Moment-based estimation of smooth transition regression models with endogenous variables

Nonlinear regression models have been widely used in practice for a variety of time series and cross-section datasets. For purposes of analyzing univariate and multivariate time series data, in particular, smooth transition regression (STR) models have been shown to be very useful for representing and capturing asymmetric behavior. Most STR models have been applied to univariate processes, and have made a variety of assumptions, including stationary or cointegrated processes, uncorrelated, homoskedastic or conditionally heteroskedastic errors, and weakly exogenous regressors. Under the assumption of exogeneity, the standard method of estimation is nonlinear least squares. The primary purpose of this paper is to relax the assumption of weakly exogenous regressors and to discuss moment-based methods for estimating STR models. The paper analyzes the properties of the STR model with endogenous variables by providing a diagnostic test of linearity of the underlying process under endogeneity, developing an estimation procedure and a misspecification test for the STR model, presenting the results of Monte Carlo simulations to show the usefulness of the model and estimation method, and providing an empirical application for inflation rate targeting in Brazil. We show that STR models with endogenous variables can be specified and estimated by a straightforward application of existing results in the literature.     

我国经济与物价的中长期发展前景

在国内宏观调控政策保持相对稳定、美欧日经济平稳增长的情况下,2011年我国经济增速将回调到9.7%左右,2012～2015年将保持10%左右的较快增长状态。2011年和2012年我国通货膨胀压力较大,CPI涨幅将超过5%。2012年以后食品价格和CPI涨幅趋于下降,但非食品价格仍将保持较快上涨态势,内在通胀压力依然存在。可通过适度控制交易性货币供给增速和工资上涨幅度、加大人民币升值幅度等措施缓解物价上涨压力,但需要处理好抑制物价上涨和稳定经济增长的关系。     

Are Hodrick-Prescott `forecasts' rational?

We evaluate the usefulness of the Hodrick-Prescott (HP) filter as a proxy for rational expectations, using long runs of annual US inflation data. Our conclusion is that while the HP series are not fully rational in the sense of Muth (1961), they do generally meet the criterion of `weak rationality' recently proposed by Grant and Thomas (1999). They are also rational proxy predictors of direction for, following Merton (1981), agents would not change their prior in the opposite direction to these `forecasts'. However, smoother HP `forecasts' are more prone to inefficiency and less useful predictors of direction. First Version Received: May 2000/Final Version Received: May 2001     

Inflation and growth in South Africa

This paper studies the relationship between inflation and growthin South Africa. Two main issues are addressed: do tests ofthe South African data support the findings of cross-sectionstudies that inflation has a negative effect on growth overthe longer term? and, can higher growth be gained at the costof higher inflation in the short run? The findings are thatinflation drags down growth in South Africa over the longerterm, and that, in the short run, growth above its trend requiresaccelerating inflation. Thus, for growth to be pulled substantiallyabove its present low trend, inflation targeting in South Africawould have to be abandoned. However, this would be counterproductiveover the longer term, once the negative relationship betweeninflation and growth manifests itself.     

Capital Maintenance Adjustment Under the Financial (Real) Capital Concept

This paper examines the way in which the general purchasing concept of capital has been implemented in the real business income and selling price models. It presents an analysis of the conceptual aspects of the alternative methods of implementation proposed in the literature and identifies limitations in adjusting for inflation in entry price models.     

Key Issues for Monetary Policy: An ECB View

The European single currency, the euro, has become a visible and successful token of Europeans drive towards unification. It was born in an era in which high-speed structural change tests the validity of economic models and defies searches for standard policy recipes. Like all central banks, the European Central Bank (ECB) must deal with uncertainty that derives not only from the timely identification of important disturbances but also imperfect knowledge of how such disturbances affect the economy. These problems are compounded by the likelihood that important and poorly understood structural changes accompany cyclical forces. Unification of Europe has brought about significant structural change, which has been amplified by the recent enlargement of the European Union. Under these conditions, independence of the ECB, a mandate of price stability, and clear rules of fiscal governance have been essential for the credibility of the euro. Thus, the ECB has quantified its target of price stability in a mediumterm framework. Like the US Federal Reserve, the ECBs policy framework is comprehensive, and its decisions are transparent. Unlike the Fed, however, the ECB has an explicit, quantitative definition of price stability and performs a detailed and explicit crosscheck between its economic analysis and detailed monetary analysis. These differences notwithstanding, the similarities between the ECB and the Fed are more important.JEL Classification E58     

刘易斯拐点到来会抬高通货膨胀水平吗

刘易斯拐点是工业化发展进程中,劳动力供给由无限转为有限,劳动力价格随之上涨的时间点。部分学者认为,我国刘易斯拐点的到来,将通过推高工资水平带来物价水平的整体提升。本文通过对二十世纪中叶以后经过快速的工业化发展、走过刘易斯拐点的日本、韩国、新加坡三个国家的通货膨胀水平和实际工资水平进行实证分析,研究发现实际工资上涨并不一定能够推高整体物价水平,中国的情况也是如此,此轮通货膨胀主要由原材料价格上涨、市场流动性过剩引起,需要及时转变经济发展方式,加快经济结构转型,并尽快建立多层次资本市场,丰富融资渠道。     

The Form. Measurement and Management of Inflation Anticipation

通货膨胀是影响各国经济发展和社会稳定的重要问题,而通胀预期又是影响实际通货膨胀的重要因素。我国通货膨胀随着社会转型开始呈现周期性变化,对我国通货膨胀基于成本推动型、需求拉动型、结构型等等的研究也已经较多,但不容忽视的是,我国通货膨胀的惯性特征很强,通货膨胀的滞后效应十分明显,究其原因是通胀预期的作用。本文基于对通胀预期形成的认识,对其影响因素进行研究,然后通过实证分析,得到通胀预期形成的相关结论,最后对通货膨胀的管理提出政策建议。     

货币超发是中国通货膨胀的根源吗?——基于DSGE模型不确定均衡解的分析

本文构建了一个充分反映中国宏观经济结构和体制特征的DSGE模型,并用贝叶斯估计方法对模型进行了估计和分析。我们发现,中国宏观经济存在非确定均衡解,自我实现的通胀预期对中国通货膨胀和产出波动有显著的影响,逆向供给冲击是近年来中国通货膨胀的主要原因。通过反事实模拟方法,我们发现近年来我国央行实施的实际货币政策基本符合最优货币政策,我们还估算中国货币增长长期目标的适度水平为18%左右,过高或过低的货币增长率都会加大消费和通货膨胀的波动,并降低社会的长期福利水平。     

人民币汇率升值预期对我国国内生产成本的影响

改革开放以来,我国凭借国内生产的成本优势在国际贸易中获取了大量利益。出口刺激了经济的快速增长,然而持续顺差带来的本币升值问题却成为我国经济发展中的两难。虽然汇率升值可能造成出口部门竞争力下降,但是,理论上讲,汇率的升值也能够缓解国内通货膨胀的压力,并且能够降低进口原材料价格,从而降低国内的生产成本。然而,自汇改以来,人民币的升值并没有减缓通胀压力,相反的,升值一直伴随着物价的上涨,于此同时,人民币汇率、国内资产价格和物价之间的联动越来越明显。本文从人民币汇率预期、资产价格和物价的关系入手,研究人民币汇率升值预期对我国国内生产成本的影响。结果表明,人民币升值预期会导致我国国内生产成本的上涨,即成本优势的丧失。