中国的Phillips曲线——基于新凯恩斯主义视角的实证分析

本文在新凯恩斯主义的理论分析框架内,由实证层面详细地考察了通货膨胀与"缺口"代理变量之间的动态关系,结果发现:(1)中国的Phillips曲线具有"前瞻"性质;无论以实际产出或劳动收入份额作为"缺口"代理变量,预期成分和源自实质经济活动的通胀压力对于当前的通货膨胀均存在着至关重要的影响;(2)基于结构参数的实证估计结果,在每一季度内,约有近50%的国内厂商调整价格;价格平均持续期为半年左右,低于美国、更显著地低于欧元区经济.与此同时,国内企业更大程度地遵循"拇指定价规则"(40～60%);而这一比例又明显地高于美、欧经济.     

多方法改进视角下的中国核心通货膨胀测算和效果评价

本文在探析核心通货膨胀测算方法和评价方法原理的基础上,结合中国价格变动特点对部分方法进行适当改进,并将其应用于中国2001-2013年核心通货膨胀测算,然后采用无偏性检验、相关性检验、趋势追踪能力检验、未来预测能力检验四种准则对所有测算结果的货币政策应用效果做出评价。结果发现,没有任何一种方法是绝对最优的,相对而言,SVAR法、指数平滑法、不对称截尾平均法的效果较为优良。这一结论对中国的货币政策执行和核心通货膨胀测算方法研究具有重要的启示意义。     

从“期待视野”角度看《绿萝之舟》的颠覆

津村记久子的芥川奖之作《绿萝之舟》(2008年)获得了评审专家的高度认可,然而不少普通读者却发出"真意难觅"的反对之声。这一热一冷分歧何在?试从接受美学"期待视野"的角度,阐述作品对读者文本期待、形象期待及意蕴期待的颠覆和创造,探寻作品的现实意义和作家书写之目的。     

理性分析通胀预期

2009年中国经济始终处在通缩阴影下,直到11月份CPI同比才转负为正,全年CPI-0.6%。2010年2月统计局发布统计数字显示,我国CPI同比增长2.7%,消费者也感受到物价飞速的上涨,因此引出全社会对通货膨胀预期形成的热烈讨论。其实我国通货膨胀预期在2009年已经出现,进入2010以来,通货膨胀预期加重。本文就是在此背景下分析了我国目前的通货膨胀预期。     

通货膨胀预期视角下的货币政策对资产价格反应问题的研究

通过纳入通胀预期,本文研究了我国货币政策对资产价格（房价和股价）反应的方式、非对称性和急缓程度,结果表明：（1）通胀预期在货币政策分别对房价和股价的反应中起到明显不同的作用;（2）货币政策“关注”房价而“盯住”股价,即货币政策“间接地”根据通胀预期调整对房价的反应,但通常并未考虑通胀预期就“直接” 调整对股价的反应;（3）货币政策在整个样本期内均对房价作出正向反应,且随通胀预期的不断攀升反应逐渐增强,但对股价却采取所谓“调牛不调熊”的非对称反应,且随股价涨幅的增加反应逐渐增强;（4）这两种非对称反应均是逐渐(平滑)调整的。最后,本文还从政策层面上讨论了货币政策对资产价格反应的持续性问题。     

非线性协整检验与“费雪效应”机制分析

本文分别在线性Engle-Granger协整模型和非线性指数平滑迁移自回归误差修正模型 (ESTAR-ECM) 的框架下,对我国名义利率与通货膨胀率序列进行了长期均衡关系的检验。发现线性协整模型不能捕捉到我国名义利率与通货膨胀率的长期均衡关系,而对于ESTAR-ECM模型,无论利用商业银行1年期贷款利率还是7天期银行间同业拆借利率作为名义利率的代理变量,均证实名义利率与通货膨胀率具有长期稳定的均衡关系,表明“费雪效应”在我国是成立的。但由于“费雪效应”系数小于1,表明名义利率与通货膨胀率之间仅存在弱的“费雪效应”。其意义在于,我国利率政策对稳定通胀预期、抑制通货膨胀具有一定的正面效应,但由于利率对通货膨胀反应不足,导致完全依靠利率政策控制目前较高的通货膨胀有一定的困难。     

Credibility and Inflation Expectations: What we can tell from seven emerging economies?

This study is a contribution to the literature concerning credibility and its effect on the distribution between forward-looking behavior and backward-looking behavior for formation of inflation expectations in the case of emerging economies. Based on data gathered from seven inflation targeting emerging economies (Brazil, Chile, Colombia, Mexico, Poland, South Africa, and Turkey), this paper analyzes how much the credibility associated with the inflation target contributes to anchoring expectations. The findings denote that although credibility is relevant to reduce inflation expectations, these countries present low monetary credibility and thus the backward-looking behavior is predominant for the formation of inflation expectations. Therefore, in order to improve the expectations channel of monetary policy in emerging economies, a policy of increasing transparency regarding inflation expectations is mandatory to the central banks’ task of anchoring inflation expectations.     

住房价格应该纳入通货膨胀的统计范围吗？

 本文分别从度量生活成本和执行货币政策的角度研究住房价格是否应该纳入通货膨胀的统计范围。从度量生活成本的角度看,应该将住房价格纳入CPI的统计范围,然而本文的文献回顾表明,如何在CPI的统计框架下妥善处理住房价格仍然没有一致的结论。从执行货币政策的角度看,考虑到核心通货膨胀更适合作为货币政策的通货膨胀目标,本文研究了住房价格对核心通货膨胀的影响,发现住房价格对我国核心通货膨胀的影响微乎其微。这表明,如果稳定物价是货币政策的唯一目标,则货币政策无需考虑住房价格。然而,由于我国的货币政策需要兼顾多个目标且住房价格会显著影响产出水平,所以从稳定产出的角度看,货币政策仍须重视住房价格。     

Expectation of quadratic forms in normal and nonnormal variables with applications

We derive some new results on the expectation of quadratic forms in normal and nonnormal variables. Using a nonstochastic operator, we show that the expectation of the product of an arbitrary number of quadratic forms in noncentral normal variables follows a recurrence formula. This formula includes the existing result for central normal variables as a special case. For nonnormal variables, while the existing results are available only for quadratic forms of limited order (up to 3), we derive analytical results to a higher order 4. We use the nonnormal results to study the effects of nonnormality on the finite sample mean squared error of the OLS estimator in an AR(1) model and the QMLE in an MA(1) model.     

Modeling interest rate cycles in India

The present study tries to examine the behaviour of various Indian interest rates such as call money rate, and yields on secondary market securities with maturity periods of 15–91 days, 1-year, 5-years and 10-years. In the first stage, the study investigates the determinants of interest rates and finds that although the interest rates depend on some domestic macroeconomic variables such as yield spread and expected exchange rate, they are mainly affected by the movements of international interest rates, although with some lags. The policy variables such as Bank Rate and Federal Funds Rate did not show any significant impact on any of the interest rates. Further, it was found that the interest rates in the very recent period show some cyclical movements similar to that of the developed countries. Future behaviour of interest rates show that the present cycle of each interest rate would peak at different time points. This expected behaviour in domestic interest rates could be due to the integration of the domestic economy with the international money and financial market. This trend may be same in most of the emerging economies of Asia.