WAVELET MODELING AND FORECASTING AND ITS APPLICATION IN THE CHINESE MONETARY MULTIPLIER

In this paper, a time_varying AR model is constructed by using the vector_space algorithm of compactly_supported biorthonormal wavelet transform. It is developed for forecasting narrow monetary multipliers in China .

Monetary policy rules：Forward-looking and backward-looking in an overlapping generations model

In the framework of an overlapping generations model, forward-looking monetary policy roles and backward-looking monetary policy rules were investigated. It is shown that the monetary steady state is more likely to be indeterminate under an active forwardlooking rule than under the corresponding backward-looking rule. It is also shown that backward-looking roles can render the monetary steady state unstable.

Monetary Model of Exchange Rate Determination： Evidence From the Czech Republic, Hungary, and Poland

Using a monetary model of exchange rate determination that suggests a strong link between the nominal exchange rate and a set of monetary fundamentals, exchange rate dynamics for the Czech Republic, Hungary, and Poland is studied. As the cointegration relationship among exchange rate, output, and the monetary fundamentals （money supply and interest rate） is found, vector autoregressions （VAR）/vector error-correction （VEC） and two-stage least squares （2SLS） error-correction models are used in this context, since both approaches allow estimating short-run correlations between exchange rates and fundamentals while taking into account the existent long-run exchange rate constraints. Based on the quarterly data for the period of 1998-2012, it is found that for all countries, an increase in the money supply, domestic output slowdown, or stronger growth abroad are factors behind a nominal exchange rate depreciation, just as predicted by the monetary model of exchange rate. However, the effects of domestic-foreign interest rate differential are quite heterogeneous, being in line with theoretical predictions of a standard monetary model for Poland only. According to the decomposition of variance, money supply and interest rates account for 30%-46% of the exchange rate variation in the Czech Republic, from 10% to 14% in Hungary, and from 23% to 42% in Poland.

Structural Monetary Policy, Bank Credit and Bank Liquidity—An Empirical Analysis Based on VAR Model

After the outbreak of the international financial crisis,the People’s Bank of China,based on traditional monetary policy tools,launched a series of structural monetary policy tools such as standing lending facility(SLF),medium-term lending facility(MLF),and pledged supplementary lending(PSL)and targeted at liquidity via the commercial banking system.In order to test the credit transmission effect of structured monetary policy,this paper empirically analyzes the relationship between structured monetary policy,bank liquidity and bank credit based on the VAR model.The research shows that the implementation of structured monetary policy reduces the liquidity of commercial banks in the short term and increases in loans to small or micro enterprises and agriculture-related loans,these policies have produced significant short-term effects on credit transmission in steady of long-term effects.Thus,a series of supporting measures are needed to fully exert the effects of structural monetary policy.

China’s Monetary Policy Impacts on Money and Stock Markets

This study investigated the impact of China’s monetary policy on both the money market and stock markets,assuming that non-policy variables would not respond contemporaneously to changes in policy variables.Monetary policy adjustments are swiftly observed in money markets and gradually extend to the stock market.The study examined the effects of monetary policy shocks using three primary instruments:interest rate policy,reserve requirement ratio,and open market operations.Monthly data from 2007 to 2013 were analyzed using vector error correction(VEC)models.The findings suggest a likely presence of long-lasting and stable relationships among monetary policy,the money market,and stock markets.This research holds practical implications for Chinese policymakers,particularly in managing the challenges associated with fluctuation risks linked to high foreign exchange reserves,aiming to achieve autonomy in monetary policy and formulate effective monetary strategies to stimulate economic growth.

Total Spending Equation of St. Louis Model： A Causality Analysis for Turkish Economy

Andersen and Jordan （1968） aimed to measure efficiency of monetary and fiscal actions on real GDP by employing a time-series model which was called as St. Louis Model afterwards. Although the model is performed in many countries similarly, the results differ from each other in accordance with the economic structure of relevant country In this regard, the aim of this paper is to investigate the effectiveness of monetary and fiscal policies on real activity and to find out causal relationship among questioned variables using OLS and causality methodologies in Turkish economy over the period 1998：1-2010： IV. Empirical findings indicate that only monetary policy has a significant positive effect on economic activity in the short run, Nonetheless, neither monetary nor fiscal policy has significant impact on real output in the long run. Causality analysis shows that there exists a unidirectional causality running from real output and money stock to government expenditures. Moreover, not surprisingly, it is also found that crisis experiences of Turkey in sample period have highly adverse impact on real activity. Causality analysis suggests us considering government expenditures as explained variable instead of real output. Hence, it can be concluded that St. Louis Model total spending equation is not applicable for Turkish economy during 1998-2010 periods

Structural Vector Autoregressive Analysis of Monetary Policy in Thailand

This paper highlights the importance of monetary policy transmission mechanism in Thailand since the 1997 financial crisis and then undertakes an empirical investigation of Thailand monetary policy. This study makes effort to address both two aspects of monetary transmission mechanism, namely channels of monetary policy and the effect of monetary policy shocks on key macroeconomic variables. To address these issues, the paper specifies structural vector autoregressive （SVAR） models and estimates them using quarterly data from 1997q3 to 2014q4. The identification schemes used in this paper follow Kim and Roubini and Raghavan, Silvapulle, and Athanasopoulos with some modifications. The overall result is that the identifying restrictions used in the SVAR seem to appropriately identify a monetary policy shock even though the exchange rate puzzle is found. The results show that interest rate and monetary aggregate have played the dominant channels of monetary transmission mechanism in Thailand, while an exchange rate channel is decreasingly significant. In addition, Thailand economy is somewhat exposed to the foreign sector especially for the world price of oil and the U.S. monetary policy. The results also reveal the linkage and influence of U.S. monetary policy on Thailand monetary policy. The empirical findings are then used to provide Bank of Thailand （BOT） with insight into identifying the important monetary policy transmission channels. It would help the BOT to implement an effective monetary policy for achieving price stability through the appropriate monetary channels.

The Influence of Monetary Policy and Fiscal Policy on the Rural Residents' Consumption

This paper conducts an empirical analysis of influence of fiscal expenditure supporting agriculture monetary supply on rural residents' s consumption by adopting a vector auto-regression model,based on the data from 1978 to 2011.The study indicated that:in the short term,fiscal policy is the Granger reason of rural residents' consumption,monetary policy is not the Granger reason of rural residents' consumption;in the long term,the comprehensive function of fiscal policy and monetary policy has a great influence on the of rural residents' consumption.Under the background of Economic Transition and Urbanization,Expanding Domestic Demand is the slogan.We should coordinate fiscal policy and monetary policy to promote the rural residents' consumption.

货币政策不确定性对企业全要素生产率的影响研究

依据2005—2021年A股上市企业数据,运用SVAR-SV模型,逐步分离宏观经济冲击和货币政策水平冲击,构建货币政策不确定性指数,考量货币政策不确定性对企业全要素生产率的影响。结果显示:相较于金融摩擦机制,货币政策不确定性主要通过实物期权和增长期权机制抑制企业全要素生产率增长;受企业异质性影响,货币政策不确定性对国有控股、中小规模和中西部企业全要素生产率的抑制效果更为显著。

开放经济动态随机一般均衡模型下最优货币政策和货币状况指数研究——基于1992—2022年中国数据的理论和实证分析

本文构建开放经济下的新凯恩斯动态随机一般均衡模型,模拟显示在外部冲击下,利率、汇率和最终目标高度相关。以理论模型为基础对最优货币政策进行探究,发现其政策权重受消费者、生产者和中央银行的行为等模型参数的影响。进一步构建货币状况指数(MCI),其权重不仅取决于商品市场、货币市场和利率平价参数等的变化,还依赖于最优货币政策参数的变化。根据1992—2022年数据进行实证研究发现,最优货币政策参数为1.1823,意味着我国央行的货币政策是逆周期操作的,且赋予经济增长以更大的权重;估计出MCI的权重为0.7867,意味着实际利率上升1%相当于实际汇率下降0.79%,实际利率变动的影响弱于实际汇率。最后本文研究表明货币状况指数可以作为宏观经济目标变动的先行指标。

财政政策、货币政策与高质量就业——基于TVP-SV-VAR模型的动态分析

更加充分、更高质量的就业是实现经济高质量发展的应有之义。文章采用中国2000—2021年的季度时间序列数据,基于时变参数向量自回归(TVP-SV-VAR)模型,实证检验财政政策与货币政策对就业质量的时变及动态影响。研究发现:落实减税降费政策、优化财政支出结构在短期和中长期均有效地促进了高质量就业。面对国际金融危机冲击时,财政政策在短期内实现了对就业质量的保障,而在长期内政策效果受到削弱,这说明高质量就业的实现并非“斯须之作”。数量型货币政策对就业质量的调节作用较为平稳,其影响具有滞后性,而价格型工具更能有效熨平外部冲击对就业质量的影响。相较货币政策,财政政策对就业质量的调控具有更强的拉动作用与抗冲击能力。

人口老龄化对货币政策调控房地产价格效果的影响研究

文章基于1999—2022年中国宏观经济数据,通过构建时变参数向量自回归模型(TVP-VAR)分析货币政策对于房地产价格的调控效果。实证结果表明数量型货币政策与价格型货币政策在中长期对房地产价格调节均明显衰减,同时价格型货币政策的调节效果具有显著不确定性。利用2000—2021年中国省级面板数据构建系统广义矩估计模型(System-GMM)分析人口老龄化对货币政策调控房地产价格效果的影响。结果表明人口老龄化对于数量型货币政策调控房地产价格的效果产生负面影响,但对价格型货币政策在调控房地产价格方面的影响并不显著。在人口老龄化时代背景下,为中央银行改进货币政策,提高货币政策实施效果,以应对人口老龄化并促进房地产市场稳步发展提供参考,具有重要理论与现实意义。

货币政策降低系统性金融风险的有效性

当前,我国正面临经济转型和金融体系全面改革的双重挑战。为了确保经济的稳定增长,研究货币政策对系统性金融风险的影响具有实际的指导意义。从四个维度14个指标构建我国系统性金融风险指数,研究发现,从2011年到2023年,我国的系统性金融风险整体上呈现上升趋势。在数量型和价格型货币政策理论基础上,建立包含随机波动率的时变参数向量自回归模型,通过等间隔脉冲响应函数深入分析不同货币政策对系统性金融风险的时变冲击效应,表明需要搭配使用两种货币政策工具来降低金融危机的发生。

商业银行普惠金融如何助力共同富裕目标实现?——引入异质性企业和家庭的BGG-DSGE模型分析

经济增长和收入分配改善是共同富裕的应有之义,也是实现共同富裕的重要途径。商业银行普惠金融以中小微企业和农民等弱势群体为主要服务对象,是推进共同富裕的重要力量。本文在包含BGG金融加速器的DSGE模型中引入异质性企业和异质性家庭,从经济增长和收入分配角度分析商业银行普惠金融政策对共同富裕的动态一般均衡影响。校准参数后模拟发现,商业银行普惠金融政策会促进共同富裕。对比分析发现,宽松货币政策虽然会增加总产出,但会加剧收入不平等;同时,商业银行普惠金融政策和小企业技术进步的组合冲击更有利于实现共同富裕。

货币政策对企业融资约束异质性影响的统计检验

在当前中国经济“稳增长、防风险”的总体目标下,如何调整货币政策以刺激企业投资成为当务之急。为了分析中国货币政策对于企业融资约束和投资支出的影响,文章基于2004—2020年我国A股上市公司数据,应用面板门槛模型研究货币政策对企业融资约束产生的异质性影响。研究发现,货币政策会对企业“投资-现金流”敏感性产生“U”型的非对称性影响,表现为货币政策处在紧缩和宽松阶段时该敏感性系数较大,而在稳健阶段时该敏感系数较小,这表明货币政策转向宽松并不能从整体上有效地缓解中国企业的融资约束。为解释这一现象,进一步探索企业的异质性融资约束状况,发现在面临宽松的货币政策时,融资约束程度较高的小规模企业和民营企业的“投资-现金流”敏感性系数仍然较大,而大规模企业和国有企业的敏感性系数较小。

“双碳”目标与宏观经济政策目标何以兼顾?

为兼顾“双碳”目标与宏观经济政策目标实现,文章构建了包含环境系统的NK-DSGE模型,同步引入财政收入与支出政策工具、货币政策工具以及碳税,在对中国季度宏观数据进行校准和估计的基础上,分析了宏观政策工具与碳税联合实施的政策效果,讨论了碳税税率变化、碳税规则变动对联合政策效果的影响及造成的社会福利损失。模拟结果显示,积极的财政政策、稳健的货币政策与碳税配合对“双碳”目标与宏观经济政策目标的实现优势更大。其中,财政政策在促增长方面具有优势,货币政策在控制通货膨胀方面发挥重要作用,碳税政策在促进碳减排方面效果显著。经进一步研究发现,提高碳税税率会造成社会福利损失增加,政府可通过调整碳税规则、改变政策目标偏好实现对社会福利的帕累托改进。

人民币对“一带一路”沿线国家锚效应的实证研究

文章基于修正的二阶段Frankel-Wei模型,在其第二阶段回归分析中构建时变参数状态空间模型,对人民币及其他主要世界货币对“一带一路”沿线国家的货币锚效应进行样本期的分段动态检验、对比分析。根据检验结果,从中国自身和中国同沿线国家关系两个层面遴选指标变量,并构建二阶段Heckman模型研究人民币对“一带一路”沿线国家整体及“一带”沿线和“一路”沿线两个区域货币锚效应的影响因素。研究结果显示:人民币对沿线国家的货币锚效应已超过英镑,和日元基本相当,但和美元、欧元之间尚有较大的差距;目前,人民币对“一路”沿线的锚效应整体高于“一带”沿线国家;虽然人民币对沿线国家的锚效应水平不高且并不稳定,但在“一带一路”倡议提出并实施以来,其产生显著锚效应的沿线国家数量有较多的增加;且在沿线国家中,产生显著锚效应的区域也已逐渐形成。人民币对“一带一路”沿线货币锚效应影响因素的检验结果显示:无论是“一带一路”沿线整体还是“一带”沿线及“一路”沿线两个区域,在是否选择锚定人民币及已锚定人民币的国家中,人民币锚效应大小的影响因素均存在一定的差异。据此,文章进一步探讨未来该如何进一步提升人民币对沿线国家的货币锚效应。

阿贝西利、哌柏西利和瑞波西利一线治疗激素受体阳性晚期乳腺癌的成本-效用分析

目的从中国医疗卫生体系角度分析阿贝西利、哌柏西利和瑞波西利联用芳香化酶抑制剂(AI)一线治疗激素受体阳性(HR+)晚期乳腺癌的经济性。方法采用分区生存模型对HR+晚期乳腺癌患者20年的疾病进程进行模拟,模拟周期为4周,模型产出为总成本和质量调整生命年(QALY),以5%的贴现率对成本和效果进行贴现。通过系统检索相关临床试验进行网状Meta分析,获取阿贝西利、哌柏西利、瑞波西利联合AI的疗效参数,以MONALEESA-2试验安慰剂组的生存曲线为基础进行生存拟合和外推。计算3种治疗方案的增量成本-效果比(ICER)和增量净货币效益(INMB)以评估其经济性,意愿支付阈值为3倍我国2023年人均国内生产总值(GDP);采用单因素敏感性分析和概率敏感性分析检测各个参数对结果的影响以及增量分析结果的稳健性。结果经过20年的模拟,与哌柏西利+AI方案相比,瑞波西利+AI方案的ICER为58558.38元/QALY,INMB为62988.20元;与瑞波西利+AI方案相比,阿贝西利+AI方案的ICER为264928.34元/QALY,INMB为344.84元。单因素敏感性分析显示,阿贝西利+AI方案对比瑞波西利+AI方案的增量分析结果不稳健。概率敏感性分析证实,当阈值为1~3倍我国2023年人均GDP时,瑞波西利+AI方案成为最经济方案的概率最高。结论当阈值为1~3倍我国2023年人均GDP时,瑞波西利+AI方案一线治疗中国HR+晚期乳腺癌患者,较阿贝西利+AI方案和哌柏西利+AI方案更可能成为最经济的方案。

货币政策不确定性、央行预期管理与企业投资

货币政策不确定性上升会影响企业投资,预期管理能够提振企业投资信心,修复资产价格,相比传统货币政策措施具有比较优势。本文构建了一个基于消息冲击的DSGE模型,分别研究央行在实施和未实施预期管理下,货币政策不确定性冲击对宏观经济产生的差异化影响。研究发现:央行实行货币政策预期管理有利于缓释货币政策不确定性对于宏观经济的冲击。相比未预期到的货币政策不确定性冲击,预期到的冲击更有利于缓释企业投资预期波动并降低宏观经济风险,对企业的违约率、杠杆率和风险溢价的冲击效应会更小。进一步,通过实证回归分析进行机制检验,研究发现货币政策不确定性能够显著抑制企业投资水平,央行预期管理和非银行金融机构发展能够显著降低抑制效应,机制分析表明货币政策不确定性通过资产负债表和商业银行信贷两种渠道影响企业投资水平。

财政、货币政策如何支持绿色低碳转型——基于存流量一致性模型

推动经济绿色低碳转型,实现“双碳”目标,需要财政与货币政策精准支持。本文通过构建包含异质性住户部门、异质性资本品生产部门在内的七部门存流量一致性模型,模拟分析了包括绿色债券和差别化绿色贷款利率定价在内的财政与货币政策工具,对2020—2060年中国“双碳”目标、经济增长等主要经济指标的影响。研究发现,财政政策在应对绿色低碳转型中的负外部性问题方面具有基础性作用,货币政策为绿色资产逐步替代棕色资产提供了关键支撑。与基准场景或单一财政政策支持相比,财政、货币政策共同发力对绿色低碳转型发展目标效果更佳。未来应优化财政政策和货币政策的协调配合,不断提高财政、货币政策支持绿色低碳转型的效能,同时需关注绿色低碳转型中的通胀和经济增长波动。