我国通货膨胀率过程区制状态划分与转移分析

Regime division and regime switching in the process of inflation rates of China's economy

利用马尔科夫区制转移模型来具体刻画和分析我国通货膨胀率过程的时间动态轨迹,检验结果表明,我国通货膨胀过程可以划分为"通货膨胀区制"、"通货紧缩区制"和"通货变化适中区制",通货膨胀率过程在不同区制状态下均能够体现出显著的持续性特征.同时发现,我国经济政策操作与通货膨胀率所处区制之间以及经济政策调控与通货膨胀率所处区制的阶段性变迁之间都存在明显的相关性,这意味着在我国存在经济政策对价格水平变化所进行的及时动态干预和宏观调控.

This paper uses Markov regime-switching model to investigate the dynamic path of China＇ s inflation rate. According to the result of estimation and test, the inflation process in China can be divided into ＂high inflation regime＂, ＂low inflation regime＂ and ＂temperate inflation regime＂. The inflation rates in the different regimes are able to reflect the obvious sustaining characteristics. At the same time, there is obvious correlation between China＇ s economic policy mechanisms and the different regimes of inflation rates. This means that there exist the dynamic timely intervention and macro regulation and control of economic policy to the change of the price level in our country.