通货膨胀动态路径的结构性转变及其启示

Structural Instability of Inflation Dynamics and Its Implications

通货膨胀动态机制是否发生结构性转变对分析通货膨胀动态走势和制定宏观经济政策都至关重要。本文运用新的未知断点结构性变化检验法研究了1981-2007年中国月度通胀率动态路径的内生性变化,并使用非标准分布条件下的渐进伴随概率分布函数计算了干扰参数检验统计量对应的p-值。实证结果显示,通货膨胀动态路径在九十年代中期发生了显著的结构性变化。基于这种结构性转变的脉冲响应对比分析说明,新时期货币当局需要加强对通货膨胀动态路径变化的监控,防止通胀持续上升。

The structural instability of inflation dynamics is critically important for analyzing inflation dynamic process and designing macroeconomic policy. This paper employs the newly- developed unknown structural break tests to investigate the intrinsic structural instability of inflation dynamics over 1981 - 2007 in China and uses asymptotic p-value function under the non-standard distribution condition to compute the p- values for structural change tests in the presence of nuisance parameter. The empirical results suggest that inflation dynamics in China witnessed a significant structural change at the end of 1994 and the instability appears to be originated from the dynamic parameters. Finally, the paper further discusses the important policy implications of the empirical finding through impulse response analyses.