* 1997 1 2010 9 60% 80% 20% 40% - - - 2007-2007 * 100875 xujianwei@ gmail. com pamelapanda@ 126. com Betts C. M. CCER 78
2011 7 1997 1 2010 9 - Engel 1993 1999 rer = ner + p * - p = ner + 1 - α * p * T + α * p * N - 1 - α p T + αp N = ner + p * T - p T + α * p * N - p * T - α p N - p T rer T rer N 1 rer ner p p T p N α * 1 1 2 Engel 1999 10 OECD 10% Rogers & Jenkins 1995 3 Lapham 1995 Rogers & Jenkins 1995 Engel & Rogers 1996 Knetter 1997 Engel 1993 1999 Engel 1993 1999 Engel Engel 1 2 3 New Open Economy Macroeconomics NOEM Pricing to Market PTM 79
Betts & Kehoe 2006 2008 Engel 1999 Engel 1993 1999 1. Betts & Kehoe 2006 2008 rer t = ner t + p t - p * t = ner t + p T t - p T * rer T t + p T * t - p * t - p T t - p t rer N 2 Betts & Kehoe 2006 2008 Engel 1999 1 1 rer T rer N 2 1 Engel 1999 2 80
2011 7 1 0. 5 2. GDP GDP Deflator Consumer Price Index CPI GDP GDP CPI 2 Betts & Kehoe 2008 PPI CPI CPI PPI 67 1997 1 2010 9 IFS CEIC 3 WeightedTradePrice = IPI* IV + EPI* EV IV + EV 3 IPI Import Price Index EPI Export Price Index IV Import Volume EV Export Volume Burstein et al 2006 PPI 22 1997 1 2010 9 IFS 1 2 1 2 Betts & Kehoe 2006 Engel 1999 Betts & Kehoe 2006 Engel 1999 De Gregorio et al 1994 De Gregorio & Wolf 1994 Canzoneri et al 1996 Engel 1999 Personal Consumption Expenditure Deflator PCD CPI 3 Import and Export Price Index Import and Export Unit Values Burstein et al 2006 81
2000 2000 PPI PPI 1 1 2 1 2 3 4 / PPI 3 4 82 1
2011 7 3. MSE 1997 1 2010 9 1 2 1 PPI 2 MSE 1 1 1 PPI MSE MSE MSE 0. 071 0. 217 0. 038 0. 166 0. 175 0. 315 0. 587 0. 544 0. 340 0. 418 0. 374 0. 436 0. 111 0. 261 0. 260 0. 372 0. 418 0. 459 0. 039 0. 168 0. 197 0. 331 0. 555 0. 528 0. 068 0. 213 0. 032 0. 153 0. 074 0. 221 0. 369 0. 433 0. 768 0. 646 0. 064 0. 208 0. 018 0. 118 0. 688 0. 597 0. 081 0. 229 0. 287 0. 388 0. 031 0. 152 0. 488 0. 494 0. 196 0. 330 0. 044 0. 177 0. 038 0. 165 0. 200 0. 333 0. 546 0. 523 0. 174 0. 314 0. 257 0. 370 0. 280 0. 384 0. 054 0. 193 0. 577 0. 539 0. 143 0. 290 0. 055 0. 194 0. 041 0. 171 0. 437 0. 468 0. 268 0. 377 0. 027 0. 144 0. 306 0. 399 0. 096 0. 246 0. 032 0. 154 0. 065 0. 209 0. 137 0. 285 0. 041 0. 172 0. 105 0. 255 0. 269 0. 378 0. 297 0. 394 0. 167 0. 310 0. 193 0. 329 0. 324 0. 409 0. 392 0. 446 0. 062 0. 205 0. 204 0. 336 0. 063 0. 206 0. 265 0. 375 0. 041 0. 171 0. 258 0. 371 0. 215 0. 344 0. 067 0. 212 0. 033 0. 155 0. 616 0. 559 0. 074 0. 221 0. 348 0. 422 0. 288 0. 389 2 MSE MSE MSE 0. 218 0. 346 0. 273 0. 380 0. 396 0. 447 0. 470 0. 485 0. 466 0. 483 0. 531 0. 515 0. 262 0. 373 0. 251 0. 367 0. 229 0. 353 0. 170 0. 312 0. 163 0. 306 0. 198 0. 332 0. 252 0. 367 0. 527 0. 514 0. 536 0. 518 0. 308 0. 400 0. 331 0. 413 0. 385 0. 442 0. 241 0. 360 0. 302 0. 397 0. 424 0. 462 83
0. 5 PPI 66 59 21 18 3 4 0. 03 0. 18 0. 16 0. 31 PPI PPI 4. 22% 4% PPI Betts & Kehoe 2006 1 3 PPI MSE 60% 80% Engel 1999 90% 3 GDP PPI 0. 172 0. 165 0. 230 0. 147 0. 216 0. 147 0. 215 0. 236 0. 166 MSE 0. 288 0. 284 0. 322 0. 267 0. 326 0. 267 0. 325 0. 353 0. 283 0. 282 0. 275 0. 306 0. 279 0. 286 0. 298 0. 261 0. 092 0. 297 MSE 0. 379 0. 375 0. 396 0. 376 0. 384 0. 389 0. 367 0. 325 0. 389 25% 75% 84 1
2011 7 3 Betts & Kehoe 2008 GDP GDP / GDP GDP / GDP / 1 Betts & Kehoe 2006 3 Betts & Kehoe 2008 2 GDP GDP GDP 3 3 3 PPI PPI 4-2009 3 PPI - - - 2006 2007 2004 85
2007-2003 2009 2008 - Balassa 1964 Samuelson 1964 rer it = α + β bs it + γ rer T it + ε it 4 rer bs 1 rer T - β β > 0 - E ^β * rer it = α + β * bs it + ε it 5 var ^β * = var β + var = β + γ cov 槇 rer T it 槇 bs T it var 槇 bs T it Σ i t Σ i t rer 槇 T it bs 槇 T it > var β bs 槇 T 2 it rer 槇 T it = rer T it - rer it bs 槇 T it = bs T it - bs it 1 2 β β 34 1986 2008 PPI 86 1
2011 7 bs it A T / A NT = log A T * / A NT * A T A NT A T * A NT * OECD 2007 2007 5 1 5 4 γ = 1 2 4 rer it - rer T it = rer N it = α + β bs it + ε it 6 6 4 4 5 OLS 4 PPI 6 OLS 5 6 OLS OLS - PPI 1-2 - 87
4 OLS FE PPI OLS FE OLS FE 0. 218 0. 0978 ** 0. 0389 *** 0. 121 *** 0. 143 *** 0. 810 *** 0. 182 0. 043 0. 007 0. 023 0. 035 0. 072-1. 098 *** - 1. 067 *** - 0. 0799 *** - 0. 0258 ** 0. 0713 *** - 0. 192 *** 0. 092 0. 023 0. 004 0. 013 0. 014 0. 034 N 563 563 522 522 202 202 Adjusted R 2 0. 003 0. 675 0. 052 0. 358 0. 078 0. 804 AIC 2301. 900-1108. 800-1265. 300-1683. 100-134. 400-454. 600 BIC 2310. 600-1022. 200-1256. 800-1598. 000-127. 800-398. 400 5 * 10% * 5% *** 1% OECD 2007 OLS FE PPI OLS FE OLS FE - 0. 048 0. 043 0. 0373 *** 0. 105 *** 0. 114 *** 0. 724 *** 0. 202 0. 042 0. 009 0. 023 0. 037 0. 066-1. 213 *** - 1. 232 *** - 0. 0788 *** - 0. 015 0. 0752 *** - 0. 026 0. 092 0. 020 0. 004 0. 012 0. 013 0. 032 N 473 473 432 432 187 187 Adjusted R 2 0. 000 0. 699 0. 042 0. 433 0. 049 0. 810 AIC 1907. 100-998. 600-1048. 600-1438. 300-149. 700-461. 600 BIC 1915. 400-915. 400-1040. 500-1356. 900-143. 200-406. 700 4 - - 2006 1998 2005-1994 1998 2005 1993 1994 1997 1998 2004 2005 7 OLS 1 1 1986 1993-1 1994 2003 1998 2004 88
2011 7 2 1994 1997 3 1998 2004-4 2005 2008 2005 2008 6 OLS FE PPI OLS FE OLS FE - 1. 582 ** 0. 248 0. 0748 *** 0. 074 1. 173 *** 1. 033 *** 0. 632 0. 152 0. 025 0. 100 0. 284 0. 224 0. 953 ** - 0. 189-0. 107 *** - 0. 066-0. 690 *** - 0. 382 *** 0. 456 0. 165 0. 018 0. 109 0. 217 0. 017 N 90 90 90 90 35 35 Adjusted R 2 0. 066 0. 810 0. 091 0. 185 0. 567 0. 850 AIC 364. 800-170. 000-215. 200-245. 000-21. 706-32. 152 BIC 369. 800-130. 000-210. 200-205. 000-14. 290-21. 070 7 4 - PPI 1 2 3 4 5 6 7 8 1986 1993 1994 1997 1998 2004 2005 2008-0. 073 0. 0590* 0. 680* 0. 0827 *** 0. 268 0. 0378 *** - 0. 304-0. 0227 *** 0. 454 0. 030 0. 405 0. 019 0. 292 0. 010 0. 406 0. 008-1. 309 *** - 0. 0965 *** - 1. 324 *** - 0. 115 *** - 0. 983 *** - 0. 0663 *** - 1. 059 *** - 0. 0728 *** 0. 218 0. 013 0. 246 0. 011 0. 150 0. 005 0. 168 0. 003 N 83 71 107 95 238 228 135 128 Adjusted R 2 0. 000 0. 054 0. 026 0. 177 0. 004 0. 059 0. 004 0. 062 AIC 339. 000-114. 300 446. 400-200. 600 970. 700-614. 400 551. 000-492. 100 BIC 343. 800-109. 800 451. 800-195. 500 977. 700-607. 500 556. 900-486. 400 4 60% 80% 20% 40% 89
2011 - - - 2004 12 2006 No. C2006009 2006 7 2007 1978 2005-2 2007 5 2008-5 2009-4 2011 9 2003 Balassa B. 1964 The Purchasing Power Parity Doctrine A Reappraisal Journal of Political Economy Vol. 72 584 596. Betts C. M. and T. J. Kehoe 2006 U. S. Real Exchange Rate Fluctuations and Relative Price Fluctuations Journal of Monetary Economics Vol. 53 1297 1326. Betts C. M. and T. J. Kehoe 2008 Real Exchange Rate Movements and the Relative Price of Non-traded Goods Federal Reserve Bank of Minneapolis Research Department Staff Report 415. Burstein A. M. Eichenbaum and S. Rebelo 2006 The Importance of Nontradable Goods Prices in Cyclical Real Exchange Rate Fluctuations Japan and the World Economy Vol. 18 247 253. Canzoneri M. B. R. E. Cumby and B. Diba 1996 Relative Labor Productivity and the Real Exchange Rate in the Long Run Evidence for a Panel of OECD Countries NBER Working Paper no. 5676. De Gregorio J. A. Giovannini and H. C. Wolf 1994 International Evidence on Tradables and Nontradables Inflation European Economic Review Vol. 38 1225 44. De Gregorio J. and H. C. Wolf 1994 Terms of Trade Productivity and the Real Exchange Rate NBER Working Paper no. 4807. Engel C. 1993 Real Exchange Rates and Relative Prices-An Empirical Investigation Journal of Monetary Economics Vol. 32 35 50. Engel C. 1999 Accounting for U. S. Real Exchange Rate Changes Journal of Political Economy 107 507 538. 90 115
2011 7 Monetary Supply Excess and Its Effects to Inflation and Economic Growth after the Financial Crisis Ouyang Zhigang and Shi Huanping Economic and Management School East China Jiaotong University Abstract To measure the monetary supply excess and its nonlinear adjustment effects to inflation and economic growth this paper expands the existing model of money demand using threshold cointegration on the base of operating characteristics of monetary policy. Furthermore aiming at the conditions of money supply excess this paper reveals the shock effects of money supply excess to inflation and economic growth by setting generalized impulse response function. The results show that there is liquidity excess in China after 2009Q3 and the liquidity excess extent becomes bigger and bigger. At 2010Q3 the exless degree of M 1 and M 2 is 12. 56% and 11. 31% respectivdy. The monetary police can be divided into monetary supply insufficient regime and monetary supply excess regime. China is in the monetary supply excess regime from 2009Q3 to 2010Q3. The central bank carefully implements tightening monetary policy and the adjustment effects of monetary police are bigger in monetary supply excess regime. The shock effect of monetary supply excess to economic growth and inflation is positive in the first two years about and turns to negative in following 3 years about. Those results indicate that the loose monetary policy should withdraw from practice but the withdraw speed should not be too fast and the operation of monetary policy should be flexible. Key Words Monetary Supply Financial Crisis Nonlinear Adjustment Shock Effect JEL Classification C52 E42 90 Engel C. and J. H. Rogers 1996 How Wide is the Border American Economic Review Vol. 86 1112 1125. Knetter M. 1997 International Comparisons of Pricing-to-Market Behavior American Economic Review Vol. 83 473 486. Lapham B. J. 1995 A Dynamic General Equilibrium Analysis of Deviations from the Law of One Price Journal of Economic Dynamics and Control Vol. 19 1355 1389. Rogers J. H. and M. Jenkins 1995 Haircuts or Hysteresis Sources of Movements in Real Exchange Rates Journal of International Economics Vol. 38 339 360. Samuelson P. A. 1964 Theoretical Notes on Trade Problems Review of Economics and Statistics Vol. 46 147 154. Accounting for China's Real Exchange Rate Deviation from LOOP or Relative Price Fluctuation Xu Jianwei and Yang Panpan Beijing Normal University Abstract The paper decomposes RMB real exchange rate using data from January 1997 to September 2010 and the result shows that the deviation from law of one price of tradables accounts for 60% 80% of real exchange rate fluctuations while the relative prices of tradables and non-tradables only accounts for 20% 40%. This means that analysis of RMB real exchange rate will be more focused on the analysis of tradables instead of placing emphasis on the relative price changes of non-tradables. Further analysis reveals that the dominant role of the tradables is related with economic development stage. However the aforementioned conclusion does not signify that the traditional Balassa-Samuelson Effect is invalid. In fact when the deviation of law of one price has been controlled in the model the Balassa-Samuelson Effect still remains as a significant factor in China. But such effect plays a relatively minor role in comparison to the contribution of the deviation from law of one price of tradables. Key Words Real Exchange Rate Deviation of Law of One Price LOOP Balassa-Samuelson Theorem JEL Classification F31 F41 115