货币和产出缺口能给通货膨胀提供有用的信息吗？

 ]论文目的是确定货币、产出缺口和国际商品价格指数与我国通货膨胀之间是否有长期的关系,能否给我国通货膨胀预测提供除通货膨胀自身所具有的以外的信息。论文的研究方法主要是自回归分布滞后模型(ARDL),基于自回归分布滞后模型进行通货膨胀与相关经济变量的长期关系检验,并进行预报实验,将预测结果与仅包括通货膨胀自身滞后因子的自回归模型的预测结果比较。实证结果显示：货币供给m2、m1、m0都与通货膨胀有显著的长期关系,但是只有m0含有通货膨胀自身没含有的信息,能给通货膨胀提供额外的信息;产出缺口、国际农产品价格指数分别与通货膨胀有长期的关系,含有通货膨胀自身没含有的信息,能给通货膨胀预测提供额外的信息。最后还提出一些相关建议。     

货币流动性、通货膨胀与我国货币政策走向探析

金融危机以来,新一轮通货膨胀给我国现实经济生活带来的影响已经显现。分析通货膨胀的决定因素并回顾我国自金融危机以来的货币政策可知,当前的货币政策应该关注更广泛意义上的价格变动,关注一般竞争性产品价格下降与资源、资产价格上涨之间的内在矛盾,并应谨慎使用利率工具。     

房地产市场、股票市场与通货膨胀的联动性分析——基于VAR模型的实证研究

利用VAR模型,通过ADF单位根检验、脉冲效应分析、方差分析的计量方法可对我国房地产市场、股票市场和通货膨胀的联动关系进行实证分析。分析结果表明：房价上涨刺激通货膨胀,通货膨胀对房价的影响方向是不确定的;通货膨胀推动股价上涨,股价上涨会推动通货膨胀;房价上涨会抑制股价,股价对房价的影响则较为复杂,且两者之间的关系并不十分显著。基于目前通货膨胀的影响,政府对股市、房市的调控方向应为：引导投资房地产行为趋理性化;强效抑制房地产市场趋白热化;稳健控制股票市场更趋规范化。     

Expectations of inflation: The biasing effect of thoughts about specific prices

National surveys follow consumers’ expectations of future inflation, because these may directly affect the economic choices they make, indirectly affect macro-economic outcomes, and are considered in monetary policy. Yet, relatively little is known about how individuals form the inflation expectations they report on consumer surveys. Medians of reported inflation expectations tend to track official estimates of realized inflation, but show large heterogeneity between respondents, due to some expecting seemingly extreme inflation. We present two studies to examine whether individuals who consider specific price changes when forming their inflation expectations report more extreme and disagreeing inflation expectations due to focusing on specific extreme price changes. In Study 1, participants who were instructed to recall any price changes or to recall the largest price changes both thought of items for which price changes were perceived to have been extreme. Moreover, they reported more extreme year-ahead inflation expectations and showed more disagreement than did a third group that had been asked to recall the average change in price changes. Study 2 asked participants to report their year-ahead expectations of inflation, without first prompting them to recall specific price changes. Half of participants nevertheless thought of specific prices when generating their inflation expectations. Those who thought of specific prices reported more extreme and more disagreeing inflation expectations, because they were biased towards various items associated with more extreme perceived price changes. Our findings provide new insights into expectation formation processes and have implications for the design of survey-based measures of inflation.     

Can unemployment forecasts based on Google Trends help government design better policies? An investigation based on Spain and Portugal

The Covid-19 pandemic has increased the unemployment issue and accelerated the digital transformation. Real-time data specific to ongoing revolution in applied economic analysis are increasingly demanded to anticipate changes in unemployment to improve decision-making. The aim of this paper is to test whether unemployment rate forecasts based on Google Trends data improve the predictions based only on macroeconomic indicators published with a longer time lag. The research has been carried out at the national level for Spain and Portugal, and the main novelty is the analysis of unemployment rate forecasts at the regional level for Spain using dynamic panel data models to implement the best policies to reduce unemployment. The keywords unemployment and job offers have been used in each language. The results obtained demonstrate the capacity of Google Trends data associated with unemployment to improve the predictions of unemployment rates in Spanish regions. Moreover, predictions based on Google Trends data at national level in Spain and Portugal are significantly more accurate than those based on autoregressive models for both countries.     

Inflation targeting and its spillover effects on financial stability in emerging market economies

In this paper, we study whether adoption of inflation targeting monetary policy framework has spillover effects on financial stability in emerging market economies. Working with data for 64 emerging market economies, we develop financial stability and sector specific stability indices and identify the effect using dynamic panel data models in difference-in-difference framework. We find significant positive spillover effects of inflation targeting adoption on banking system resilience and external capital inflows arising from improved transparency and accountability of the central banks. Based on the results, the paper recommends to emerging market economies which are currently under inflation targeting lite regime, to adopt full-fledged inflation targeting monetary policy.     

Money, real output, and deficit effects of coffee booms in Colombia

This paper develops a Vector Error Correction (VEC) model and uses the recently developed technique of ‘generalized’ impulse response analysis to test the empirical relationships in the Colombian economy between coffee revenues and a set of macro variables. We find that coffee price (revenue) shocks have exerted an important influence on money growth, inflation, and real exchange rates, and the direction of these effects are in line with some of the predictions of traditional Dutch Disease type models. The major difference between our results and the results of Dutch Disease type models arise in the effects of coffee booms on real output. We find that in the time horizon of 5 years after the boom, real output has increased in response to the effects of the coffee boom. The finding that coffee booms can result in positive long-run output effects is an important finding since it contradicts the traditional conclusion of Dutch Disease type models which envision an adverse long-run effect on output. We also find that the long-run effect of coffee booms is to reduce both current account and government deficits. These results illustrate strikingly that the term “Dutch Disease” is an unfortunately pejorative term that obscures the fact that coffee booms need not be viewed as a “disease” but as an extraordinary opportunity to strengthen internal and external balances.     

A Comparative Note about Estimation of the Fractional Parameter under Additive Outliers

In recent articles, Fajardo et al. (2009 Fajardo Molinares, F., Reisen, V.A., Cribari-Neto, F. (2009). Robust estimation in long-memory processes under additive outliers. Journal of Statistical Planning and Inference 139:2511–2525.[Crossref], [Web of Science ®] , [Google Scholar]) and Reisen and Fajardo (2012) propose an alternative semiparametric estimator of the fractional parameter in ARFIMA models which is robust to the presence of additive outliers. The results are very interesting, however, they use samples of 300 or 800 observations which are rarely found in macroeconomics. In order to perform a comparison, I estimate the fractional parameter using the procedure of Geweke and Porter-Hudak (1983 Geweke, J., Porter-Hudak, S. (1983). The estimation and application of long memory time series model. Journal of Time Series Analysis 4:221–238.[Crossref] , [Google Scholar]) augmented with dummy variables associated with the (previously) detected outliers using the statistic τ_d suggested by Perron and Rodríguez (2003 Perron, P., Rodríguez, G. (2003). Searching for additive outliers in nonstationary time series. Journal of Time Series Analysis 24(2):193–220.[Crossref], [Web of Science ®] , [Google Scholar]). Comparing with Fajardo et al. (2009 Fajardo Molinares, F., Reisen, V.A., Cribari-Neto, F. (2009). Robust estimation in long-memory processes under additive outliers. Journal of Statistical Planning and Inference 139:2511–2525.[Crossref], [Web of Science ®] , [Google Scholar]) and Reisen and Fajardo (2012), I found better results for the mean and bias of the fractional parameter when T = 100 and the results in terms of the standard deviation and the MSE are very similar. However, for higher sample sizes such as 300 or 800, the robust procedure performs better. Empirical applications for seven monthly Latin-American inflation series with very small sample sizes contaminated by additive outliers are discussed.     

特有冲击、共同冲击与通货膨胀持续性

中国分类价格指数的通货膨胀持续性有何特征？如何理解分类价格指数和加总价格指数通货膨胀持续性之间的关系？我们对2001年1月至2011年12月的数据进行实证分析,结果表明分类价格指数比较明显的表现出行业间异质的通货膨胀波动性和通货膨胀持续性,而与加总价格指数相比,它的通货膨胀波动性更大而通货膨胀持续性更低。通货膨胀持续性的这些现象可以从特有冲击和共同冲击的角度加以理解。共同冲击的相对重要性存在差异解释了分类价格指数的通货膨胀持续性呈现行业间异质性;特有冲击的重要性在数据加总时被削弱,解释了分类价格指数具有比加总价格指数更低的通货膨胀持续性。     

On the directional accuracy of inflation forecasts: evidence from South African survey data

We study the information content of South African inflation survey data by determining the directional accuracy of both short-term and long-term forecasts. We use relative operating characteristic (ROC) curves, which have been applied in a variety of fields including weather forecasting and radiology, to ascertain the directional accuracy of the forecasts. A ROC curve summarizes the directional accuracy of forecasts by comparing the rate of true signals (sensitivity) with the rate of false signals (one minus specifity). A ROC curve goes beyond market-timing tests widely studied in earlier research as this comparison is carried out for many alternative values of a decision criterion that discriminates between signals (of a rising inflation rate) and nonsignals (of an unchanged or a falling inflation rate). We find consistent evidence that forecasts contain information with respect to the subsequent direction of change of the inflation rate.