Tracking real-time data revisions in inflation persistence

Regarding the forecasting of real-time data, it is assumed that the third quarter release produces the best forecasts since it includes data from new and revised sources, which this paper finds is not necessarily the case. There seems to be a benchmark effect when estimating the local nonparametric regressions and the forecasts of real-time PCE and core PCE when examining the four benchmark periods beginning in 1996:Q1, 1999:Q4, 2003:Q4, and 2009:Q3. There is a benchmark effect with respect to the estimated local nonparametric slopes with the demarcation being at the 2003:Q4 benchmark, which is also the demarcation for the forecasting results. For the benchmark revisions periods of 1996:Q1 and 1999:Q4, the second quarter real-time data releases produce the smaller RMSE and for the benchmark revisions of 2003:Q4 and 2009:Q3, the third quarter real-time data releases produce forecasts with smaller RMSE approximately 58% and 60% of the time, respectively.

Abbreviations: PCE, Personal Consumption Expenditures; KWLS, Kernel Weighted Least Squares; "V_" as a prefix stand for vintage, i.e. V_2003:Q4 is vintage 2003:Q4, which means that the data sample ends in 2003: Q3; IRSC, integrated residual squares criterion; NPISH, Non-Profit Institutions Serving Households; SNA, System of Accounts; RMSE, Root Mean Square Error; MAE, Mean Absolute Error; NAICS, North American Industry Classification System; SIC, Standard Industrial Classification; ARSC, Average Residual Squares Criterion; I-O, Input – Output; EIA, Energy Information Administration; ATM, Automated Teller Machines; BEA, Bureau of Economic Analysis; SNA, System of Accounts     

Price‐level co‐movements within currency unions: An alternative integration metric

This paper analyses currency union integration by testing whether price levels in member countries possess a common stochastic trend. The trace statistic test for cointegration proposed by (Johansen, 1995) demonstrates the presence of such a trend for most unions. A disaggregated analysis identifies a common stochastic trend for several though fewer than half of country pairs within a union. Some unions such as the Eurozone have small shares of cointegrated country pairs. Yet, the share of cointegrated country pairs is large relative to countries outside currency unions. Comparison to a control group (country pairs where one country belongs to a given union and the other country does not) indicates that the cointegration found within a currency union is a union‐specific trait and not a feature of the individual countries within the union. These results provide an alternative metric to intraunion trade for gauging the extent of currency union integration.     

Estimating the impact of monetary policy on income inequality in China

The article estimates the impact of monetary policy on income inequality in China. The empirical time series analysis finds that a battery of monetary indicators and the change in the unemployment rate lead to increases in the Gini coefficient. But only unemployment is statistically significant. The lack of significance of the monetary indicators is robust to running different econometric models using nominal output as an alternative to unemployment. Unemployment’s impact on income inequality is robust to considering a fiscal policy proxy alongside inflation in the benchmark equation.     

Currency news and international bond markets

We use a sample of 27 countries and 63 currency news announcements in an event study framework to examine the impact of currency news on international government bond markets. Our findings reveal a significant spillover of currency news into bond markets. Specifically, the evidence shows significant negative abnormal bond returns, whether measured in dollar terms or local currency terms, implying that currency news plays a role in changing the performance of international government bond markets. We also show that abnormal bond returns remain significantly negative even after controlling for macroeconomic variables. Our results are robust to using alternative risk model specifications, country-level data, and corporate bond data. Our evidence of the significant impact of currency news on bond markets provides essential insights to professional traders, policymakers, and academic researchers.     

Inflation in Argentina during the 2000s

The paper presents a neo-structuralist econometric analysis of the monthly inflation rates. The model breaks down the CPI into different components based on their price-formation mechanisms. The basic breakdown defines three components: PFLEX (fruits and vegetables, 3.6% of the basket), PREGUL (prices regulated by the government, 20.1% of the basket) and PFIX (the rest of goods and services, 76.3% of the basket). PFIX is the focus of the econometric analysis while PFLEX and PREGUL are considered exogenous. The explanatory variables are the monthly rates of: the price of bovine cattle at the domestic market, the international soy price, the price by ton of imported intermediate goods, the nominal exchange rate, the average wage of workers that are registered in Social Security and the productivity, measured by the GDP by employed worker. There was an informal indexation mechanism in the labor market. Average monthly wages rose at annual rates that were almost always higher than the sum of past annual inflation plus the annual increase in productivity. The over-indexation of the unit labor cost was the main inflationary factor in the period. The inertial component, represented in the model by the previous monthly rate, determines 60% of the current rate.     

货币的本质与未来

数字货币和金融科技的快速发展,引发了关于货币的本质和未来发展趋势的激烈讨论。本文在梳理货币演变历程的基础上,提出货币的本质是由形式与功能组合形成的一般信用,并且通过货币体系实现信用的制度化。在此基础上,针对数字货币是否会改变货币本质的问题,本文从货币形式、主权信用、中心化、金融稳定、普惠金融和货币管理等六方面进行分析,提出数字货币并未脱离货币发展的一般规律,其在本质上依然需要依托稳固的信用制度作为基础,但是其在信用实现方式的创新也对货币发行、支付结算、金融稳定带来了全新的挑战。货币和金融管理部门应当在掌握数字货币技术创新的前提下,完善货币制度和金融管理体系,建立激励相容的机制,积极引导数字货币推动的良性货币竞争。     

货币错配波动的集聚性及与汇率、利率的联动性——基于向量TGARCH-BEKK模型

中国货币错配波动具有明显的非对称性,不具有尖峰性,但具有长记忆特性.向量TGARCH-BEKK模型的分析结果表明:货币错配程度减弱时其波动集聚性更强,波动集聚性滞后效应持续约6～7年;货币错配受到汇率冲击的溢出效应比利率冲击大;1994年汇率改革后货币错配与汇率呈弱化趋势,但货币错配与利率的联动性增强;亚洲金融危机期间的货币错配与汇率联动性明显增强,金融危机冲击对贷币错配产生倒"U"型脉冲效应;总体来看,人民币汇率升值虽然不利于货币错配波动集聚性的弱化,但可以减弱国家层面货币错配程度.     

An analysis of East Asian currency area: Bayesian dynamic factor model approach

There has recently been an increasing interest in the establishment of a common currency area in East Asia in the aftermath of the East Asian financial crisis. In this article I examine the desirability and feasibility of forming a currency area in the region by checking the symmetry of shocks as an important criterion of the theory of Optimum Currency Area. I employ a dynamic factor model to decompose aggregate output into world, regional and country‐specific components and estimate the model using a Gibbs sampling simulation. Persistent properties of those components are examined and variance decomposition analysis is performed to investigate the role of each component in output variance. The European Monetary Union, with the successful launch of the euro, is the natural benchmark for comparison. Based on variance analysis, it is found that East Asian countries, on average, are less plausible candidates for a currency area than European counterparts. However, a subgroup of countries in East Asia is as qualified as those in Europe. Given the ongoing integration in East Asia, it is not premature to prepare for such a currency area in this region.     

基于G-PPP理论的人民币国际化可行性分析

2009年,随着跨境贸易人民币结算业务在上海、广东等五个中国沿海城市的开展,人民币国际化这一问题又一次引起了国内乃至国际社会的关注。然而,人民币是否具有国际化的条件,本文以一般购买力平价(G-PPP)模型和最优货币区理论为理论基础,运用协整分析方法,对中日韩以及美国的货币合作程度进行经验研究。     

人民币汇率、国内总需求与通货膨胀——基于汇率传递理论的实证研究

通货膨胀一直是中国政府直接面对而又必须谨慎处理的经济问题。本文以汇率传递理论为视角,运用自回归分布滞后模型（ARDL）考察了1980-2010年人民币汇率、国内总需求、世界商品价格与通货膨胀之间的长期均衡和短期调整关系。长期看来,人民币升值并未像国际经济学理论描述的那样可以抑制通货膨胀,相反却显著地抬高了国内价格水平;中国通货膨胀的成因具有需求拉上的特点,且不存在明显的世界通货膨胀的输入途径。短期看来,中国通货膨胀的动态调整具有明显的滞后特征,且由短期变动向长期均衡调整的速度较快。