摘要
价格总水平的异常波动是近年来我国面临的现实问题。从我国经济的发展历程看高经济增长往往伴随着高通胀,而经济衰退的同时又会出现通货紧缩。本文将通货膨胀和通货紧缩理解为同一经济现象—价格水平异常波动的两种表现形式,利用贝叶斯向量自回归方法模型分析了中国实际产出波动对价格波动的影响,结果发现在封闭经济环境和开放经济环境下实际产出波动都是价格波动的格兰杰原因。Diebold-Mariano(D-M)检验也表明分别包含实际产出波动变量的贝叶斯向量自回归样本外预测模型能显著提高对价格水平变动的预测能力。所以,在全球经济衰退的环境下,面对内外需不足和企业投资萎缩导致的实际产出剧减可能使中国经济出现异常严重的通货紧缩。
The abnormal fluctuation of prices is one of the most serious problems in China. From Chinese economic progress we could see high inflation was always followed by high economic growth and deflation by economic decline. The paper takes inflation and deflation as different modes of the same economic phenomenon-the abnormal fluctuation of prices,and analyzes the influence of real output fluctuation on price fluctuation via BVAR. The results show that the real output fluctuation is the Granger causation of price fluctuation in close and open economic models. The D-M test also shows the BVAR could improve price fluctuation forecasting ability if the forecasting model include real output fluctuation. Thus sharp decline in real output may cause Chinese economy to suffer serious deflation.
出处
《当代经济科学》
CSSCI
北大核心
2009年第5期72-80,共9页
Modern Economic Science
