我国通货膨胀路径中的结构性变化与非线性调整——基于TV-STAR模型的实证分析

Structural Change and Nonlinear Adjustment in Chinese Inflation Rate Path:Empirical Analysis Based on TV-STAR Model

本文使用TV-STAR模型研究发现,我国通货膨胀路径中结构性变化与非线性共存。结构性变化发生在1995年左右,结构性变化前的通货膨胀路径中存在高、低两个均衡点,结构性变化后的通货膨胀路径中存在唯一均衡点,但通货膨胀的持久性较变化前有较大幅度上升。同时发现通货膨胀与通货紧缩的非线性调整具有明显的非对称性,其临界值为4.091。基于广义脉冲响应函数发现,结构性变化后,我国通货膨胀对外来冲击的反应幅度下降,但反应速度上升。另外,正、负向冲击对通货膨胀的影响存在明显的非线性和非对称性。在多数情况下,正向冲击的影响更大,也更持久。在短期内,通货膨胀机制下的冲击影响要明显强于在通货紧缩机制下,但从长期来开,通货紧缩机制下的冲击影响更持久。在结构性变化之后,这种冲击的非对称效应也更明显。

This paper employs TV - STAR model to study the dynamic features of inflation rate in China, and finds there exist structural change and nonlinearity in the inflation rate, the nonlinear adjustment of inflation and deflation shows obvious asymmetries, and their transition threshold is 4. 091%. The structural change takes place around 1995, before this point exist one high and one low equilibrium point in the inflation path, but after this point only exist one equilibrium point, furthermore, the inflation persistence increases a lot compared with before. Based on generalized impulse response function, we find the response amplitude decreases, but response speed increases a lot. In addition, positive and negative shock effects on the inflation show obvious nonlinearity and asymmetries, in most cases, the positive shock effect is much bigger and much more persistent. In the short run , the shock effect in inflation regime is much stronger than in deflation regime, but in the long run, the shock effect is much persistent than in deflation regime. The shock asymmetries are more obvious after the structural change.