我国通货膨胀与通货紧缩规律性的实证研究

无论通货膨胀还是通货紧缩,都是由社会总需求与社会总供给不平衡造成的,亦即流通中实际需要的货币量与发行量不平衡造成的,两者都会使价格信号失真,影响正常的经济生活和社会经济秩序,因此都必须采取有效的措施予以抑制。通过对我国改革开放30年通货膨胀、通货紧缩数据的实证分析,我们可以科学地认识中国经济增长的规律及其宏观调控的效果。而2010年的通货膨胀实质上是消费结构性通货膨胀,因此中央政府在调控中必须注重产业政策与货币财政政策的协调配合,这样才能使国民经济走上健康发展之路。     

The premium of inflation-indexed life insurances for the Romanian life table

This paper deals with the pricing process of life insurances that provide an insured sum indexed annually according to the current inflation rate. In these terms we propose an appropriate formula for the discount factor. In order to describe the inflation, we consider a stochastic autoregressive model. We deduce analytical expressions for the mean value and the variance of random variable defined as the present value of 1 unit indexed annually according to the inflation rate, payable over t years, when inflation is generated by an autoregressive process of order one. At the same time, we obtain numerical results for the Romanian life table, regarding the mean and the standard deviation for the actuarial present value of a pure endowment life insurance with the sum insured indexed annually with the inflation rate.     

我国货币政策工具治理物价上涨效果的实证分析：以法定准备金率和利率为例

从长期看,法定准备金率和利率的变化与物价水平的变化之间存在协整关系．但它们却不是物价变化的根本原因。因此要从根本上控制物价上涨,提高货币政策工具的实施效果,一是要规范市场秩序,二是要完善社会保障体系,三是要减少法定准备金率的使用频率,四是要积极配合使用其它货币政策工具,五是要进一步完善人民币汇率的形成机制。     

Notes on the two-stage procedure under an incomplete block two-period crossover design

Abstract

Under an incomplete block crossover design with two periods, we derive the least-squares estimators for the period effect, treatment effects and carry-over effects in explicit formulae based on within-patient differences. Using the commonly-used strategy of searching a base model for making inferences in regression analysis, we define a two-stage test procedure in studying treatment effects. On the basis of Monte Carlo simulation, we evaluate the performance of the two-stage procedure for hypothesis testing, point and interval estimation of treatment effects in a variety of situations. We note that use of the two-stage procedure can be potentially misleading and hence one should not apply a test procedure to exclusively determine whether he/she needs to account for the carry-over effect in studying treatment effects. We use the double-blind crossover trial comparing two different doses of formoterol with placebo on the forced expiratory volume in 1 second (FEV₁) readings to illustrate the use of the two-stage procedure, as well as the distinction between use of two-stage procedure and the approach with assuming no carry-over effects based on one's subjective knowledge.     

Inflation,oil prices and exchange rates. The Euro’s dampening effect

This paper aims to analyse the relationship between the euro/dollar exchange rate and oil prices and examine what effect this relationship had on the transmission of oil price fluctuations to headline inflation in the euro area since the currency’s creation. We estimate an augmented Phillips curve including changes in oil price, through which we study the role of the exchange rate in oil price pass-through by using different specifications. The main findings reveal a positive relationship between the euro/dollar exchange rate and oil prices, such that an increase in the price of oil is followed by an appreciation in the euro. We also find that the transmission of oil price fluctuations to headline inflation in the euro area has been partially dampened by this appreciation in the euro/dollar exchange rate. These results do not hold for other economies with internationally relevant currencies, such as Japan and the United Kingdom. These findings have important implications for the implementation of monetary policy in the euro area in the face of oil price shocks.     

中国核心通货膨胀的指数测算、分类特征与冲击传导

为了测算和分析我国核心通货膨胀指数,本文在动态因子模型分析框架下引入了时变因子载荷系数、随机扰动和异常值调整,构建了基于我国城市环比CPI的UCSVO模型和基于八大类城市环比CPI及消费支出权重的MUCSVO模型。研究发现：①UCSVO模型识别出的CPI异常变动时间点符合经济现实,由其测算得出的核心通货膨胀指数适用于我国通货膨胀的实时监测;②MUCSVO模型中共同的趋势成份因子及其载荷系数能体现宏观冲击与价格粘性的现实经济含义,价格粘性的差异是各大类核心通货膨胀指数对宏观冲击产生异质性响应的重要原因;③MUCSVO模型所测算的核心通货膨胀指数的分类权重与消费支出成正比、与波动性成反比,在测算分类以及总体核心通货膨胀指数的同时,还能准确反映各大类CPI的变化特征。     

Measuring expectations of inflation: Effects of survey mode,wording, and opportunities to revise

Several national surveys aim to elicit consumers’ inflation expectations. Median expectations tend to track objective inflation estimates over time, although responses display large dispersion. Medians also tend to differ between surveys, possibly reflecting survey design differences. Using a nationally representative Dutch sample, we evaluate the importance of three survey design features in explaining observed differences: mode (face-to-face vs. web), question wording (‘prices in general’ vs. ‘inflation’), and the explicit opportunity to revise responses. We examine effects on item non-responses, revisions, reported inflation expectations and their deviation from the CPI inflation rate. We discuss implications of our findings for survey design.     

投入产出法价格模型的应用——农产品价格上涨对通货膨胀的影响分析

由于农产品的生产受季节变动和不规则变动的影响较大,农产品的价格很容易由此而波动,当出现农产品价格上涨时,人们总会担心引起通货膨胀。本文运用投入产出分析模型,并使用1992年和2002年我国投入产出表数据,通过计算分析得出农产品及其相关联的部门产品价格上涨对其他部门产品价格变动影响程度很小,因此不会造成全国整体物价水平的大幅度上涨,不会引起通货膨胀。     

我国通货膨胀决定因素的计量分析

本文对我国总需求因素、货币因素和生产成本因素对通货膨胀的影响进行计量研究。通过测算菲利普斯曲线的动态变化,本文认为产出缺口对我国通货膨胀的影响呈现稳定下降的趋势,这说明总需求对我国通货膨胀的拉动效应在减小。本文选择了对通货膨胀具有重要影响的货币因素和产品购进价格因素,利用NBER方法分别计算合成指数,并将得到的合成指数与反映工资成本的指标共同引入扩展的菲利普斯曲线中,模型计算结果表明,货币因素和生产成本对物价具有显著的推动效应。因此,本文认为,在当前我国紧缩的货币政策背景下,产品购进价格尤其是工资成本的上升是通货膨胀率居高不下的决定性原因。     

中国通货膨胀预期的结构和持久性

本文通过改进的预期通货膨胀率模型,将城镇居民调查问卷中未来物价变动预期的定性数据,转换为有效的预期通货膨胀率。同时,本文对通货膨胀预期的性质进行了结构性分析,结果表明,核心通货膨胀内涵下的通货膨胀预期变动符合理性预期假说,食品价格内涵下的通货膨胀预期变动更具备适应性预期的特点。通货膨胀预期的持久性较差,实际核心通货膨胀对通货膨胀预期不具备持续影响,而来自食品因素的实际通货膨胀对通货膨胀预期有持久的影响,但通货膨胀预期对实际通货膨胀的反馈效果并不稳定。因此,在充分重视核心通货膨胀的变动的基础上,货币政策的持续性和稳定性显得尤为重要。