中国CPI通胀短期波动与长期均衡分时协整检验

发布时间：2018-11-19 18:52

【摘要】：近期CPI价格较快上涨触动社会居民对通货膨胀风险的心理防线,防止价格水平上涨成为今后宏观经济政策的重要任务。运用分时协整方法探讨CPI通胀短期波动与长期均衡的路径特征,可发现1990年以来CPI滞后项对通货膨胀影响趋于显著,通货膨胀惯性增强。市场主体在通货紧缩时期的预期方式是前瞻性预期强于后向预期,通货膨胀时期预期以后向为主。财政支出在通货膨胀时期抑制价格上涨,在通货紧缩期间有助于扭转CPI下降。农产品期货价格与股票价格指数对CPI通胀的正向影响渐趋清晰,房地产价格上涨产生抑制CPI通胀的"转移效应"。通货膨胀率上涨期间总贷款、净出口和通货膨胀惯性是主要推动因素,不过加入包括农产品期货价格、房地产价格、股票价格指数和工业品出厂价格的方程对CPI波动解释力更强,供给冲击成为近期彰显的通货膨胀因素。通货膨胀新的特征警示货币信贷管理需要创新政策工具并采取更多前瞻性措施。
[Abstract]:The recent rapid price rise of CPI has touched the psychological defense of social residents on inflation risk and preventing price level from rising has become an important task of macroeconomic policy in the future. By using time-sharing cointegration method, the path characteristics of short-term fluctuation and long-term equilibrium of CPI inflation are discussed. It is found that the influence of CPI lag term on inflation tends to be significant and inflation inertia increases since 1990. The expectation of market main body in deflationary period is that the prospective expectation is stronger than the backward expectation, and that in the inflation period the backward expectation is the main one. Fiscal spending stifles price rises in times of inflation and helps reverse CPI declines during deflation. The positive effect of agricultural futures price and stock price index on CPI inflation is becoming clear, and real estate price rise has a "transfer effect" to restrain CPI inflation. Total loans, net exports and inflation inertia were the main drivers during the inflation rate rise, but the inclusion included agricultural futures prices, real estate prices, The equation of stock price index and industrial product ex-factory price is more powerful to explain the fluctuation of CPI, and the supply shock has become the inflation factor recently. New features of inflation warn of the need for monetary credit management to innovate policy tools and take more forward-looking measures.
【作者单位】：厦门大学经济学院;
【基金】：国家统计局全国统计学科研究计划重点项目(2009LZ045)
【分类号】：F726;F822.5;F224

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