on inflation expectations in Japan, while the effects were negligible in the euro area. By contrast, an increasing balance sheet size is associated with reduced short-term inflation expectations in the US and UK, pointing at negative signalling effects. Shocks to balance sheet size or composition have no substantial effects on long-term inflation expectations in the euro area, US and UK. An expanding balance sheet size is associated with a depreciation of the euro, pound sterling and Japanese yen.     

Monetary policy in the euro area: Was it too tight in the 1990s?

This paper studies the monetary policy in the euro area. An important question concerning the euro area is whether the monetary policy has been too tight in the 1990s and in turn, caused the high unemployment rates, in contrast to the economic prosperity and low unemployment rate of the U.S. Therefore, the authors explore what would have happened to the euro economy if the Central Banks had followed either the fixed or time-varying monetary policy rule of the U.S. The paper does find that the European central banks and then later the ECB overreacted to past inflation pressures.     

Monetary policy towards E(M)U accession: A central banker's view

This paper gives a brief overview of the main economic issues related to the forthcoming integration of the new EU member countries into the euro area. Subsequently, it will discuss in more detail three broad issues concerning the monetary side of EU enlargement. First addressed is the timing of euro area enlargement and monetary policy regimes in the run up to the EMU. The next focus is on the ERM II as an interim step towards the euro area. Third, the author expresses his views on the future of the ECB and the euro area, which the Czech Republic will have an opportunity to co-determine after its entry. The paper is based on the author's Distinguished Address, as well as the symposium's panel discussion on the topic at the International Atlantic Economic Conference in Vienna, 14 March 2003.     

The ‘Visible Hand’ of the ECB’s first quantitative easing

Quantitative easing à la ECB has produced significant impact on long-term nominal rates through ex ante channels, such as signalling channels, term duration channels, and risk premia channels, well before it materially started. Ex post difference-in-differences estimation suggests a significant impact on long-term government bond yields, while the impact of the ECB’s first QE on the key inflation rate is very weak. The term duration channel may also lead to a lengthening of the average maturity of government debts, with possible implications for fiscal policy. The ECB’s determination to buy government bonds in a fragmented market with a low net supply is also producing an ex post impact, i.e. during the actual asset purchases. High rates volatility suggests that this impact is less on nominal rates and more on financial plumbing. As the effects of scarce supply in collateral markets are felt, repo rates remain well below zero. Low supply and limited re-usability of high quality collateral, capped by regulatory requirements, is an additional constraint on market liquidity and compresses dealers’ balance sheets. By keeping a depressed yield curve and asset prices high, QE is also accelerating the consolidation of both traditional and capital-market based (dealer) bank business models, raising questions about implications for global collateral flows and deposit-like funding channels.     

The European Central Bank and the Federal Reserve

In the 4 years of its existence, the European Central Bank (ECB)has made significant contributions to the macroeconomic stabilityof the euro area. This paper takes a critical look at the ECBand compares its institutional structure, policy framework,and operational procedures with those of the longer-establishedUS central bank. We discuss the implications of various differencesbetween the ECB and the Federal Reserve with a view toward identifyingsuccessful elements of the practices of both these institutions.The paper recommends that the ECB abandon the first pillar ofits monetary policy strategy that affords a special role tomonetary aggregates in the evaluation of financial market conditions.It also suggests that the Federal Reserve should follow theECB's lead and provide an explicit definition of price stability.     

The macroeconomic effects of the ECB’s evolving QE programme: a model-based analysis

This paper analyses the macroeconomic effects of the European Central Bank’s asset purchase programme in its initial version and subsequent modifications under the lens of a dynamic macroeconomic model, which includes assets of different types and maturity, and explicitly introduces asset purchases of long-term bonds (held by euro area and non-euro area residents) by the central bank. With imperfect substitutability between asset classes, portfolio rebalancing in the context of quantitative easing (QE) affects bond yields, stock prices, the exchange rate and the private sector’s saving decision. QE as announced in January 2015 generates 0.4% effective euro depreciation and raises real GDP in the euro area by 0.2% and prices by 0.3% by 2017 in the model. The subsequent extensions of the QE programme (extension in time and increase in volume) more than double the medium-term output and inflation effects according to the simulations.     

Inflation Expectations and Inflation Uncertainty in the Eurozone: Evidence from Survey Data

This paper uses the European Commission’s Consumer Survey to assess whether inflation expectations have converged and whether inflation uncertainty has diminished following the introduction of the euro in Europe. Consumers’ responses to the survey suggest that inflation expectations depend more on past national inflation rates than on the ECB’s anchor for price stability. Inflation expectations do not converge significantly faster than actual inflation rates. Regarding inflation uncertainty, the data indicate a relationship with country size following the introduction of the euro. This suggests that within EMU, inflation uncertainty may increase in countries that have a smaller influence on ECB policy. JEL no.  D84, E31, E58     

Asymmetric Reaction Functions for the Euro Area

This paper offers a preliminary evaluation of ECB conduct ofmonetary policy by estimating a fairly general reaction functionfor the euro area. The specification of the policy rule embodiesa number of nonlinearities which are shown to stem from asymmetricpreferences and a convex aggregate supply curve. Asymmetricpreferences allow, but do not require, policy-makers to weightdifferently positive and negative deviations of inflation andoutput from the reference values, and translate into an asymmetricreaction function. The empirical analysis on monthly euro-areaaggregated data over the last 5 years reveals that ECB monetarypolicy is effectively described by a nonlinear policy rule accordingto which output contractions have required a larger policy responsethan output expansions. Moreover, actual movements in the eurointerest rate closely resemble the simulated path that a Bundesbank-typeof behaviour would have implied.