中国的通货膨胀预测:基于ARIMA模型的实证分析

China's Inflation Forecasts: an Empirical Study Based on ARIMA Model

通货膨胀预测已经成为中央银行制定货币政策的一个关键性变量。我们在研究国外学者对通货膨胀预测研究的基础上,根据我国1990年1月到2007年11月的CPI月度数据,运用ARIMA模型,对我国通货膨胀进行分析和短期预测。实证结果表明,运用ARIMA(1,1,10)模型为我国的通货膨胀提供了较好的预测,如果央行能依据通货膨胀预测的结果制定相应的货币政策,将有助于避免货币政策的时滞,有利于正确地引导和稳定市场预测,最终提高货币政策的有效性。

Inflation forecasts becomes a key input of monetary policy decision. Based on studies and the monthly CPI data of China from Jan.1990 to Nov.2007, we made an empirical analysis of the and short-term inflation forecasting of our country by ARIMA model, with the result that the ARIMA abroad inflation （1,1,10） provides the best forecasts, which could enable our central bank to avoid the time lag of policy execution, contribute to the stability of market speculation, and finally enhance the efficiency of monetary policy.