中国通货膨胀率持久性变化研究及政策含义分析

Changes of Inflation Persistence in China and Its Implications to Monetary Policy Analysis

通胀率持久性在通胀率动态研究中备受学界的关注,并且直接影响现代货币政策传导机制的终解方程式。本文对我国通胀率持久性的统计特性做了严谨的计量检验和分析,应用“格点拔靴(自举)”中值无偏估计和Exp-Wald未知断点检验来捕捉我国物价波动持久性的特征。统计结果显示,通胀率持久性在高通胀时期走高,而在物价波动减小的20世纪90年代中后期显著减弱。我们讨论了这一发现对相关货币政策分析机制的含义。

Inflation persistence appeals to the recent literatures in studies of inflation dynamics and it effectively affects the reduced form of modern monetary policy transmission mechanism. This article characterizes statistical nature of China inflation persistence employing ＂grid- bootstrap＂ median- unbiased estimator and Exp-Waldunknown break test. Empirical results suggest that inflation persistence is high during high inflation regime while it declines significantly in the end of the 1990s. We discuss the implications of the finding to relevant monetary policy analysis framework.