|
|
|
| Whose Inflation Expectations Affect Monetary Policy |
| ZHANG Chengsi, DANG Chao
|
| Renmin University of China/China Financial Policy Research Center |
|
|
|
|
Abstract The information set of The People's Bank of China (PBC) remains a secret even today. Using survey data in China from 2001Q1 to 2014Q4, this paper investigates the impact of inflation expectations of households and professionals on monetary policy with forward-looking monetary reaction functions. The empirical results suggest that central bank of China does react to expectations, especially to those of professionals. Central bank seems to hold a discretionary policy: when facing with increasing expected inflation rate,central bank will tighten money supply and vice versa. From the comparison of central bank's reactions to different agents, we conclude that the information set of central bank in China is quite close to those of State Information Center and BOC International Holdings Limited.
|
|
Received: 22 October 2015
Published: 01 January 1900
|
|
|
|
|
| [1] |
谢平和罗雄,2002,《泰勒规则及其在中国货币政策中的检验》,《经济研究》第3期,第3~12页。
|
| [2] |
张蓓,2009,《我国居民通货膨胀预期的性质及对通货膨胀的影响》,《金融研究》第9期,第40~54页。
|
| [3] |
张成思和党超,2016,《基于央行调查数据的通胀预期转化:算法基础与理解分歧》,《金融评论》第1期,第1~12页。
|
| [4] |
张成思和芦哲,2014,《媒体舆论、公众预期与通货膨胀》,《金融研究》第1期,第29~43页。
|
| [5] |
张健华和常黎,2011,《哪些因素影响了通货膨胀预期——基于中国居民的经验研究》,《金融研究》第12期,第19~34页。
|
| [6] |
张涛,2010,《中国城镇居民储蓄状况调查与研究》,中国金融出版社2010年5月第一版。
|
| [7] |
张屹山和张代强,2007,《前瞻性货币政策反应函数在我国货币政策中的检验》,《经济研究》第3期,第20~32页。
|
| [8] |
Carlson J. A. and M. Parkin, 1975, “Inflation Expectations,” Economica, 42(166),pp.123~138.
|
| [9] |
Carroll C. D., 2003, “Macroeconomic Expectations of Households and Professional Forecasters,” Quarterly Journal of Economics,118(1), pp.269~298.
|
| [10] |
Davidson R.and J. G.Mackinnon, 1981, “Several Tests for Model Specification in the Presence of Alternative Hypotheses,” Econometrica,49(3), pp.781~793.
|
| [11] |
Godfrey L., 1994, “Testing for Serial Correlation by Variable Addition in Dynamic Models Estimated by Instrumental Variables,” The Review of Economics and Statistics, 76(3),pp.550~559.
|
| [12] |
Hansen L., 1982, “Large Sample Properties of Generalized Method of Moments Estimators,” Econometrica, 50(4), pp.1029~1054.
|
| [13] |
Lee K., J. Morley and K. Shields, 2015, “The Meta Taylor Rule,”Journal of Money Credit & Banking, 47(1), pp. 73~98.
|
| [14] |
MacKinnon J. G., 1996, “Numerical Distribution Functions for Unit Root and Cointegration Tests”, Journal of Applied Econometrics,11(6), pp.601~618.
|
| [15] |
McCallum B. T., 1988, “Robustness Properties of a Rule for Monetary Policy,” In Carnegie-Rochester Conference Series on Public Policy, North-Holland, Vol. 29, pp.173~203.
|
| [16] |
Orphanides A., 2001, “Monetary Policy Rules Based on Real-time Data,”American Economic Review, 91(4), pp. 964~985.
|
| [17] |
Orphanides A., 2004, “Monetary Policy Rules, Macroeconomic Stability, and Inflation: A View from the Trenches,”Journal of Money, Credit, and Banking, 36(2), pp.151~175.
|
| [18] |
Sims C. and T. Zha, 2006, “Were there Regime Switches in U.S. Monetary Policy?” American Economic Review, 96(1), pp.54~81.
|
| [19] |
Taylor J. B., 1993, “Discretion Versus Policy Rules in Practice,” In Carnegie-Rochester Conference Series on Public Policy, North-Holland, Vol. 39, pp.195~214.
|
| [20] |
Zhang C., D. R. Osbornand D. H. Kim, 2009, “Observed Inflation Forecasts and the New Keynesian Phillips Curve, ” Oxford Bulletin of Economics and Statistics,71(3),pp.375~398.
|
|
|
|
