哪些因素影响了通货膨胀预期——基于中国居民的经验研究

What Drives Inflation Expectations:an Empirical Analysis Based on the Chinese Households

本文利用中国人民银行城镇储户问卷调查数据,采用时变参数法估算了1999～2011年我国居民的预期通货膨胀率,并探讨了影响通胀预期的各类宏观经济因素。经研究发现,真实通胀水平对通胀预期影响最大,要想有效降低通胀预期就必须降低真实通胀。产出缺口反映了经济的周期性波动,对通胀预期也有重要影响。近年来,伴随着房地产价格的快速上涨,房价对通胀预期的影响日益显著。在应用利率工具管理通胀预期时,其效果需要滞后2～3个季度方能体现,表明中国人民银行制定货币政策至少应保持半年以上的前瞻性。名义汇率变动对通胀预期的影响不显著。国际油价代表的输入性通胀虽然影响显著,但贡献度很小。与理论直觉不同,研究发现超额工资增长在一定条件下将会降低通胀预期。

This study follows the Time Varying Parameters Method to investigate the macroeconomic determi- nants of the household inflation expectations in China, using survey data from the PBC between 1999 and 2011. The results suggest that real inflation plays the most crucial role in driving inflation expectations. The output gap, which underlies the cyclical economic fluctuation, is also important. Soaring housing price in recent years has been pushing up people＇s inflation expectations. Changing nominal interest rate only exerts its significant impact after 2-3 quarters, indicating that monetary policy should be forward-looking. Changes of nominal ex- change rate have no significant impacl while imported inflation is statistically significant but quantitatively unim- portant. Different from theoretical intuitions, it is found that positive wage gap tends to depress expectations un- der certain circumstances.