我国通胀持久性的区间转换分析及其政策启示

The inflation persistence and its implications on policy:New perspective from wavelet denoising method and Markov-switching model

抗"通胀"是当前一个阶段我国经济面临的重要难题。本文通过非线性小波变换阀值去噪和双区间Markov转移模型的分析表明,无论"高通胀区"还是"低通胀区",我国通货膨胀的持久性均在0.9以上,通胀率偏离预期后受到随机冲击所需的回复时间较长,通货膨胀的治理成本较高。为有效降低我国通胀的高持久性,提高央行货币政策制定的透明度和政策施行的信用度是首要解决的问题。

Fighting against inflations is the key issue of China＇s economy in the new stage. In this article, we utilize the nonlinear wavelet threshold denoising method and Markov-switching model studying the inflation persistence in China. Empirical results illustrate either in high inflation regime or low inflation regime the infla- tion persistence still reaches near to 1, above 0.9. It shows that the cost against inflation is a little high. Once the inflation diverges from the expectation, it takes a long time to reverse. In order to lower the high persistence, enhancing the transparency of central bank＇s policy making and heightening the credibility of policy executing are the primary concerns.