我国通货膨胀路径中的结构性变化与非线性调整——基于TV-STAR模型的实证分析

发布时间：2018-12-18 08:16

【摘要】：本文使用TV-STAR模型研究发现,我国通货膨胀路径中结构性变化与非线性共存。结构性变化发生在1995年左右,结构性变化前的通货膨胀路径中存在高、低两个均衡点,结构性变化后的通货膨胀路径中存在唯一均衡点,但通货膨胀的持久性较变化前有较大幅度上升。同时发现通货膨胀与通货紧缩的非线性调整具有明显的非对称性,其临界值为4.091。基于广义脉冲响应函数发现,结构性变化后,我国通货膨胀对外来冲击的反应幅度下降,但反应速度上升。另外,正、负向冲击对通货膨胀的影响存在明显的非线性和非对称性。在多数情况下,正向冲击的影响更大,也更持久。在短期内,通货膨胀机制下的冲击影响要明显强于在通货紧缩机制下,但从长期来开,通货紧缩机制下的冲击影响更持久。在结构性变化之后,这种冲击的非对称效应也更明显。
[Abstract]:In this paper, we use the TV-STAR model to find that structural changes and nonlinearity coexist in the inflation path in China. The structural change occurred around 1995. There are two equilibrium points in the inflation path before the structural change, namely, the high and the low equilibrium points, and the unique equilibrium point in the inflation path after the structural change. But the persistence of inflation is much higher than before. At the same time, the nonlinear adjustment of inflation and deflation has obvious asymmetry, its critical value is 4. 091. Based on the generalized impulse response function, it is found that after structural changes, the response amplitude of inflation to external shocks decreases, but the reaction speed increases. In addition, the influence of positive and negative shocks on inflation has obvious nonlinearity and asymmetry. In most cases, the impact of positive shocks is greater and more lasting. In the short term, the impact of inflation mechanism is obviously stronger than that of deflation mechanism, but in the long run, the impact of deflation mechanism is more lasting. After structural changes, the asymmetric effect of this shock is more obvious.
【作者单位】：山东大学经济研究院;
【基金】：山东大学自主创新项目“非参数、半参数方法在短期利率建模中的应用”(2011GN025) 山东省博士后项目“半参数方法在我国短期利率动态建模中的应用”(201103064)的资助
【分类号】：F822.5;F224

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