人民币利率、汇率波动对我国价格水平影响的比较研究

随着我国利率市场化改革和汇率体制改革的深入,金融市场的利率水平和人民币汇率水平对商品价格的影响越来越显著。通过建立结构向量自回归SVAR模型,运用脉冲响应函数分析,比较分析了利率、汇率变动对我国几个主要的商品价格指数的影响后发现,当前利率变动对价格的影响要强于汇率,人民币升值在短期对价格有抑制作用,但是在中期反而有促进作用。利率和汇率变动对价格的影响时间有限,在长期,价格还是会回到初始水平。     

美元贬值对中国通货膨胀的影响:传导途径及其效应

本文结合有向无环图方法(DAG)及结构向量自回归模型(SVAR),分别从成本推动渠道、资金输入渠道和货币扩张渠道就美元贬值对我国通货膨胀影响的传导途径及其效应进行了实证研究。分析表明,由成本推动渠道,美元贬值会迅速带动我国工业品出厂价格上涨,能源价格、食品价格和金属价格的传导效应都很显著,而推动我国居民消费价格走高则存在一定时滞,主要依赖食品价格传导。此外,国际大宗商品价格上涨对我国通货膨胀的影响更侧重于生产领域。由资金输入渠道,美国联邦基金利率走低和美元指数下滑会带动国内商品房销售价格和资本市场价格的结构性上升,进而拉动我国通货膨胀,其中以市场利率和短期资本流动传导尤为显著。由货币扩张渠道,美元贬值对我国工业品出厂价格的影响更为显著,货币扩张主要通过外汇占款和人民币升值预期对我国通货膨胀产生影响,且以对消费领域的影响较为明显。本文的研究显示,我国当前承受着较大的输入型通货膨胀压力。     

我国投资政策的省际差异效应:基于SVAR模型的估计

以各地的人均实际GDP、实际投资、消费者价格指数等为变量,本文建立了一个结构向量自回归SVAR模型。脉冲响应模拟结果显示,我国的投资政策存在明显的省际差异效应,投资对东部省份经济增长的推动作用最大,其次是中部,对西部的影响甚微。各地人力资本水平的差别是造成投资政策省际差异效应的主要原因。为了加快中西部落后省份的发展,充分发挥投资政策对区域协调发展的促进作用,在加大对中西部物质资本投资力度的同时,要着力提高其教育,特别是中学教育的水平。     

Sectoral and Aggregate Technology Shocks:Is There a Relationship?

We analyze sector-specific shocks in productivity and demand in 19 manufacturing sectors of the Austrian economy. Based on a structural vector autoregressive model (SVAR) with long-run restrictions developed by Galí (1999) we extract technology and non-technology shocks from sectoral and aggregate data. We study their patterns and relationship by means of a principal components analysis and find a close association of sectoral and macroeconomic non-technology shocks but only a very weak association for technology shocks. Impulse response analysis indicates that for almost all manufacturing sectors as well as the aggregate Austrian economy productivity growth rates experience an immediate increase due to positive technology shocks while hours worked decline. Thereby we confirm Galís results on the level of Austrian manufacturing industries. From regression analysis, we find that our shocks are closely associated to employment growth and output growth but not to investment growth and that the reaction is different for the aggregate economy and manufacturing industries.JEL codes: D24, E23, E32, O30We thank Werner Müller and the participants of the 2004 conference of the Austrian Economic Association (NOeG) for helpful comments. We would like to thank an anonymous referee for many helpful comments that led to a substantial improvement of the paper. The usual disclaimer applies. This research project was supported by a research Grant (Project Nr. 9800) of the Jubiläumsfonds der Österreichische Nationalbank (OeNB).     

金融发展、城市化与城乡收入差距——基于SVAR模型的检验

本文运用结构向量自回归（SVAR）模型方法,对中国1978年～2007年金融发展、城市化与城乡收入差距的关系做出实证研究。结果表明：金融发展规模与城乡收入差距正相关,并且证实了在长期金融发展与城乡收入差距之间存在库兹涅茨效应,即所谓的倒U型关系。金融发展效率与城乡收入差距负相关,得到了中国尚处于金融发展初期的结论,并具体提出一些建议。     

Measuring monetary policy with empirically grounded restrictions: An application to Thailand

This paper studies the effect of monetary policy in Thailand based on structural vector autoregression (SVAR) model. Unlike all existing studies, this paper (i) properly controls for external factors, (ii) uses the identifying restrictions which are specified and justified from empirical evidence and (iii) studies the immediate as well as the short term effect of monetary policy. I find that several important stylized facts on the transmission mechanism of monetary policy need to be revised.     

The Onshore–Offshore Exchange Rate Differential,Interest Rate Spreads,and Internationalization: Evidence from the Hong Kong Offshore Renminbi Market

This article investigates the linkages among the onshore–offshore exchange rate differential, interest rate spreads, and Hong Kong’s RMB deposits (a proxy for RMB internationalization), based on a structural vector autoregression model. We find that this differential and the spreads have significant effects on Hong Kong’s RMB deposits, but the rise in the spreads will lead to a decline in offshore RMB deposits in Hong Kong. The differential is a stronger factor than spread shocks in explaining fluctuations in Hong Kong’s RMB deposits. Moreover, an analysis of sources of the divergence in the differential and spreads finds several economic variables that are the significant and main factors.     

Monetary policy and long‐term interest rates: Evidence from the U.S. economy

This paper addresses the ability of central banks to affect the structure of interest rates. We assess the causal relationship between the short‐term Effective Federal Funds Rate (FF) and long‐term interest rates associated with both public and private bonds and specifically, the 10‐Year Treasury Bond (GB10Y) and the Moody's Aaa Corporate Bond (AAA). To do this, we apply Structural Vector Autoregressive models to U.S. monthly data for the 1954–2018 period. Based on results derived from impulse response functions and forecast error variance decomposition, we find: a bidirectional relationship when GB10Y is considered as the long‐term rate and a unidirectional relationship that moves from short‐ to long‐term interest rates when AAA is considered. These conclusions show that monetary policy is able to permanently affect long‐term interest rates and the central bank has a certain degree of freedom in setting the levels of the short‐term policy rate.     

Do Imported Commodities Cause Inflation in China? An Armington Substitution Elasticity Analysis

Based on the perspective of Armington substitution elasticity, this article researches the price transmission effect of China’s imported commodities. First, this article focuses on the theory of Armington substitution elasticity of nonhomogeneous products and then estimates the overall level of Armington substitution elasticity of China’s imported commodities. Second, this article studies the fluctuation trend in Armington substitution elasticity’s estimations using a state space model. The results of this article indicate that the value of Armington substitution elasticity of China’s imported commodities is negative and decreased significantly after the international financial crisis, which means that the relationship between China’s imported commodities and domestic products is complementary rather than substitutional. Moreover, this article finds evidence of the price transmission effect in China’s imported commodities. However, this effect is not obvious and weakened after the international financial crisis. Finally, we conclude that, if it wishes to prevent serious inflationary problems in China, the Chinese government should pay attention to the price of domestic products instead of focusing on the hazards of imported inflation (deflation).     

中国紧缩性与扩张性货币政策的区域效应研究

将货币政策分解为紧缩性和扩张性,利用SVAR模型及脉冲响应函数对八大综合经济区的货币政策区域效应进行研究,结果表明,紧缩性和扩张性的货币政策均具有显著的区域效应,紧缩性货币政策的区域效应将更加倾向于加大区域经济发展不平衡的趋势。区域间的经济发展水平、金融结构、企业状况和居民的投资和消费倾向的差异,是导致了货币政策区域效应的主要原因。