中国通货膨胀预期不确定性:结构型抑或冲击型?

Inflation Uncertainty in China:Structural Uncertainty or Impulse Uncertainty?

合理测度通货膨胀预期不确定性与正确识别其来源,对通胀预期管理具有重要意义。本文应用TVP-GARCH模型,把我国通胀预期不确定性分解为结构型不确定性与冲击型不确定性两种,并探讨何种不确定性是我国通胀预期的主要来源,继而应用Geweke分解法检验它们与通胀水平的长期与即期因果关系。结果显示,1996年之前,结构型通胀预期不确定性是公众通胀预期不确定性的主要来源,之后则是冲击型不确定性占据了主导地位。而且不同时期的通胀水平与这两种类型的通胀预期不确定性之间的因果关系也具有较大差异。

To measure inflation uncertainty reasonably and identify its sources properly have great policy implication for the government to manage inflation expectation effectively. This paper employs a Time - Varying - Parameter Model with GARCH （1, 1） Disturbances to decompose inflation uncertainty into structural uncertainty and impulse uncertainty, and to investigate which one is dominant, then Geweke decomposition test is used to test the current and long - term causality between the two types of uncertainty and inflation rate. The result shows that structural uncertainty played the dominant role before 1996 and the impulse one did so afterwards. Further analysis finds that the causalities are also great different.