东盟五国通货膨胀的实证研究
摘要
通货膨胀是宏观经济中一个错综复杂的经济现象,也是发展中国家无法回避的问题。对于东盟国家,循环往复的通货膨胀不仅使整体经济遭受严重的破坏,而且还与债务危机和金融危机的发生密切相关,甚至导致某些国家多年的发展成果毁于一旦。本文在实证研究的基础上,对东盟五国(印尼、马来西亚、菲律宾、新加坡和泰国)1961—2008年之间的通货膨胀周期进行一个系统的研究和比较,试图找出隐藏在通货膨胀现象背后的深层经济矛盾。
论文首先通过Pooled Probit模型,检验了11种非货币因素对通货膨胀发生概率的贡献度,并探讨财政赤字对于通胀周期形成的影响。然后,利用多种时间序列结构性突变的检验方法,继续讨论通货膨胀的持续性,以及其结构性变化与货币政策制度之间的相关关系。通货膨胀之所以引人注目,就是因为它的发生,尤其是恶性通胀的发生会给社会造成巨大的福利损失。因此,作者利用消费者剩余法、标准MIU模型和现金优先模型,从三个不同角度测算东盟五国通货膨胀的福利成本,并以此为据,考察东盟国家所奉行的以温和通胀刺激经济发展战略的可行性。
在上文静态分析之后,论文最后一个部分通过建立结构向量自回归模型(SVAR),从动态角度模拟了通货膨胀与其它主要宏观经济变量,及其与货币政策之间的结构性关系。在该动态分析的基础上,作者进一步探讨货币政策当局的反通胀措施及其政策效果,利率政策与汇率政策的相互协调,以及央行独立性对于通胀治理的影响,试图为货币政策的制定提供若干理论上的依据。
在计量模型的基础上,本文首次将东盟五国作为一个整体来研究通货膨胀产生的原因、性质、福利损失、及其与货币政策的相互作用,增强了结果的客观性和具体性。对于东盟新兴市场国家的研究,不仅有利于我国借鉴和吸收东盟国家在通货膨胀治理上的经验和教训,而且对于双方经济合作的开展也有重要的现实意义。
The inflation is an intricate economic phenomenon in macroeconomics that is inevitable for developing countries. Cyclical inflations not only cause serious economical destruction to the ASEAN economies, but also closely related to the occurrences of debt and financial crises. Ultimately, it may destroy years of economical achievements of many countries. Based on the empirical studies, this thesis investigates all the inflation cycles from 1961 to 2008 of ASEAN-5 countries, namely Indonesia, Malaysia, Philippines, Singapore and Thailand, trying to find out the deep conflicts of macro-economics behind the inflation phonomenon.
In this thesis, we first examine the contribution rate of eleven non-monetary factors to the probability of inflation by using Pooled Probit model. Then, the influence of the government deficit to the form of inflation cycle is discussed. After that, the structural stability test with multiple regime shifts and Andrews' Sup-Wald test for a single structural break are employed to study inflation persistence and its structural shift. Furthermore, the correlativity between inflation dynamics and monetary policy regimes is examined. The reason for paying attention to the inflation is that it will cause great social welfare loss, especially when the hyperinflation happens. Thus, we estimate the welfare cost of inflation by consumer surplus approach, standard MIU model and cash-in-advance approach respectively. Moreover, the feasibility of the strategy adopted by the ASEAN-5 of stimulating the economy by moderate inflation is also investigated on the viewpoint of welfare.
Beside the static approaches used previously, we also build a Structural Vector Auto-regression (SVAR) model, trying to dynamically simulate the relationships between inflation and other main macroeconomic parameters and monetary policy. Based on this, further discussions are made for anti-inflation policies and their effects, the coordination of interest rate policies and exchange rate policies, and the impact of central bank's independence to inflation management. All these works provide an academic foundation for the adjustment of monetary policy.
The major contribution of this thesis is that we choose ASEAN-5 as a whole to study the reasons, properties, welfare loss and the correlations to monetary policy of inflation for the first time. Our work not only extends the researches of the ASEAN emerging market in china, but also gains many valuable references in fighting inflation. It is meaningful especially under the circumstance of the ever-increasing economic cooperation among China and ASEAN countries.
论文首先通过Pooled Probit模型,检验了11种非货币因素对通货膨胀发生概率的贡献度,并探讨财政赤字对于通胀周期形成的影响。然后,利用多种时间序列结构性突变的检验方法,继续讨论通货膨胀的持续性,以及其结构性变化与货币政策制度之间的相关关系。通货膨胀之所以引人注目,就是因为它的发生,尤其是恶性通胀的发生会给社会造成巨大的福利损失。因此,作者利用消费者剩余法、标准MIU模型和现金优先模型,从三个不同角度测算东盟五国通货膨胀的福利成本,并以此为据,考察东盟国家所奉行的以温和通胀刺激经济发展战略的可行性。
在上文静态分析之后,论文最后一个部分通过建立结构向量自回归模型(SVAR),从动态角度模拟了通货膨胀与其它主要宏观经济变量,及其与货币政策之间的结构性关系。在该动态分析的基础上,作者进一步探讨货币政策当局的反通胀措施及其政策效果,利率政策与汇率政策的相互协调,以及央行独立性对于通胀治理的影响,试图为货币政策的制定提供若干理论上的依据。
在计量模型的基础上,本文首次将东盟五国作为一个整体来研究通货膨胀产生的原因、性质、福利损失、及其与货币政策的相互作用,增强了结果的客观性和具体性。对于东盟新兴市场国家的研究,不仅有利于我国借鉴和吸收东盟国家在通货膨胀治理上的经验和教训,而且对于双方经济合作的开展也有重要的现实意义。
The inflation is an intricate economic phenomenon in macroeconomics that is inevitable for developing countries. Cyclical inflations not only cause serious economical destruction to the ASEAN economies, but also closely related to the occurrences of debt and financial crises. Ultimately, it may destroy years of economical achievements of many countries. Based on the empirical studies, this thesis investigates all the inflation cycles from 1961 to 2008 of ASEAN-5 countries, namely Indonesia, Malaysia, Philippines, Singapore and Thailand, trying to find out the deep conflicts of macro-economics behind the inflation phonomenon.
In this thesis, we first examine the contribution rate of eleven non-monetary factors to the probability of inflation by using Pooled Probit model. Then, the influence of the government deficit to the form of inflation cycle is discussed. After that, the structural stability test with multiple regime shifts and Andrews' Sup-Wald test for a single structural break are employed to study inflation persistence and its structural shift. Furthermore, the correlativity between inflation dynamics and monetary policy regimes is examined. The reason for paying attention to the inflation is that it will cause great social welfare loss, especially when the hyperinflation happens. Thus, we estimate the welfare cost of inflation by consumer surplus approach, standard MIU model and cash-in-advance approach respectively. Moreover, the feasibility of the strategy adopted by the ASEAN-5 of stimulating the economy by moderate inflation is also investigated on the viewpoint of welfare.
Beside the static approaches used previously, we also build a Structural Vector Auto-regression (SVAR) model, trying to dynamically simulate the relationships between inflation and other main macroeconomic parameters and monetary policy. Based on this, further discussions are made for anti-inflation policies and their effects, the coordination of interest rate policies and exchange rate policies, and the impact of central bank's independence to inflation management. All these works provide an academic foundation for the adjustment of monetary policy.
The major contribution of this thesis is that we choose ASEAN-5 as a whole to study the reasons, properties, welfare loss and the correlations to monetary policy of inflation for the first time. Our work not only extends the researches of the ASEAN emerging market in china, but also gains many valuable references in fighting inflation. It is meaningful especially under the circumstance of the ever-increasing economic cooperation among China and ASEAN countries.
引文
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