中国通货膨胀动态研究

发布时间：2018-03-27 21:39

本文选题：经济转型　切入点：通货膨胀动态　出处：《华侨大学》2014年博士论文

【摘要】：当前，中国经济发展正处于关键的转型时期，经济发展已经从快速增长阶段进入到提质增效阶段，转型的主要内容是使市场在资源配置中起决定性作用。顺利实现经济转型，必须使得经济运行平稳并处在合理区间，区间“上限”是防范通货膨胀，“下限”是稳增长、保就业。通货膨胀是否会突破上限，，什么因素会使其产生这种结构性转变？这是摆在我们面前亟待解决的课题。由于双轨制的矛盾和摩擦，处于转型期的经济体很可能出现价格体系扭曲和结构性通货膨胀，那么我国价格体系内的区域或部门价格波动究竟受到什么因素的冲击？如果采取货币政策进行通胀防范，则必须理清通货膨胀和部门价格对各种冲击的反应速度。这是货币政策是否有效的关键。本文以转型期的中国为背景，分析影响通货膨胀率区制转移和分类价格指数波动的各种冲击，并研究通胀率和部门价格面对这些冲击的反应速度（即通胀惯性和部门价格粘性），为政府制定有效政策方案提供依据。具体研究内容如下：首先，尝试采用Markov区制转移模型族来描述和分析通货膨胀路径的动态属性。先比较传统单变量MS模型与隐藏信息的时变MS模型（MSLI模型）拟合通胀过程的效果，发现通货膨胀中存在隐藏信息，能为中国通胀周期的识别与预测提供信息；然后利用包含通胀和货币供给量两个变量的多重链MS模型，观察货币供给所处的区制状态对通胀所处的区制状态的影响；最后构建MS-SVAR模型，发现除了货币供给变化，货币政策的目标体系的变化也会影响到通胀的区制变化。第二，用偏离份额分析法将我国区域、部门CPI指数波动来源分解为共同冲击、特质冲击等冲击，并揭示这些冲击对区域、部门CPI指数波动的相对重要性，发现地区、部门CPI指数波动的来源大部分来自特质冲击，只有占可支配收入最大比重的食品类和家用电器类价格波动来自共同冲击。第三，为了刻画通货膨胀惯性，将导致通货膨胀率发生结构性转变的宏观经济冲击和货币供给冲击引入到两个满足预留现金约束的动态随机一般均衡模型中，一个强调货币外生，另一个引入货币内生机制，重点刻画在这两个模型框架下受到技术冲击、货币冲击时我国的通货膨胀惯性，检验货币内生是否会影响通货膨胀惯性程度。对部分关键参数和待检验参数采用贝叶斯估计的方法，提高了参数估计结果的可信度。结果表明，货币内生CIA模型优于标准CIA模型，表明中国存在货币内生机制。进一步研究发现，通货膨胀惯性主要来源于货币供给惯性。第四，为了捕捉部门价格粘性，利用因子增广的向量自回归（FAVAR）模型将中国32个细分部门价格指数的变动分解为“共同冲击”和“特质冲击”，描绘部门价格对共同冲击、特质冲击、数量型货币政策冲击和价格型货币政策冲击的动态调整路径及其异质性。引入中间投入品效应、劳动力市场分割效应与货币内在效用假设，产生的传导机制使得DSGE模型能较好地匹配FAVAR模型得出的经验事实。结果显示，在总体冲击和货币冲击下部门价格表现粘性，而在部门特质冲击下部门价格表现弹性；数量型调控模式下部门价格响应速度较快，且异质性程度较大，而价格型调控模式下则相反。
[Abstract]:At present, China economic development is at a critical transition period, economic development has entered the phase of rapid growth to the quality and efficiency of the transformation stage, main content is to make the market play a decisive role in the allocation of resources. The successful economic transformation, we must make steady and economic operation in a reasonable range, interval "cap" is to prevent inflation. The lower limit is the steady growth, security of employment. Inflation will break through the ceiling, what factors will cause the structural change? This is before us an urgent problem to be solved. Due to the double contradictions and frictions in transition economies is likely to distort the price system and structural inflation, so regional or the Department of price system of our country in the price fluctuations by what factors impact? If the monetary policy to prevent inflation, currency must be clear The speed of expansion and the response of department prices to various shocks. This is the key to the effectiveness of monetary policy.
Based on the background of the transition period China, analysis of the impact of various inflation regime shifts and classification price index volatility, reaction speed and study the inflation rate and the price department in the face of these shocks (i.e. inflation inertia and sector price stickiness), provide the basis for the government to formulate effective policies and programs. The specific contents are as follows:
First, try to use the Markov regime switching model to describe and analyze the dynamic properties of inflation path. First compare the traditional univariate MS model and the hidden information time-varying MS model (MSLI model) fitting inflation process effect, found hidden information inflation, can Chinese inflation cycle recognition and prediction information; then multiple chain MS model by including inflation and money supply two variables, influence of state regime observation at the money supply on inflation; finally, constructing MS-SVAR model, found that in addition to the money supply change, change of target system of monetary policy will also affect the regime change to inflation.
Second, the China region using the shift share analysis method, CPI index fluctuation source decomposition for common shocks, such as the impact of characteristics of impact, and reveal the impact on the region, the relative importance of CPI index volatility found source area, Department CPI index fluctuations from most of the impact characteristics, only the disposable income accounted for the largest proportion of food and household appliances price fluctuations from common shocks.
Third, in order to characterize the inertia of inflation, the inflation rate will lead to macroeconomic shocks, structural changes and the impact of money supply is introduced to meet the two dynamic stochastic general equilibrium model of cash reserve constraints, an emphasis on monetary exogenous, another into monetary endogenous mechanism, mainly characterized by technology shocks in the two model framework under the inflation inertia of China's monetary shocks, monetary endogenous test will affect the degree of inflation inertia. Some key parameters to be tested and the parameters by using the method of Bias estimation, improves the parameter estimation of the reliability of the results. The results show that the monetary endogenous CIA model is better than the standard CIA model shows that there Chinese monetary endogenous mechanism. The further study found that the main source of money supply on inflation inertia inertia.
Fourth, in order to capture the Department of price stickiness, using vector factor augmented autoregressive (FAVAR) model China 32 segments, the change of price index is decomposed into "common shocks" and "idiosyncratic shock", depicting the characteristics of sector prices of common shocks, impact, dynamic adjustment path of quantitative monetary policy shocks and price based monetary policy the impact of the introduction of products and heterogeneity. The effect of intermediate inputs, labor market segmentation effect and monetary intrinsic utility hypothesis, empirical fact transmission mechanism makes the DSGE model can better match the FAVAR model. The results show that in general and monetary shocks under the Department of price stickiness, while in the Department department under the impact of price performance characteristics elastic; quantity control mode the price department responds quickly, and the degree of heterogeneity is larger, and the price regulation mode is the opposite.

【学位授予单位】：华侨大学
【学位级别】：博士
【学位授予年份】：2014
【分类号】：F822.5

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