通货膨胀及紧缩与货币供应关系的实证分析

首先借用剑桥方程式建立了通货膨胀及紧缩与货币供应关系的理论模型,然后运用格兰杰因果检验的方法验证了我国超供货币供应是CPI物价指数的原因,而CPI物价指数作为超供货币供应的原因则被拒绝。说明了我国现阶段以货币供应量为中间目标调控经济的发展仍具较强实际意义。     

资本流动、外汇管制与人民币内外价值背离

近年国际资本大量流入我国境内,通过外汇管制渠道提高外汇储备,一方面造成外汇市场供给增加,给人民币带来升值的压力;另一方面,央行经常被动性购入外汇,造成外汇占款增多,在外汇占款日趋成为我国基础货币供应主渠道的情况下,我国货币供应量被动增加,超额货币供应成为推动物价资产价格上涨的资金来源,人民币内外价值日趋出现背离趋势。本文认为,外汇管制使基础货币被动放大,放松管制使汇率波动和波动预期提高,二者合并产生了当前的货币现象。     

中国通货膨胀率的非线性动态行为研究——来自MS—ARFIMA模型的新证据

使用允许长记忆参数d服从区制转换的MS—ARFIMA模型对中国月度通货膨胀路径的动态行为进行新的实证研究,结果显示：中国通货膨胀不仅均值水平和不确定性存在着“低通胀”区制和“高通胀”区制,而且更为重要的是,通货膨胀序列的平稳性也表现出显著的区制转换动态。“低通胀”区制下,长记忆参数d1=0．361,说明通货膨胀是协方差平稳序列,“高通胀”区制下,长记忆参数d2=1．145,说明通货膨胀是非平稳序列。这一新的研究结论意味着中国通货膨胀冲击的持久性效应也存在相应的区制转移变化。这要求央行在管控通货膨胀过程中,既要考虑均值和不确定性的区制变化,又要兼顾平稳性和持久性的区制变化。     

基于Granger因果图方法的物价水平国际间传递分析

目前,对Granger因果关系的研究大多数采用两变量Granger因果检验法,由于忽视其它重要变量的影响,常会导致虚假因果关系的出现。鉴此,采用Granger因果图模型方法分析中国及其主要贸易伙伴国(地区)间的物价传递,研究结果表明:美国在物价传递中发挥着主导作用,物价国际间传递存在一定的区域效应;除和中国香港地区存在即期因果关系外,中国对主要贸易伙伴国(地区)的物价水平基本无显著影响,中国既无输出通货膨胀也无输出通货紧缩。同时,样本期内中国物价水平呈现明显的外部"输入性"特征。因此,中国政府应采取措施应对国际的物价冲击,同时防范物价输入性引发的风险,以实现中国物价的稳定。     

Choice of the ridge factor from the correlation matrix determinant

Ridge regression is the alternative method to ordinary least squares, which is mostly applied when a multiple linear regression model presents a worrying degree of collinearity. A relevant topic in ridge regression is the selection of the ridge parameter, and different proposals have been presented in the scientific literature. Since the ridge estimator is biased, its estimation is normally based on the calculation of the mean square error (MSE) without considering (to the best of our knowledge) whether the proposed value for the ridge parameter really mitigates the collinearity. With this goal and different simulations, this paper proposes to estimate the ridge parameter from the determinant of the matrix of correlation of the data, which verifies that the variance inflation factor (VIF) is lower than the traditionally established threshold. The possible relation between the VIF and the determinant of the matrix of correlation is also analysed. Finally, the contribution is illustrated with three real examples.     

The zero-inflated Poisson model and the decayed, missing and filled teeth index in dental epidemiology

For frequency counts, the situation of extra zeros often arises in biomedical applications. This is demonstrated with count data from a dental epidemiological study in Belo Horizonte (the Belo Horizonte caries prevention study) which evaluated various programmes for reducing caries. Extra zeros, however, violate the variance–mean relationship of the Poisson error structure. This extra-Poisson variation can easily be explained by a special mixture model, the zero-inflated Poisson (ZIP) model. On the basis of the ZIP model, a graphical device is presented which not only summarizes the mixing distribution but also provides visual information about the overall mean. This device can be exploited to evaluate and compare various groups. Ways are discussed to include covariates and to develop an extension of the conventional Poisson regression. Finally, a method to evaluate intervention effects on the basis of the ZIP regression model is described and applied to the data of the Belo Horizonte caries prevention study.     

Long‐Term Debt and Optimal Policy in the Fiscal Theory of the Price Level

The fiscal theory says that the price level is determined by the ratio of nominal debt to the present value of real primary surpluses. I analyze long‐term debt and optimal policy in the fiscal theory. I find that the maturity structure of the debt matters. For example, it determines whether news of future deficits implies current inflation or future inflation. When long‐term debt is present, the government can trade current inflation for future inflation by debt operations; this tradeoff is not present if the government rolls over short‐term debt. The maturity structure of outstanding debt acts as a “budget constraint” determining which periods' price levels the government can affect by debt variation alone. In addition, debt policy—the expected pattern of future state‐contingent debt sales, repurchases and redemptions—matters crucially for the effects of a debt operation. I solve for optimal debt policies to minimize the variance of inflation. I find cases in which long‐term debt helps to stabilize inflation. I also find that the optimal policy produces time series that are similar to U.S. surplus and debt time series. To understand the data, I must assume that debt policy offsets the inflationary impact of cyclical surplus shocks, rather than causing price level disturbances by policy‐induced shocks. Shifting the objective from price level variance to inflation variance, the optimal policy produces much less volatile inflation at the cost of a unit root in the price level; this is consistent with the stabilization of U.S. inflation after the gold standard was abandoned.     

我国通货膨胀名义成因和实际成因的检验分析

货币供给扩张是导致通货膨胀的名义因素,总需求和总供给扩张是导致通货膨胀的实 际因素。通过统计检验,我们发现,货币供给增长率和通货膨胀率之间不存在显著的协整关系,但 消费需求增长率对通货膨胀率具有显著的Granger影响,这说明我国价格水平变化具有名义需求和 实际需求的双重驱动迹象。因此抑制通货膨胀时,控制名义因素效果比较明显,而治理通货紧缩 时,实际因素扩张的作用则更为显著。     

通胀周期、金融抑制与企业存货的动态调整

企业存货调整策略的准确识别是有效管理通胀预期的必要条件。本文基于非线性交互效应面板误差纠正模型、从微观层面研究在通胀周期不同阶段,企业存货调整的具体特征。实证结果与反事实对比仿真实验均表明:主导企业存货策略性调整的是通胀预期而不是实际通胀水平。与社会的经验判定不同,企业存货调整对通胀表现出逆周期特征。对大部分行业而言,低通胀阶段,通胀预期的收益效应强于存货调整的成本效应,货币调控无效;高通胀阶段,通胀预期弱化,成本效应凸显,货币调控才有效。两种机制的阈值通胀率约为3.4%,所以,将通胀调控上限定为3.5%符合企业市场行为的特征。各行业存货策略对货币调控、通胀预期的灵敏度有显著差异,房地产、批发零售、机械设备较为敏感,最不敏感的是食品行业。     

土地供给对通货膨胀的动态影响分析

通货膨胀是宏观经济学研究的一个热点问题,而土地供给对通货膨胀的影响又是当前非常现实的问题,特别对于中国这样的发展中国家,该问题的现实意义更为突出。利用AD-AS模型和面板VAR模型,研究土地供给对通货膨胀的动态影响,结果表明:从脉冲响应函数看,在受到土地供给冲击时,通货膨胀在同期没有发生变化,在第一年受到正的影响,但在第二年之后主要受到负的影响,并且累积响应为负;从方差分解看,土地供给对通货膨胀波动的解释程度较小。政府可以通过对土地供给的调控,使中国宏观经济处于"高增长,低膨胀"的平稳状态。