Forecasting South African inflation using non-linearmodels: a weighted loss-based evaluation

The conduct of inflation targeting is heavily dependent on accurate inflation forecasts. Non-linear models have increasingly featured, along with linear counterparts, in the forecasting literature. In this study, we focus on forecasting South African inflation by means of non-linear models and using a long historical dataset of seasonally adjusted monthly inflation rates spanning from 1921:02 to 2013:01. For an emerging market economy such as South Africa, non-linearities can be a salient feature of such long data, hence the relevance of evaluating non-linear models’ forecast performance. In the same vein, given the fact that 1969:10 marks the beginning of a protracted rising trend in South African inflation data, we estimate the models for an in-sample period of 1921:02–1966:09 and evaluate 1, 4, 12, and 24 step-ahead forecasts over an out-of-sample period of 1966:10–2013:01. In addition, using a weighted loss function specification, we evaluate the forecast performance of different non-linear models across various extreme economic environments and forecast horizons. In general, we find that no competing model consistently and significantly beats the LoLiMoT’s performance in forecasting South African inflation.     

基于VECM的治理通胀与经济发展协调性研究

笔者基于VECM模型对利率、汇率、货币供给、经济增长与通货膨胀之间的关系进行研究,发现它们之间存在协整关系,利率、汇率、货币供给增长率与通货膨胀具有双向影响关系,而经济增长率单向影响通货膨胀,利率不是经济增长率的格兰杰因,汇率、货币供应量增长率与经济增长率之间都不存在格兰杰因果关系,五个变量互相之间的作用都有较长滞后效应。通过深化改革、完善市场机制、转变经济增长方式可以保增长防通胀。     

What determines households inflation expectations? Theory and evidence from a household survey

The purpose of the present paper is to study how households form inflation expectations using a novel survey dataset of Italian households. We extend the existing ‘inattentiveness’ literature by incorporating explicitly inflation targets and distinguishing between aggregate and disaggregate dynamics based on demographic groups. We also consider both the short- and long-run dynamics as households update their inflation expectations. While we find clear distinctions between the various demographic groups behavior, households tend to absorb professionals forecast. The short-run dynamics also indicate they not only overreact when updating their expectations but also adjust asymmetrically to any perceived momentum change of future inflation.     

通货膨胀与农业股票收益多尺度分析

通货膨胀水平与股票收益率的关系是金融学研究的热点问题之一。文章介绍了小波方法的多尺度分析原理,采用农林指数月度收盘价的对数收益率和消费者价格指数分别代表农业股票收益率和通货膨胀率的水平,得到2007年9月到2012年12月农业股票收益率和通货膨胀率的统计特征。以小波方法分解已知的时间序列,得到不同尺度的数值,利用最小二乘法实证两者之间的关系,得到在中尺度和大尺度的分析周期上,两者具有统计意义上显著地正相关关系,支持了费雪效应假说。而在短尺度分析周期上,两者又具有统计意义上的负相关性,出现了费雪效应悖论。     

开放条件下我国货币政策有效性的经验分析——基于目标实现与工具选择角度的评价

本文利用HP滤波、LSTVAR方法估算我国产出缺口、通胀缺口及货币政策变量的广义脉冲响应函数,以此研究我国货币政策在目标实现和工具选择等方面的有效性。研究结果表明,改革开放以来,我国货币政策的调控经历了急刹车、软着陆、防通缩和控温降速等阶段,政策调控缺乏预见性和提前量,政策工具的使用和力度把握不准确,政策有效性不容乐观;开放条件下,我国货币政策工具的混合使用使得政府很难掌握调控力度和节奏,政府以利率作为主要调控手段的做法不明智,应主要借助信贷、货币量调控。随着经验的积累,政策工具选择的侧重点越来越突出,微调特征日益明显,调控效率总体上有显著提升。最后,本文给出相关政策建议。     

The Taylor principle fights back,Part I

New Keynesian models with limited asset market participation assert that under plausible conditions higher real interest rates increase aggregate demand, the Taylor principle leads to indeterminacy, and passive policy ensures a unique equilibrium. These striking results stem from the assumption that the real wage is highly flexible. Relaxing this assumption slightly brings back the normal world where higher real interest rates reduce aggregate demand and where the Taylor principle is effectively necessary and sufficient for a unique, stable equilibrium.