中国核心通货膨胀的估计——基于贝叶斯Gibbs Sampler状态空间模型

发布时间：2018-05-11 16:23

本文选题：贝叶斯Gibbs + Sampler　；参考：《经济评论》2011年05期

【摘要】：观测到的通货膨胀可以分解为趋势成分和暂时成分,其中的趋势成分即核心通货膨胀。准确度量核心通货膨胀对宏观经济政策的制定和经济形势的判断有重要意义。本文首先建立了估计核心通货膨胀的状态空间模型,然后将贝叶斯Gibbs Sampler方法应用于估计该状态空间模型的参数,以克服卡尔曼滤波的缺陷。本文估计了1991-2010年的核心CPI,结果表明估计的核心CPI很好地反映了货币政策的变化,同CPI相比,核心CPI有较小的波动性并且与货币供给增长率具有更强的相关性。由此得出结论,当前只要食品价格不出现持续的大幅上涨,同时继续保持稳健的货币政策,中国就不会出现严重的通货膨胀,即使个别食品价格上涨造成CPI上涨也必然是不可持续的。
[Abstract]:Observed inflation can be broken down into trend components and temporary components, the trend component of which is core inflation. Accuracy measurement of core inflation is of great significance to macroeconomic policy making and economic situation judgment. In this paper, a state space model for estimating core inflation is established, and then Bayesian Gibbs Sampler method is applied to estimate the parameters of the state space model to overcome the shortcomings of Kalman filter. This paper estimates the core CPI from 1991 to 2010. The results show that the core CPI well reflects the change of monetary policy. Compared with CPI, the core CPI has lower volatility and stronger correlation with the growth rate of money supply. It is concluded that as long as there is no sustained and substantial increase in food prices while maintaining a sound monetary policy, there will be no serious inflation in China. Even a rise in individual food prices that results in CPI increases is necessarily unsustainable.
【作者单位】：华侨大学数量经济研究院;
【基金】：国家社科基金重点项目“转变经济增长方式的理论与政策研究”(项目编号:10AJL004) 教育部人文社科青年基金项目“我国通货膨胀持久性及其宏观经济效应研究”(项目编号:10YJC790221) 福建省自然科学基金“供给冲击对我国价格水平的动态影响研究”(项目编号:2009J01312) 华侨大学“中央高校基本科研业务费”国家自然科学基金培育计划专项项目(项目编号:JB-ZR1135)的资助
【分类号】：F822.5;F224

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