我国价格指数变化的动态特征研究——基于“不可观测成份—随机波动率”模型的实证分析

An Empirical Analysis on the Dynamics of Price Changes in China——Evidence from an “Unobservable Component Stochastic Volatility” Model

研究价格指数动态变化中的时变波动率性质对于价格稳定具有重要的理论和现实意义。本文利用中国月度价格指数数据资料,构建"不可观测成份—随机波动率"模型后发现:和暂时性价格变动冲击相比,趋势性价格变化冲击的波动率幅度更大、时变特征更明显,且在2008年之后呈现出清晰可见的下降趋势。本文建议:货币当局有必要准确识别"暂时性—趋势性"价格变化冲击,并适时采取有效应对措施,以保障物价水平的长期稳定。

This paper highlights the important theoretical and policy implications for price stability when investigating the dynamics and the time-varying stochastic volatility of changes in aggregate price levels.Using monthly price indices data in China,we build an"unobservable component stochastic volatility"model and find that compared with the transitory shocks,not only large shocks to the trend component of price changes are highly variable but also their stochastic volatilities decline apparently over time after 2008.We suggest that in order to achieve the goal of long-run price stability,the policy authority should conduct the optimal monetary policy by an appropriate identification of the source of transitory and trend shocks to changes in price levels in China.