中国通货膨胀与通货膨胀不确定性的非线性关系

Nonlinear Relationship of Inflation and Inflation Uncertainty in China

本文利用1983年1月～2007年1月CPI月度数据，应用Hamilton提出的能同时发现数据线性和非线性关系的随机场回归模型，对中国通货膨胀与通货膨胀不确定性的非线性关系进行实证研究。实证的结论支持了Friedman—Ball假设和Cukierman-Meltzer假设。前者呈现U型的非线性关系，这意味高的通货膨胀和通货紧缩都将导致高的不确定性，这一发现补充了Friedman-Ball假设；而对于后者，呈现出更为复杂的N型非线性关系。本文的结论对中央银行控制通货膨胀不确定性具有一定的借鉴意义。

By using the monthly CPI data from 1983. 1 to 2007.1 and applying the Random Field Regression Model proposed by Hamilton which can simultaneously find the linear and nonlinear relationship in the data, this paper first investigates the nonlinear relationship between inflation and inflation uncertainty in China. The empirical result supports the two hypotheses, the Friedman-Ball Hypothesis and the Cukierman-Meltzer Hypothesis. For the former, the nonlinearity displays a U-shaped pattern, which implies that both high inflation and high deflation results in high uncertainty. This finding makes complements on the Friedman-Ball Hypothesis. As to the latter, the nonlinearity appears to be a more complicated N- shaped pattern. The conclusions in this paper will be helpful for the central bank to control inflation uncertainty.