基于SVAR模型的中国核心通货膨胀的估计与应用

The Estimation and Application of China's Core Inflation Based on the SVAR Model

核心通货膨胀是观测到的通货膨胀中长期的、持续的成分。核心通货膨胀对经济形势的判断与宏观经济政策的制定有着重要的意义。本文中我们扩展了Quah和Vahey的两变量结构向量自回归(SVAR)模型,建立了包括消费价格指数、食品价格指数与产出的三变量SVAR模型,并且通过对变量施加基于经济理论的长期约束估计了1986-2007年中国的核心通货膨胀。结果显示,所估计的核心通货膨胀能够很好地反映通货膨胀的趋势性变化。最后得出结论:2007年中国的核心通货膨胀率略低于3%的警戒线水平,但是有快速上涨的趋势。

Core inflation is the long-run, persistent component of the observed inflation and it is very important to the judgment of economic situation and adoption of the macroeconomic policies. In this paper we extend the Quah and Vahey＇ s twovariable structural vector autoregressive （SVAR） model, and establish a three-variable SVAR model consisting consumer price index, food price index and output. Based on the long-run restriction, we estimate China＇s core inflation from 1986 to 2007 and the results show that the estimated core inflation represents the trend of inflation very well. Finally we draw a conclusion that the core inflation of China still stayed under the alert line of 3 % in 2007, but has a trend of rapid increasing.