中国通货膨胀动态特征变化研究

发布时间：2018-01-02 13:12

本文关键词：中国通货膨胀动态特征变化研究　出处：《安徽大学》2017年硕士论文　论文类型：学位论文

【摘要】：本文基于1995年1月至2015年12月间CPI月度同比数据,利用ARMA+GARCH模型将通货膨胀惯性、通货膨胀波动集聚性和通货膨胀时变性纳入统一分析框架,对中国通货膨胀的动态特征时变性的特点、原因及机制进行了研究。本文研究的逻辑和技术路线是:(1)利用描述性统计分析和时差相关分析对通货膨胀的动态特征进行初步识别,判断是否存在显著惯性特征和趋势变化,并利用包括ADF、PP、KPSS和ZA等多种单位根检验方法对样本序列进行平稳性检验;(2)利用逐步回归方法,以拟合优度、AIC、SIC和HQ信息准则为标准,对ARMA模型结构进行了识别,并基于识别出的ARMA模型结构引入了趋势突变项、截距突变项和GARCH模型;(3)根据识别出的ARMA+GARCH模型以及截距项和趋势项突变特征,在ARMA+GARCH模型中引入内生结构断点,在此基础上分析了通货膨胀截距项和趋势项的变化形式和强度,并采用多种正态性检验方法检验了 ARMA+GARCH模型的残差,给出了中国通货膨胀及其时变性的特征事实;(4)以1996年至2015年间通货膨胀趋势时变性为出发点,利用由HP滤波估计得到的中国产出波动、消费需求波动、投资需求波动、国际需求波动及劳动平均产出波动等指标以及中国货币发行等共26个指标,对中国通货膨胀目标及趋势水平时变性形成的原因和机制进行了深入探讨。本文研究的主要结论有:(1)中国通货膨胀存在惯性,在给定的通胀目标水平下,通货膨胀最终收敛至其长期趋势水平;(2)中国通货膨胀目标及趋势存在显著时变性,时变性呈现出明显震荡特征,震荡幅度逐渐增强;(3)以活期存款为主的交易性货币量增速变化是中国通货膨胀目标及趋势变化的主要原因,但并非唯一原因;(4)一般价格水平、产出波动、消费需求波动、投资需求波动及国际需求波动等是中国交易性货币增速变化的主要原因。本文的研究还包含了需要进一步加以论证的结论:(1)货币部门和金融部门中大规模金融资产构成的"货币沼泽"正在扮演"影子中央银行的作用",通过非交易性资产和交易性货币之间的转换影响实体部门和非实体部门货币结构及规模;(2)与此同时,长期货币加速超速使得货币规模不断扩大,"影子中央银行"对经济活动的影响力不断增强;(3)而中央银行为了应对不断增强的"影子中央银行"对市场的扰动,需要依靠更大规模和强度的货币力量进行对冲,进而增强了"影子中央银行"未来扰动经济的能力,进而导致了不断增强的"震荡"特征的出现。
[Abstract]:From January 1995 to December 2015 this year monthly data based on CPI, using ARMA+GARCH model of inflation inertia, a unified analysis framework into inflation volatility clustering and variability of inflation, the time-varying dynamic characteristics of Chinese inflation, cause and mechanism was studied. The logic of this paper and the technical route is: (1) the dynamic characteristics of the inflation correlation analysis by using descriptive statistical analysis and the time difference was preliminarily identified, to determine whether there is significant variation characteristics and trend of inertia, and by including ADF, PP, KPSS and ZA etc. the unit root test of stationarity test on the sample sequence; (2) using the stepwise regression method, with the goodness of fit, AIC, SIC and the HQ information criterion as the standard, the structure of ARMA model are identified, and the structure of ARMA model is introduced based on the identified trend mutation, mutation intercept term And the GARCH model; (3) according to the identified ARMA+GARCH model as well as the intercept and trend mutation characteristics, structural breakpoints to introduce in the ARMA+GARCH model, based on the analysis of the change of form and intensity of inflation intercept and trend, and the use of a variety of normality test method to test the residual ARMA+GARCH model. Given the fact China characteristics of inflation and its variability; (4) for the period from 1996 to 2015 time-varying inflation trend as the starting point, using the estimated volatility China output obtained by HP filtering, demand fluctuation, investment demand fluctuation, international labor demand fluctuation and average output volatility index and China currency issued a total of 26 on the index, the causes and mechanism of formation and degeneration of Chinese inflation target level trend is discussed. The main conclusions of this study are: (1) China inflation There is inflation inertia, at a given level of inflation target, inflation converges to its long-run trend; (2) China inflation target and the trend of significant variability, variability shows obvious characteristics of the shock, the shock amplitude gradually increased; (3) the transaction currency amount to the change in the growth rate of demand deposits is the main the reason Chinese inflation target and trend, but is not the only reason; (4) the general price level, the fluctuation of output, consumption demand, investment demand fluctuation and the fluctuation of international demand is the main reason Chinese trading currency growth change. This study also includes the need of further demonstration of the conclusions: (1) a large scale of financial assets and the financial sector in the monetary sector "currency" shadow swamp "is playing the role of the central bank, through the conversion between non trading assets and trading currency. Ring structure and scale of real sector and non monetary sectors; (2) at the same time, accelerate the long-term monetary speeding makes currency continues to expand the scale of the "shadow central bank" on economic activity increasing influence; (3) and the central bank to deal with the disturbance rising "shadow on the market, the central bank needs to rely on more large scale and the strength of the currency strength hedge, thereby enhancing the" shadow of the central bank "future economic disturbance ability, which leads to the increasing" shock "characteristics.

【学位授予单位】：安徽大学
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：F822.5

【参考文献】