通货膨胀持久性的体制转换分析及其政策意义

Regime Switches in China's Inflation Persistence and Its Policy Implications

中国将长期面临通货膨胀压力。在此背景下,深入考察通货膨胀的持久性特征可以为相应的理论研究和政策实践提供参考和借鉴。文章利用Markov体制转换模型分析通货膨胀过程是否存在结构性转变以及通货膨胀持久性是否因此发生变化,发现RPI通货膨胀率动态过程存在体制转换,体制转换时间发生在1994～1996年以及2006～2008年间,但这种结构性转变并没有显著影响通货膨胀持久性,两种体制下的通货膨胀自相关系数和分别达到了0.94和0.97。文章指出,基于新凯恩斯主义DSGE模型的反通货膨胀政策模拟表明,持久性的存在会显著改变反通货膨胀过程中通货膨胀和产出缺口对于货币政策冲击的动态反应,揭示出通货膨胀持久性对于货币政策操作具有重要意义。

Among the central issues in monetary policy analysis is the persistence of inflation. This paper investigates if there were regime switches in China＇s inflation persistence, and finds that there were no structural chan- ges in inflation persistence, though there were regime switches in the autoregressive process of inflation. The policy simulations, based on a New Keynesian DSGE model calibrated with China＇s data, show that inflation persistence significantly affects output and inflation responses to disinflation shocks.