Some reflections on inflation accounting

The basis accounting is considered in this article which questions the fundamental tradition of the annual cyclic approach. The author considers that inflation accounting (which itself is a challenge to traditional methods) must be considered in this context. Further the underlying assumptions made in order to arrive at profit utilising historic cost (for which inflation accounting would make substitutions) are also questioned. Emphasis is placed on the distorting effect of the annual taxation system in accounting at present. The conclusion reached is that accounting methods could well be changed in an industrial society and that inflation accounting as such should not be introduced as ancillary or by way of supplement to an accounting system on the traditional basis.     

Unternehmensbewertung bei Inflation und Wachstum

The valuation literature partly suggests distinguishing between growth based on retained earnings and growth based on inflation. It is not clear, however, whether inflation leads to growth and how to incorporate inflation into valuation formulas. Our paper analyzes this question using a model of a firm, which makes periodically new investments that are subject to inflation and growth. In contrast to some of the literature, we show that accounting-based valuation formulas must not be adjusted for inflation. Using nominal accounting numbers and historical unadjusted book values leads to the same valuation like discounting cash flows. We conclude that the valuation procedure, suggested by the German Institute of Auditors (IDW) leads to a deviation between accounting-based and cash-flow-based valuation formulas.     

Impact of Acquired Immunity and Dose‐Dependent Probability of Illness on Quantitative Microbial Risk Assessment

Dose‐response models in microbial risk assessment consider two steps in the process ultimately leading to illness: from exposure to (asymptomatic) infection, and from infection to (symptomatic) illness. Most data and theoretical approaches are available for the exposure‐infection step; the infection‐illness step has received less attention. Furthermore, current microbial risk assessment models do not account for acquired immunity. These limitations may lead to biased risk estimates. We consider effects of both dose dependency of the conditional probability of illness given infection, and acquired immunity to risk estimates, and demonstrate their effects in a case study on exposure to Campylobacter jejuni. To account for acquired immunity in risk estimates, an inflation factor is proposed. The inflation factor depends on the relative rates of loss of protection over exposure. The conditional probability of illness given infection is based on a previously published model, accounting for the within‐host dynamics of illness. We find that at low (average) doses, the infection‐illness model has the greatest impact on risk estimates, whereas at higher (average) doses and/or increased exposure frequencies, the acquired immunity model has the greatest impact. The proposed models are strongly nonlinear, and reducing exposure is not expected to lead to a proportional decrease in risk and, under certain conditions, may even lead to an increase in risk. The impact of different dose‐response models on risk estimates is particularly pronounced when introducing heterogeneity in the population exposure distribution.     

通胀市场下多设备租赁的在线策略分析

现实租赁市场中,企业同时租赁多台设备的现象大量存在,但经营者面临的最大难题是如何对这多台设备进行在线租赁的组合优化,从而降低决策成本,而通货膨胀又进一步增加了决策难度。本文运用在线算法和竞争分析法建立多设备投资的风险控制策略,并分析通胀对决策的影响。首先在Karp经典模型上给出通胀因素下多设备投资的最优在线和离线策略;接着建立设备租赁在连续可分情形下的最优风险控制模型,进一步结合实际投资中设备必须以离散整数租赁的特点,对CR策略进行调整和优化,得到近似的CRJ策略,使得策略更符合实际投资活动。最后给出具体实例分析,结果显示,当物价指数逐渐增大时,最优决策日期相应提前,对应最优策略的竞争比也逐渐增大,进一步说明物价指数因素和多设备投资因素的引入对投资者的决策有着重要的影响,为多设备在线租赁问题的研究提供了新的解决思路。     

Rising prices,financial statements and fundamental research

Adequate consideration cannot be given to the subject of inflation accounting without a rigorous reappraisal of the nature and usefulness of published financial statements. It is argued that much fundamental research is a necessary prerequisite for the evaluation of methods of accounting in a period of inflation. Such research should begin with a consideration of the purposes to be served by the publication of financial statements. A framework is presented for such fundamental research and the results of some preliminary work outlined to assess the usefulness of financial statements in providing information to assist investors to make investment decisions. The use of financial statements by investors for this purpose is one of a number of possible objectives for financial statements.     

我国通胀预期与通胀的动态关联性——基于宏观金融模型的研究

通胀预期问题已成为当前和下一阶段我国经济发展中必须关注的问题。本文对我国不同期限国债的名义和实际收益建立了含有宏观因子和潜在因子的仿射无套利模型,从通胀补偿中分解出了通胀预期。研究认为:分解出的短期和中期通胀预期与通胀率的动态关联性较强,而长期通胀预期和通胀率的动态关联性较弱;各期限通胀预期都不是理性预期,但中期和长期预期是适应性预期;发现CPI是影响通胀预期的最重要因素,其影响效果随着期限增加而增大;存款利率对通胀预期的影响效果次之,对短期和中期预期有正向影响,且随期限增加而减小,对长期预期有负向影响,且随期限增加而增大;但M2对通胀预期的影响并不显著;短期和中期通胀预期的事前和事后预测能力都优于央行调查预期。     

INFLATION RISK PREMIA IN THE TERM STRUCTURE OF INTEREST RATES

This paper estimates the size and dynamics of inflation risk premia in the euro area, based on a joint model of macroeconomic and term structure dynamics. Information from both nominal and index‐linked yields is used in the empirical analysis. Our results indicate that the inflation risk premium on euro area 10‐year nominal yields was approximately equal to 20 basis points on average over the 1999–2007 period. The inflation premium has also been subject to moderate, but statistically significant fluctuations. For the post‐2003 period in which reliable index‐linked bond prices are available, our results suggest that increases in the raw break‐even inflation rate above 2%, the upper bound of the European Central Bank's definition for price stability, have mostly reflected variations in the inflation risk premium, while long‐term inflation expectations have remained well anchored.     

DOES INFLATION TARGETING ANCHOR LONG‐RUN INFLATION EXPECTATIONS? EVIDENCE FROM THE U.S., UK,AND SWEDEN4

We investigate the extent to which inflation expectations have been more firmly anchored in the United Kingdom–‐a country with an explicit inflation target–‐than in the United States–‐a country with no such target–‐using the difference between far‐ahead forward rates on nominal and inflation‐indexed bonds as a measure of compensation for expected inflation and inflation risk at long horizons. We show that far‐ahead forward inflation compensation in the U.S. exhibits substantial volatility, especially at low frequencies, and displays a highly significant degree of sensitivity to economic news. Similar patterns are evident in the UK prior to 1997, when the Bank of England was not independent, but have been strikingly absent since the Bank of England gained independence in 1997. Our findings are further supported by comparisons of dispersion in longer‐run inflation expectations of professional forecasters and by evidence from Sweden, another inflation‐targeting country with a relatively long history of inflation‐indexed bonds. Our results support the view that an explicit and credible inflation target helps to anchor the private sector's views regarding the distribution of long‐run inflation outcomes. (JEL: E31, E52, E58)     

央行沟通与实际干预的频域政策效果研究

利用谱分析识别宏观变量的主导频域,进而采用小波方法分离出宏观变量的低频、经济周期频域以及高频三种频域成分,最后构建结构向量自回归模型考察实际干预工具和央行信息沟通在不同频域的政策效果.研究结果显示,中国经济增长的波动由长周期的低频波动所主导,经济周期频域次之,但是所有货币政策工具对低频波动的调控效果都不理想,而只在经济周期频域有较好表现.通货膨胀则是由经济周期频域的波动所主导,价格型货币政策和央行沟通都呈现出对此频域的良好调控效果.预期通胀在各个频域的波动分布较为均衡,央行沟通在低频和经济周期频域均起到了良好的调控效果,体现出其在预期管理中的突出作用.数量型货币政策整体表现均不理想.     

通胀预期与央行货币政策有效性

不同通胀预期状态下货币政策有效性有何差异？本文试图采用Logistic平滑转换结构向量自回归模型来回答上述问题。我们以央行未来物价预期指数来度量通胀预期,基本结论如下:(1)短期来看,在低通胀预期状态下,货币政策对促进经济增长和增加就业相对更有效;(2)而对于通货膨胀影响方面,在高通胀预期状态下,货币政策对物价的冲击相对更快显现出来,而在低通胀预期状态时,货币冲击对物价水平的影响存在通货膨胀惊吓现象,即初期表现为低通胀,甚至通货紧缩,然后显现正向效应,在大约11期之后正向效应达到最大,且对物价影响力度往往大于高通胀预期状态下的货币政策冲击效应。     

INFLATION STABILIZATION AND WELFARE: THE CASE OF A DISTORTED STEADY STATE

This paper considers the appropriate stabilization objectives for monetary policy in a micro‐founded model with staggered price‐setting. Rotemberg and Woodford (1997) and Woodford (2002) have shown that under certain conditions, a local approximation to the expected utility of the representative household in a model of this kind is related inversely to the expected discounted value of a conventional quadratic loss function, in which each period's loss is a weighted average of squared deviations of inflation and an output gap measure from their optimal values (zero). However, those derivations rely on an assumption of the existence of an output or employment subsidy that offsets the distortion due to the market power of monopolistically competitive price‐setters, so that the steady state under a zero‐inflation policy involves an efficient level of output. Here we show how to dispense with this unappealing assumption, so that a valid linear‐quadratic approximation to the optimal policy problem is possible even when the steady state is distorted to an arbitrary extent (allowing for tax distortions as well as market power), and when, as a consequence, it is necessary to take account of the effects of stabilization policy on the average level of output. We again obtain a welfare‐theoretic loss function that involves both inflation and an appropriately defined output gap, though the degree of distortion of the steady state affects both the weights on the two stabilization objectives and the definition of the welfare‐relevant output gap. In the light of these results, we reconsider the conditions under which complete price stability is optimal, and find that they are more restrictive in the case of a distorted steady state. We also consider the conditions under which pure randomization of monetary policy can be welfare‐improving, and find that this is possible in the case of a sufficiently distorted steady state, though the parameter values required are probably not empirically realistic. (JEL: D61, E52, E61)     

我国通货膨胀率动态波动路径的结构性转变特征与统计检验

本文运用参数稳定性检验方法研究我国通货膨胀率的动态变化路径,发现我国通货膨胀率序列具有明显的结构转变特征;利用包含结构转变点的最小二乘估计方法,获得了我国通货膨胀率的结构转变点估计和区间估计;结合我国宏观经济运行事实,分析并刻画了具有结构转变特征的通货膨胀率动态过程,准确地给出自1984年以来的两次高通货膨胀区间.     

Modelling Wage Growth Dynamics in Italy, 1960-90

ABSTRACT: In this work we analyse the common dynamic properties of wage inflation, price inflation, unemployment and labour productivity using Italian annual data (1960-90, source: Prometeia). Applying multivariate cointegration technique we test for the presence of a wage equation and a price mark-up equation. The preferred identification suggests that it is possible to build up an error correction representation for the wage inflation, in which the rate of acceleration in wages depends on the contemporaneous rate of acceleration in prices and on the adjustment to long-run disequilibrium as represented by a Phillips type relation. This representation is rejected for the price inflation which turns out to be weakly exogenous within the system. Furthermore, there is evidence that wage inflation does not Granger-cause price inflation. The overall conclusion is that wage inflation does not contribute in explaining the price inflation process and the traditional mark-up view of inflation is not supported by data. The policy implication is that monetary policy need not respond to wage data because they do not contain additional information about the future path of inflation.     

Does business model affect accounting choices? An empirical analysis of European listed companies

Financial accounting research increasingly includes business model (BM) constructs, but the ability of financial reporting to capture BM characteristics has not been verified. This study empirically explores the links between BMs and accounting choices by clustering a sample of 103 European listed companies according to an innovative, nonlinear algorithm (self-organizing map) that uses pertinent industrial, strategic, governance, and financial variables to uncover different dimensions of a BM. The authors investigate accounting choices (accounting measurement, accounting treatment, and disclosure level) by companies that belong to the different identified BMs. The analysis of the relations between different company BMs and their accounting choices indicates no significant connections, which offers empirical confirmation of the criticisms regarding the inability of financial reporting to represent (or even consider) a company’s BM. The results suggest further attempt to capture BM in financial reporting, which requires regulators to establish accounting standards that acknowledge the value creation processes of an entity and incentivize managers to represent those processes.     

中国通货膨胀门限值的实证检验

以通货膨胀在何种水平下将对经济增长产生负面影响的通货膨胀门限值为研究对象,借鉴Khan等研究通货膨胀结构断点的方法,建立包括经济增长率、通货膨胀率、人口增长率和工业增加值增长率在内的四元变量门限值回归模型,估计1978年至2009年中国通货膨胀的最优门限值水平。研究结果表明,中国通货膨胀的最优门限值为5%,当通货膨胀超过5%时将对经济增长带来显著的负面影响。最优通货膨胀门限值的存在不仅为中国中央银行实施货币政策制定了一个特定的数字目标,即保持通货膨胀在5%以下,还拓展了通货膨胀目标制在中国实施的讨论,在技术层面上完善了中国通货膨胀目标量化和预测的可操作性,为中国通货膨胀目标制的实施提供重要支持。     

Wird die Relevanz von Ertragsteuern für die Unternehmensrechnung nach rechtlichen oder ökonomischen Kriterien beurteilt?

Textbooks in the areas of Management Accounting, Finance and Valuation treat taxes very differently. Finance and Valuation increasingly consider tax effects. Management Accounting considers taxes only if they meet certain legal “cost” criteria. These criteria follow tax law rules, but not economic rules and primarily consider tax effects of the local business tax only. This view is also reflected in recent cost accounting regulations. We present evidence from a survey of managers and chambers of commerce, according to which practitioners’ views of whether the local business tax is a cost are heterogeneous. The majority of managers do not consider the local business tax as a cost and do not pass it on to customers. The chambers of commerce however still consider the local business tax as a cost.     

货币政策非对称性与惰性区域的识别和检验

在对货币当局政策偏好分析的基础上,构建更为一般的货币政策反应模型,用于识别名义利率对通胀缺口和产出缺口的非线性和非对称调整特征以及货币政策对通货膨胀和产出变化的惰性属性。采用7天期银行间同业拆借加权平均利率作为名义利率的代理变量,对上述货币政策反应模型进行广义矩估计,并对参数进行约束检验。研究结果表明,中国货币政策对通货膨胀的调整存在明显的惰性区域,即当通货膨胀率在目标通货膨胀率的较小范围内波动时,利率并未针对通货膨胀与目标通货膨胀率的偏离做出调整,而当通货膨胀率与目标通货膨胀率的偏离(即通胀缺口)超过惰性区域时,货币当局开始针对通胀缺口调整利率,并且随着通胀缺口的增大,利率对通货膨胀的反应越来越强烈,存在明显的非线性调整特征。     

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。     

基于通货膨胀和风险偏好视角的资产配置研究

不确定条件下的资产配置问题无论对于学术研究还是投资行为都具有重大的理论和实际意义。本文选取广义范围上的现金、股票、债券作为投资者进行资产配置的产品,在CRRA(Constant Relative Risk Aversion)和HARA(Hyperbolic Absolute Risk Aversion)两种偏好假设下,分别求出了投资者效用最大化时的最优财富以及最优资产组合中各资产的权重,并比较分析了两种偏好假设下通货膨胀、风险偏好、投资期限三种因素对资产配置的影响。研究结论表明:通货膨胀会影响股票和债券的风险溢价,进而影响最优资产组合中各资产的权重;股票的权重不会受投资期限的影响,在通货膨胀率和风险偏好不变时,其值始终为一常数,但债券和现金的权重则由投资期限、通货膨胀和风险偏好共同决定;此外,在CRRA和HARA偏好假设下,以上三种因素对资产配置的影响存在较大差异,特别是在HARA框架下存在买空行为。     

民间金融与中国宏观经济——理论机制与实证分析

作为中小企业的主要融资渠道,民间金融对中国经济发展具有重要作用。本文理论探究了民间金融对中国主要宏观经济变量的作用机制,并以此为基础选取全国地区性民间借贷综合利率指数作为民间金融的代理指标,建立VAR模型分析了民间金融对这些宏观经济变量的影响。研究发现：民间金融在理论上能直接以及通过货币政策间接影响经济增长和通货膨胀;而民间金融与货币政策的互动依赖于宏观经济变量之间的联系或正规金融的传导。从实证分析来看,民间金融的发展对经济增长有显著影响,作用方式是先促进后抑制;同时民间金融也能显著影响通货膨胀,其利率升高会加剧通货膨胀;但是民间金融和货币政策无显著关系,这是由于经济增长和通货膨胀没有起到传递作用以及民间金融和正规金融无明显的互动,由此表明民间金融并不能通过货币政策间接影响经济增长和通货膨胀。本文的研究有助于深入理解民间金融与宏观经济的关系,对制定相应的经济政策和管控民间金融风险具有重要的借鉴意义。