我国通胀预期与通胀的动态关联性——基于宏观金融模型的研究

发布时间：2018-03-16 20:32

本文选题：仿射无套利　切入点：宏观因子　出处：《中国管理科学》2014年11期 　论文类型：期刊论文

【摘要】：通胀预期问题已成为当前和下一阶段我国经济发展中必须关注的问题。本文对我国不同期限国债的名义和实际收益建立了含有宏观因子和潜在因子的仿射无套利模型,从通胀补偿中分解出了通胀预期。研究认为:分解出的短期和中期通胀预期与通胀率的动态关联性较强,而长期通胀预期和通胀率的动态关联性较弱;各期限通胀预期都不是理性预期,但中期和长期预期是适应性预期;发现CPI是影响通胀预期的最重要因素,其影响效果随着期限增加而增大;存款利率对通胀预期的影响效果次之,对短期和中期预期有正向影响,且随期限增加而减小,对长期预期有负向影响,且随期限增加而增大;但M2对通胀预期的影响并不显著;短期和中期通胀预期的事前和事后预测能力都优于央行调查预期。
[Abstract]:The problem of inflation expectation has become a problem that must be paid attention to in the current and next stage of China's economic development. In this paper, an affine arbitrage model with macro factor and potential factor is established for the nominal and actual income of China's national debt with different maturities. It is concluded that the short and medium term inflation expectations are strongly correlated with the inflation rate, while the long-term inflation expectations have a weak dynamic correlation with the inflation rate. The term inflation expectations are not rational expectations, but the medium and long term expectations are adaptive expectations. It is found that CPI is the most important factor affecting inflation expectations, and its effect increases with the increase of term. The effect of deposit interest rate on inflation expectation is the second, and it has positive effect on short-term and medium-term expectation, and decreases with the increase of term, and has negative effect on long-term expectation, and increases with the increase of term, but M2 has no significant effect on inflation expectation. Both short- and medium-term inflation expectations are better than the central bank's survey forecasts, both ex ante and ex post.
【作者单位】：东北财经大学数学与数量经济学院;山西大同大学数学与计算机科学学院;
【基金】：国家自然科学基金资助项目(71273044) 教育部人文社科一般项目(09YJA790028) 辽宁省创新团队项目(2008T054)
【分类号】：F822.5;F224

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