通货膨胀预期陷阱理论新探——基于货币政策时间非一致性视角

在货币政策时间非一致性的视角下,借鉴国内外现有研究成果,综合运用宏微观经济模型组的均衡与非均衡分析方法,探究通货膨胀预期陷阱的基本范畴、理论模型、生成机理、社会经济效应和对策等理论问题,这有别于目前主要运用货币政策效用函数和损失函数来分析货币政策时间非一致性问题的一般研究方法。     

Oil income shocks and economic growth in Iran

The aim of this paper is to study the relationship between oil revenue shocks and output growth in Iran by Adopting an SVAR model over the period 1959–2008. The results indicate that positive and negative oil revenue shocks significantly affect output growth positively and negatively respectively and these effects are asymmetric. While negative oil revenue shocks adversely affect the economic growth, the resource curse impedes the expected positive effects of positive oil shocks. In order to overcome the harmful effects of oil booms and busts, the establishment of oil stabilization and saving funds, diversifying economy, delinking government expenditure from oil revenues and introducing fiscal rules into the budget seems crucial for Iran economy.     

FDI、经济增长与环境污染——基于SVAR模型的实证分析

在建设美丽中国深化生态文明体制改革背景下,借助SVAR模型检验了FDI、经济增长与环境污染内在机制。实证表明:我国经济与环境延续了"先污染后治理"的国际道路,FDI短期刺激经济增长显著,同时也恶化了环境,长期不是经济增长的动力源泉,但FDI的溢出效应有利于改善环境污染。为了理论与实践上平衡FDI、经济增长与环境保护,提出了调整经济增长极、优化外资质量和结构等政策着力点。     

国际金融风险预警体系构建的实践及对我国的启示

2008年美国次贷危机所引发的全球性金融危机,冲击和考验了各国的经济环境和金融体系,也引发了各国对现有金融风险预警体系的反恩,大多数国家就现行的金融风险预警体系进行了积极的探索和改革。基于这一背景,本文通过对比危机前后主要发达经济体金融风险预警体系的不同,找出我国现有金融风险预警体系存在的缺陷,并结合我国实际提出改进对策,以期不断完善我国的金融风险预警体系。     

法定存款准备金率对宏观经济各变量的影响——基于SVAR模型的实证分析

准备金率是近年来中国人民银行使用频率最高的货币政策工具。准备金率除了直接影响货币供应量外,还通过货币传导机制间接的影响价格水平、利率以及股市。在考虑了变量间同期变化的基础上,首先了结构向量自回归模型（SVAR）,然后通过脉冲响应函数分析了准备金率调整对相关宏观经济变量的冲击,同时利用方差分解技术考察了其它变量对存款准备金率变动的相对贡献率,最终结论发现,存款准备金率的变动对三个变量的影响是不同的,其中对M1影响最大,对CPI影响较小,对于股市影响也较小,并且比较短暂。最后探讨了相关原因及一些政策建议。     

The Impact of the Volatility of Monetary Policy Shocks

This paper studies the impact of the volatility of monetary policy using a structural vector auroregression (SVAR) model enriched along two dimensions. First, it allows for time‐varying variance of monetary policy shocks via a stochastic volatility specification. Second, it allows a dynamic interaction between the level of the endogenous variables in the VAR and the time‐varying volatility. The analysis establishes that the nominal interest rate, output growth, and inflation fall in reaction to an increase in the volatility of monetary policy. The analysis also develops a dynamic stochastic general equilibrium model enriched with stochastic volatility to monetary policy that generates similar responses and provides a theoretical underpinning of these findings.     

The effects of government spending shocks on the real exchange rate and trade balance in Turkey

The aim of this study is to investigate the effects of government spending shocks on the real exchange rate and foreign trade balance in Turkey for the period of 2002:01–2012:04 within a structural VAR framework. The analysis shows that a positive shock to the government spending tends to induce real exchange rate appreciation and deterioration in trade balance. We also find that the composition of the government spending matters. Although shocks to the government nonwage consumption generate an appreciation in the real exchange rate and worsening of the trade balance, the effects of government investment shocks remain insignificant. Furthermore, the analysis demonstrates that shocks to government spending are associated with a rise in taxes, which is indicative of a spending-driven tax adjustment process in Turkey.     

Monetary versus fiscal policy in India: an SVAR analysis

Conventionally, the policymakers relied on three policy alternatives to manage business cycles – debt-financed government spending, debt-financed tax rebate and interest rate. While the first two are fiscal policy instruments, the latter is a monetary policy instrument. This paper aims to capture interactions among Indian monetary and fiscal policy actions, and the impact of such policy actions on select macroeconomic variables for the period 1990Q1–2011Q4. The policy actions are identified using the sign restrictions approach combined with magnitude restrictions in a Structural Vector Autoregression framework, and interpreted using impulse responses and variance decomposition. The results show that Indian monetary policy responds to tax rebate shocks and spending shocks differently. In the case of a tax rebate shock, Indian monetary policy responds by reducing interest rates thereby accommodating fiscal expansion. On the opposite, monetary policy seems not to accommodate expenditure shocks. Interestingly, the monetary policy shock is accompanied by a fiscal expansion that threatens the credibility of the central bank actions, thus indicating fiscal policy dominance. A comparison of the efficacy of the policies suggests that the interest rate is more effective in stimulating output. Out of the two fiscal policy instruments analysed, the tax rebate seems to be the better option for stimulating output considering the output-debt trade-off.     

托宾q值影响投资了吗?——对我国投资理性的另一种检验

托宾曾预言，企业资产的边际q值是决定投资的重要因素。这一假说是否成立一直是理论界的一个谜，而对它的检验可大致反映一国投资的理性程度。本文利用结构向量自回归模型，分析了我国投资与q值之间的关系。结果表明，无论是短期的冲击响应，还是长期的协整关系，托宾q假说均不成立。相反，存在明显的“反托宾q”现象。这说明我国投资具有相当的非理性成分。进一步的分析表明，q值在行业间的分布差异与垄断行业的投资保护，以及过度竞争行业的投机行为相互交织，是造成上述结果的主要原因。由此本文提出了加快垄断行业投资体制改革、合理引导企业资金的政策建议。     

Technology,employment and the business cycle in post-transition countries of the EU

This article analyses the importance of technology and non-technology shocks in the business cycles of European Union post-transition countries. Different assumptions of New Keynesian and Real Business Cycle theory are tested. The results demonstrate that a non-technology shock is more important in explaining business cycles in post-transition countries, although a technology shock is not trivial. The technology shock cannot replicate basic business cycle facts observed in the data: it produces a low or negative correlation between employment and GDP, and a strong negative correlation between labour productivity and employment. Technology and non-technology GDP components are analysed in the transition and post-transition period. The results show a non-technology shock was the dominant source of business cycles both during and after the transition period.