The impact of liquidity on inflation-linked bonds: A hypothetical indexed bonds approach

Sovereigns mainly issue inflation-linked bonds (ILB) in order to save money. More than 15 years’ experience with this financial instrument in the United States has led to the conclusion that these bonds are characterized by low liquidity issues. Recently, various papers have started to analyze the impact of liquidity on ILB yields. This paper develops a new strategy for estimating the liquidity premium based on Campbell and Shiller's (1996) hypothetical ILB yields. We find significant effects of ILB-specific liquidity measures for the United States, the United Kingdom and Canada. Based on these findings, we derive the liquidity premium in ILB yields, liquidity-adjusted estimates for the break-even inflation rate and the inflation risk premium. In the United States, for instance, the average of the liquidity premium is 0.56%-points, and the average liquidity-adjusted break-even inflation rate and inflation risk premium amount to 2.67%-points and 0.22%-points, respectively.     

EXCHANGE RATE TARGET ZONES: A SURVEY OF THE LITERATURE

This work selectively reviews the literature on exchange rate target zones and their theoretical and empirical methodologies and examines whether they can be used to clarify to what extent this type of exchange rate regime could contribute to greater exchange rate stability. We discuss the main contributions of the first and second generations of exchange rate target zone models. In an attempt to reconcile the poor empirical performance of the Krugman model with the reality of exchange rate target zone regimes, this line of research integrates target zones with alternative underlying economic models, such as imperfect credibility, intra‐marginal interventions and sticky price models. It was thus possible to understand the correlations observed between the exchange rate, its fundamentals determinants and the interest rate differential, and to explain the fact that the statistical distribution of the exchange rate is hump shaped rather than U shaped. This implies that the initial emphasis of target zone models on nonlinearities, ‘honeymoon effect’, ‘smooth pasting’ and marginal interventions has vanished. Exchange rate target zones are better described as similar to managed floating regimes with intra‐marginal interventions, with some marginal interventions when the exchange rate reaches the edges of the floating band.     

New tips from TIPS: Identifying inflation expectations and the risk premia of break-even inflation

This paper decomposes the break-even inflation rates derived from inflation-indexed bonds into inflation risk premia, liquidity risk premia, and inflation expectations. I estimate a common factor model with autoregressive conditionally heteroscedastic (ARCH) errors that extracts co-movements from twenty-two monthly and quarterly indicators to identify these three components. The results indicate that the sharp declines in the 10-year and 5-year break-even inflation rates in 2009 reflect a substantial increase in liquidity risk rather than a decrease in inflation expectations. Break-even inflation rates underestimate inflation expectations over nearly the entire sample due to the liquidity risk premia carried by the inflation indexed bond yields. Also, the model-implied inflation expectations show better forecast performance for the average annual inflation rates than raw break-even inflation rates, the Survey of Professional Forecasters, and the Surveys of Consumers inflation forecasts.     

关于“十五”计划的几个问题

《国民经济和社会发展第十个五年计划纲要》准确反映了党的十五届五中全会提出的大政方针、发展目标、重大任务和主要政策措施,充分体现了国家战略意图,是我国国民经济和社会发展的行动纲领。     

Political Macroeconomics: A Survey of Recent Developments

The paper surveys political macroeconomics, covering its development from Rogoff's conservative central banker to the most recent discussions of monetary policy and institutional design. Topics include the inflation-stabilization trade-off, central bank independence with escape clauses and overruling with costs, inflation targets, performance contracts for monetary authorities, and the consequences of output persistence for these issues. Further topics are the political business cycle when output is persistent, the political macroeconomics of fiscal policy, the government spending bias, and the game-theoretic interaction between fiscal and monetary policy. All work is discussed within a coherent analytical framework.     

汇率制度选择及其通胀绩效的实证考察--以中东欧转轨国家为例

文章对20世纪90年代中东欧转轨国家汇率制度选择及其通胀绩效进行了实证考察。结果表明,这些国家在从计划经济向市场经济转轨的过程中,采取了几乎所有的汇率制度类型。对于转轨国家而言,汇率制度选择与通胀之间存在着非常密切的关系。在转轨的初期,通胀的压力和宏观经济的稳定性是政府主要考虑的因素,这些国家的政府都把稳定货币作为制定政策的出发点,汇率制度的选择也是围绕稳定货币进行的。这些国家的实践表明,钉住汇率制度反通胀的绩效要超过浮动汇率制度。     

Money demand and the role of monetary indicators in forecasting euro area inflation

This paper examines the stability of money demand and the forecasting performances of a broad monetary aggregate (M3), excess liquidity and excess inflation in predicting euro area inflation. The out-of sample forecasting performances are compared to a widely used alternative, the spread of interest rates. The results indicate that the evolution of M3 is still in line with money demand, even when observations from the economic and financial crisis are included. Both excess measures and the spread are useful for predicting inflation.     

Impact of macroeconomic surprises on the Brazilian yield curve and expected inflation

This study investigates how unexpected announcements in Brazilian and U.S. macroeconomic indicators affect the term structure of nominal interest rates, as well as implicit inflation expectations and real interest rates. Using daily data from March 2005 to December 2012, we employ an extended Vector Error Correction Model to take into account nonstationarity and the long-term equilibrium among different maturities of those curves. We found empirical evidence that macroeconomic surprises, domestic (Brazilian) and external (U.S. American), which lead the market to believe that there might be a higher risk of inflation or an overheated economy, raise nominal interest rates, implicit expected inflation and real interest rates. Surprisingly, in relation to the efficient-market hypothesis, we found that some macroeconomic surprises have a lagged effect on the yield curves. We also tested the impact of the global financial crisis of 2007–09 and found that the crisis affected significantly the direction and magnitude of the responses to macroeconomic news.     

基于可持续发展的区域矿产资源配置问题研究

本文基于矿产资源的有限性和不可再生性,确立了资源优化配置的多目标准则;在全面分析影响区域矿产资源优化配置的社会经济发展需求因素,区域资源基础及潜力因素,资源开发利用的能力和水平因素,区域生态环境承载力因素,资源安全储备因素,区域外资源可供性因素,配套资源及基础设施支持因素的基础上,建立了区域矿产资源合理开发规模和速度的评价指标体系和分析计算模型;就河北省矿产资源的合理开发问题进行了具体的实证分析,研究了多目标准则下区域矿产资源开发和利用在时间维度上的优化配置问题,为合理规划和调整区域矿产资源开发利用战略提供了有益参考。     

欧元区成员国通胀差异成因研究

在欧元区内部,不同国家之间的通胀率存在不容忽视的差别。欧元区各经济体间究竟为什么会存在差别如此之大的通胀率呢?什么因素及在多大程度上影响了通胀率的差异?文章从巴拉萨—萨缪尔森效应、价格的收敛效应、输入性通胀、本国要素市场结构差异、本国财政政策和经济周期等六个方面,使用实证数据和面板数据回归探讨了这些问题。