通货膨胀预期的异质性与动态过程

发布时间：2017-12-31 01:02

本文关键词：通货膨胀预期的异质性与动态过程　出处：《华侨大学》2013年硕士论文　论文类型：学位论文

【摘要】：本文主要对于通货膨胀预期的异质性与动态更新过程进行实证研究。对于异质性来说主要将群体划分成了一般居民与专家两个群体，比较了两个群体的通胀预期。我们发现一般居民与专家的通胀预期存在一定的异质性。专家的预期相比于一般居民的预期更加接近实际的通货膨胀。针对一般居民的通胀预期更新的过程，我们从信号抽离的角度建立了一个贝叶斯状态空间模型(Bayesian State Space Model)，将一般居民的预期与专家的预期联系起来。在国内对于通胀预期的研究中，本文首次尝试将国内媒体报道的影响纳入我国一般居民通货膨胀预期形成的动态模型中，，并使用Gibbs sampling algorithm对模型进行了估计，得到了一些有意义的结论：(1)一般居民的通胀预期更新随着时间发生动态的调整；(2)一般居民的通胀预期受到媒体报道强度的影响；(3)更多的媒体报道，即更多的信息，有助于居民形成更加准确的通胀预期。
[Abstract]:This paper mainly focuses on the heterogeneity of inflation expectations and the process of dynamic renewal. For heterogeneity, the population is divided into two groups: general residents and experts. This paper compares the inflation expectations of the two groups. We find that there is a certain heterogeneity between the inflation expectations of the average resident and that of the expert. The expectation of the expert is closer to the actual inflation than that of the average resident. The process of updating inflation expectations for the general population. We establish a Bayesian State Space Model from the angle of signal extraction. Link the expectations of the average resident with the expectations of the experts. In the domestic study of inflation expectations. For the first time, this paper attempts to incorporate the impact of domestic media reports into the dynamic model of inflation expectations of the general population in China. Gibbs sampling algorithm is used to estimate the model. Some meaningful conclusions are obtained: (1) the average resident's inflation expectation is updated and adjusted dynamically over time; (2) the inflation expectations of the general population are affected by the intensity of media coverage; More media coverage, that is, more information, helps residents form more accurate inflation expectations.
【学位授予单位】：华侨大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F822.5;F224

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