通货膨胀持久性高低之辩——基于不同价格指数形式的测度与比较

A Differentiate and Analysis of the Inflation Persistence——The Measurement and Comparison Based on Different Price Index Forms

通货膨胀持久性特征变化对货币政策操作具有重要参考意义。从通货膨胀理论出发,厘清了通货膨胀持久性理论来源与测度数据基础。在对国内价格数据来源及数据处理分析的基础上,测度了我国1987~2017年不同形式价格数据下的通货膨胀持久性,借助于Bai和Perron(1998,2003)多倍未知结构断点检验和滚动窗口回归方法分析了我国通货膨胀持久性的时变特征,进而对测度结果进行了特征分析、国际比较及货币政策探讨。研究发现:①同比数据在样本区间内一直呈现出高持久性特征,且持久性大小远高于环比数据测度结果。BP结构断点检验结果表明,同比数据不存在明显的结构断点,而环比数据存在两个显著的结构断点,分别在1996年和2003年。②季度环比季调价格数据符合通货膨胀动态理论模型的内在要求,我国通货膨胀持久性测度应以该价格指数为基础。依据季度环比季调折年率的测度结果,我国通货膨胀持久性是自1996年中后期开始下降,这与美国、欧元区等发达国家和地区下降时间基本一致。在2003年又呈现出一定上升趋势,但当前处于低度状态,转换计算的半衰期大约为0.4个季度。因而,当前我国货币政策对价格的调控不应过早"前瞻",只需提前1个季度左右。

The change of inflation persistence is of great significance for monetary policy to regulate inflation.Based on the theory of inflation,this paper clarifies the theoretical source and data basis of inflation persistence.On the basis of domestic price data sources and data processing analysis,the inflation persistence under the different forms of the monthly and quarterly price data from 1987 to 2017 in China is measured,with the help of Bai and Perron(1998,2003)multiple unknown structure breakpoint test and rolling window regression method,the time-varying characteristics of inflation persistence also are analyzed.Then,the characteristics,international comparison and monetary policy implication of the measurement results are discussed.Research shows:①The Y on Y price data consistently exhibit high persistence characteristics in the sample interval,and the persistence size is much higher than the chain price data result.The BP multiple unknown structure breakpoint test results show that there is no obvious structural breakpoint in the Y on Y price data,and there are two significant structural breakpoints in the chain price data,in 1996 and 2003 respectively.②The Q on Q seasonally adjusted price data is in line with the internal requirements of the theoretical model of inflation dynamics,the measure of the inflation persistence in China should be based on this price index.According to the Q on Q seasonally adjusted annualized inflation rate’s measurement results,the inflation persistence in China began to decline from the middle and later periods of 1996,this is basically the same as the decline in developed countries and regions such as the United States and the euro zone.And it has shown a certain upward trend since 2003.However,it is basically in a state of low inflation persistence and the half-life of inflation is about 0.4 quarters.Therefore,the current regulation of China’s monetary policy should not be too forward-looking,and monetary policy regulation needs only 1 quarters in advance.