我国通货膨胀运动阶段的非线性平滑转换

发布时间：2018-03-31 16:14

本文选题：通货膨胀　切入点：C-STAR模型　出处：《统计研究》2012年03期

【摘要】：本文分别构建了两、三以及四机制C-STAR模型来研究我国通货膨胀的非线性运动特征。实证结果表明:我国通胀率是平稳的非线性均值回归过程,依据三机制模型划分的通缩、通缩-通胀中间态以及通胀的三阶段能很好地刻画我国通货膨胀的运动特点;但是把我国通货膨胀率划分为通缩、通胀适中、温和通胀和高通胀的四阶段能进一步提高模型的解释与拟合能力。我们详细阐述了通货膨胀在不同阶段的转换特点以及持久性与不确定性特征,发现通货膨胀的持久性与不确定性成反向非线性关系,与水平值的大小没有必然联系。在温和通胀阶段,其持久性最强,不确定性最小;在通胀适中阶段,其持久性最弱,不确定性最大。另外,温和通胀阶段也是最优通胀目标区间,为了保持经济的稳定增长,央行应把通货膨胀率控制在该区间内。最后,本文给出了实证结果所蕴含的政策涵义。
[Abstract]:In this paper, two, three and four mechanism C-STAR models are constructed to study the nonlinear motion characteristics of inflation in China.The empirical results show that the inflation rate in China is a stable nonlinear mean regression process. Deflation, deflation-inflation intermediate state and three stages of inflation can well depict the movement characteristics of China's inflation according to the three-mechanism model.However, the four stages of dividing the inflation rate into deflation, moderate inflation, moderate inflation and high inflation can further improve the interpretation and fitting ability of the model.We expound in detail the transition characteristics of inflation in different stages as well as the characteristics of persistence and uncertainty. We find that the persistence and uncertainty of inflation are inversely nonlinear and have no certain relation with the magnitude of horizontal value.In the moderate inflation stage, its persistence is the strongest and the uncertainty is the least; in the moderate inflation stage, it is the weakest and the most uncertain.In addition, moderate inflation is also the optimal inflation target range, in order to maintain stable economic growth, the central bank should keep inflation rate within that range.Finally, this paper gives the policy implications of the empirical results.
【作者单位】：山东大学经济研究院;国家统计局统计科学研究所;
【基金】：山东大学自主创新项目(2011GN025) 山东省博士后项目(201103064)的资助
【分类号】：F224;F822.5

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