非对称效应视角下的中国通货膨胀不确定性实证研究

A Case Analysis of the Inflation Uncertainty in China With a Perspective of Asymmetric Effect

基于中国1983.01-2009.02月度CPI数据,应用多种非对称GARCH模型与信息冲击曲线研究通货膨胀冲击的非对称特征,并检验1996年货币供应量中介目标的引入是否明显降低了通货膨胀不确定性的长期成分。结果发现,通货膨胀冲击存在非对称特征,由通货膨胀冲击引发的通货膨胀不确定性高于同等程度通货紧缩冲击引发的通货膨胀不确定性;而1996年中央银行开始实行的货币供应量作为货币政策中介目标的适宜性虽然受到了不断的质疑,但其客观上确实一定程度降低了通货膨胀不确定性的长期成分。

Based on China＇s monthly CPI data from Jan 1983 to Feb 2009, the author studied the asymmetric feature of in- flation impact and examined whether the introduction of the money supply as intermediate policy goal had significantly low- ered the long-term component of the inflation uncertainty with several asymmetric GARCH models and the information im- pact curve. The findings show that there exists asymmetric effect of inflation impact on inflation uncertainty. Comparing in- flation impact with deflation impact at the same level, inflation uncertainty caused by inflation impact is greater than that caused by deflation impact. Though it is consequently questioned that the appropriateness of the money supply as intermedi- ate policy goal implemented by the People＇s Bank of China since 1996, we argue that it did lower the long-term component of the inflation uncertainty to some degree objectively.