开放经济条件下通货膨胀动态特征及成因识别研究

发布时间：2018-05-31 17:12

本文选题：通货膨胀粘性 + 通货膨胀预期　；参考：《吉林大学》2015年博士论文

【摘要】：通货膨胀，一直是各国不同经济部门关注的热点问题，治理通货膨胀更是当前我国经济政策关注的焦点。对于中央银行而言，通货膨胀是其调控宏观经济，制定宏观经济政策所参考的主要指标，所以全面准确的掌握通货膨胀的动态特征及其成因特点，对于其有针对性的制定货币政策，较好地调控宏观经济具有现实意义；对于消费者而言，详细了解开放经济条件下通货膨胀动态特征及成因特点，有助于消费者把握通货膨胀的运动规律，引导公众对未来的价格水平变动有一个合理的预期，进而可以改进经济政策的调控效果，达到降低通胀水平、减少产出波动以及促进经济快速发展的政策目标；对于企业而言，掌握通货膨胀的变动规律、波动特点及形成原因，对于其调整企业生产产量以及产品价格具有前瞻性的效果，避免受到通货膨胀的影响，对其生产及利润产生较大的影响。与此同时，从通货膨胀的视角来对我国的货币政策进行刻画，具有切实可行的参考价值。基于以上考虑，本文从下面几个方面对文章进行展开，并给出相应的结论。（1）使用最小二乘估计、中值无偏估计以及格点自举方法，对我国总通货膨胀粘性以及构成CPI通货膨胀的八大类子成分的粘性大小进行测度；并使用Bai-Perron所提出的多重结构转折点检验方法，估计了各变量样本期内的转折点个数及转折时间。各变量具有不同的粘性特征以及转折点。在其基础上构建开放经济条件下的动态随机一般均衡模型（DSGE），对于通货膨胀粘性的来源分别从价格粘性，以及工资粘性的角度给予刻画。并给出了粘性大小的调整，对货币政策执行效果的影响。粘性的存在往往使得货币政策具有实际效应，即对实际变量的影响更加显著，而粘性的存在却阻碍了其对名义变量的调控。同时，考虑一国经济开放度的变化，，对于货币政策效果的影响。开放度的提高使得货币政策的调控效果收窄。（2）总结当前国内外对通货膨胀预期指标的测量方法，采用变参数状态空间模型对我国的通货膨胀预期序列进行估计。进而使用ESTAR模型对估计所得的通货膨胀预期的非对称性特征进行刻画。给出国际上对异质性预期、高阶预期以及协调预期方法的研究概述；在其基础上对我国的前瞻性货币政策规则与通货膨胀预期管理之间的短期及长期关系进行计量研究。通过Granger因果关系检验方法，判断我国货币政策是否已经较好地锚定通货膨胀预期。并从波动率的角度，使用BEKK-GARCH模型对通胀预期与货币供给量以及汇率之间的短期波动溢出关系进行阐述。通货膨胀预期对于货币增长率不存在波动溢出效应，而货币增长对通货膨胀预期存在着显著的波动溢出效应。（3）采用HP滤波法、加权中位数法以及SVAR方法对我国的核心通货膨胀进行估计。通过对比，选择最能够代表我国通货膨胀长期趋势的结果，进行进一步的研究。综合考虑，加权中位数法在各方面的权衡结果最有代表性。基于此建立马尔科夫区制转移向量自回归模型（即MS-VAR模型），从核心通货膨胀的视角研究了我国经济是否存在区制转移效应，以及不同通货膨胀区制下的货币政策特点。研究不同区制下核心通货膨胀持续性，变量之间的同期相关系数特点，以及不同区制上货币政策以及汇率政策冲击对于经济变量的影响效果差异比较。低通货膨胀区制的持续概率为0.8881，高通货膨胀区制的持续概率为0.9304，所以从核心通货膨胀的视角来看，其在两个区制都有较长的持续性。我国的通货膨胀样本在高通货膨胀状态运行的时期较长。但经济处于低通货膨胀区制时，货币供给增长率以及汇率对于通货膨胀的影响效果更加明显。两区制中的脉冲响应对比结果差异较小。（4）使用结构向量自回归方法（SVAR）对我国的通货膨胀成因进行识别，所考虑的角度包括需求拉动通货膨胀、成本推动通货膨胀以及输入型通货膨胀等主要方面。通过脉冲响应函数及方差分解对结果进行刻画，判定各种成因对于当前总通货膨胀波动的影响效果以及影响的比重大小。由脉冲响应结果知，在给定各种正向冲击初期的时候，需求冲击对我国通货膨胀的影响是最大的，其次为国际输入冲击，最小者为总供给冲击水平。由方差分解结果知，最终各冲击的影响比例分别为，国内生产总值冲击占5.652%，汇率冲击占0.919%，货币供给冲击占0.744%，食品价格冲击占4.232%，国际大宗商品价格冲击占5.339%。而加总得到的总需求因素冲击和为6.396%，总供给因素的冲击和为4.232%，输入性因素的冲击和为6.258%。（5）通过构建时变参数因子扩展的向量自回归模型（TVP-FAVAR模型），对我国总通货膨胀水平进行公共成分及随机成分的分解，给出各种成分的特点及其影响效果。在此基础上给出异质性货币供给冲击以及汇率冲击，对通货膨胀公共成分以及随机成分在不同时点上的动态影响效果对比。公共成分相对于随机成分来说，均值较高，更加的稳定，变化幅度更小。而随机成分均值较低，波动较大。且在不同时点给定异质性的货币供给冲击以及汇率冲击时，两种通货膨胀成分具有不同的响应特征。
[Abstract]:Inflation has always been a hot issue in different economic sectors of various countries. To control inflation is the focus of the current economic policy of our country. For the central bank, inflation is the main index to control macro economy and formulate macro economic policy, so the dynamic characteristics of inflation are fully and accurately grasps. The characteristics of its causes are of practical significance to its targeted formulation of monetary policy and the better control of the macro-economy. For consumers, the detailed understanding of the dynamic and genetic characteristics of inflation in the open economy will help the consumers to grasp the movement of inflation and guide the public to change the price level in the future. There is a reasonable expectation in order to improve the control effect of economic policy, to reduce the level of inflation, to reduce the fluctuation of output and to promote the rapid economic development. For enterprises, the regulation of the change of inflation, the characteristics of the fluctuation and the cause of formation, for the adjustment of production output and the price of the product. There is a forward-looking effect to avoid the impact of inflation and have a greater impact on its production and profit. At the same time, it is of practical reference value to describe the monetary policy of China from the perspective of inflation. Based on the above considerations, the article is carried out from the following aspects and gives the corresponding conclusion. Theory.
(1) using the least square estimation, the unbiased median estimation and the lattice point bootstrap method, we measure the viscosity of China's total inflation and the viscosity of the eight sub components that constitute CPI inflation, and use the multiple structure turning point test method proposed by Bai-Perron to estimate the number of turning points in the sample period and the rotation of each variable. Each variable has different stickiness characteristics and turning points. On the basis of it, the dynamic stochastic general equilibrium model (DSGE) is constructed under the conditions of open economy, which depicts the sources of inflation stickiness from the price stickiness and the angle of wage stickiness. The existence of stickiness often makes the monetary policy have a practical effect, that is, the effect on the actual variable is more significant, and the existence of stickiness hinders its regulation of nominal variables. At the same time, the effect of a country's economic openness on the effect of monetary policy is considered. The improvement of the openness makes the monetary policy control effect. Narrow down.
(2) summing up the current measurement methods of inflation expectations at home and abroad, using the variable parameter state space model to estimate the expected sequence of inflation in China, and then using the ESTAR model to describe the asymmetric characteristics of the estimated inflation expectations. On the basis of the survey of the short-term and long-term relationship between the forward-looking monetary policy rules and inflation expectation management in China, the Granger causality test is used to determine whether China's monetary policy has better anchored inflation expectations. The BEKK-GARCH model is used to explain the relationship between inflation expectation and short-term volatility spillover between currency supply and exchange rate. Inflation expectations have no volatility spillover effect on the rate of currency growth, while monetary growth has a significant volatility spillover effect on inflation expectations.
(3) HP filter method, weighted median method and SVAR method are used to estimate the core inflation in China. Through comparison, we choose the results that can represent the long-term trend of inflation in China and carry out further research. The region system transfer vector autoregressive model (MS-VAR model) is used to study whether there is a regional transfer effect in China's economy and the characteristics of monetary policy under different inflation zones from the perspective of core inflation, and study the continuity of core inflation under different zones, the characteristics of the correlation coefficient between the variables and the different region system. Compared with the impact of monetary policy and exchange rate policy impact on economic variables, the sustained probability of the low inflation region system is 0.8881 and the sustained probability of the high inflation region system is 0.9304, so from the perspective of core inflation, it has a long persistence in the two district systems. When the economy is in the low inflation region, the growth rate of money supply and the effect of exchange rate on inflation are more obvious. The difference of the result of pulse response contrast in the two district system is small.
(4) the structure vector autoregressive method (SVAR) is used to identify the causes of inflation in China, including the main aspects of demand driven inflation, cost driven inflation and input type inflation. The results are depicted through the impulse response function and variance decomposition to determine the various causes for the current general assembly. It is known from the impulse response results that the impact of demand impact on China's inflation is the largest in the initial stage of a given positive impact, followed by international input shocks, and the minimum is the total supply impact level. The impact ratio of the final impact is known by the variance decomposition results. The impact of gross domestic product (GDP) accounted for 5.652%, exchange rate shocks accounted for 0.919%, money supply shocks accounted for 0.744%, food price shocks accounted for 4.232%, international commodity price shocks accounted for 5.339%. and total demand factor impact and 6.396%, the impact of total supply factors and 4.232%, input factors impact and 6.258%.
(5) through the construction of the vector autoregressive model (TVP-FAVAR model) extended by the time-varying parameter factor, the public components and random components are decomposed to the total inflation level in China, and the characteristics and effects of various components are given. On this basis, the impact of the supply of heterogeneous money supply and the exchange rate impact are given, and the public components of inflation are given. Compared with random components, the average value of the public component is higher, more stable and smaller than the random component. The mean value of the random component is lower and the fluctuation is larger. And the two kinds of inflation components are not at the same time when the money supply shock is not given at the same time and the exchange rate is impacted. The characteristics of the same response.
【学位授予单位】：吉林大学
【学位级别】：博士
【学位授予年份】：2015
【分类号】：F224.0;F822.5

【参考文献】