中国通货膨胀率子成分惯性特征及其政策启示

发布时间：2018-05-26 11:27

本文选题：通货膨胀惯性 + ARFIMA模型　；参考：《华东师范大学学报(哲学社会科学版)》2012年04期

【摘要】：在应用ARFIMA模型拟合CPI八大分类通货膨胀率时间序列基础上,采用脉冲响应函数测度我国八大类子成分的通货膨胀惯性,结果发现,CPI八大类子成分时间序列并不是一阶单整或者平稳过程,而是分数差分过程;CPI八大类子成分通货膨胀惯性特征与总体CPI表现不同。这意味着CPI各大类子成分在受冲击后持续时间长短不一,货币政策对各自的影响存在明显差异;值得警惕的是,由于食品类存在权重高和惯性大的双重因素,一旦其价格上升,无疑将给总体CPI带来较大压力。因此,货币当局在研究和制定反通货膨胀政策时不仅要关注总体的通货膨胀惯性特征,而且需要考虑CPI八大类子成分的惯性差别,有针对性地抑制推动通货膨胀的不利因素。
[Abstract]:On the basis of applying ARFIMA model to fit the time series of eight categories of inflation rate of CPI, the impulse response function is used to measure the inflation inertia of eight subcategories of China. The results show that the time series of eight subcomponents of CPI is not a one-order integral or stationary process, but a fractional difference process. The characteristics of inflation inertia of the eight subcomponents of CPI are different from that of total CPI. This means that the duration of each subcategory of the CPI is different and the impact of monetary policy on each subcategory is significantly different. It is worth noting that, because of the heavy weight and inertia of the food category, once its price rises, There is no doubt that the overall CPI will bring greater pressure. Therefore, when the monetary authorities study and formulate anti-inflation policies, they should not only pay attention to the inertial characteristics of the overall inflation, but also consider the inertia differences of the eight subcategories of CPI, so as to restrain the adverse factors that promote inflation.
【作者单位】：华侨大学经济与金融学院;中国社科院理论经济博士后流动站;
【基金】：国家社科基金青年项目(11CJY104) 教育部人文社会科学青年基金项目(10YJC790221) 全国统计科学研究计划一般项目(2010LC38) 中国博士后科学基金面上项目(2012M510653) 福建省高等学校杰出青年科研人才培育计划资助项目(11FJPY04)的阶段性研究成果
【分类号】：F822.5;F224

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