中国通胀分类指数的波动源及其性质

The Sources of China's Fluctuations in Classified Index Inflation,and their Nature

本文基于经济理论和我国宏观经济的数据资源,设定因子增广的向量自回归模型,实证的因子结果显示我国宏观经济的基本条件可以由货币政策因子和6个潜因子构成的宏观因子集所刻画。将我国CPI的8大类分解为宏观成分与特质成分,并根据宏观因子组成的VAR识别货币政策冲击的动态效应。本文的主要发现是:宏观冲击和特质冲击都是CPI大类的重要波动源,但是宏观冲击的效应相对持久得多,因此货币政策需要重点关注宏观冲击的效应并盯住CPI大类的宏观成分。货币政策冲击的动态效应显示,货币政策冲击对各大类的传导存在一定的规律性。

Based on economic theories and the data on China's macro economy,we have constructed a model of a factor-augmented vector auto regression.The results of the factor proved by the real case show that the general economic conditions of China's macro economy can be reflected by the factor of the monetary policy and by 6 latent factors.We have grouped 8 categories of China's CPI into the macro element and specific element,and in accordance with VAR consisted of macro factors,we have identified the dynamic effect of the shocks of monetary policies.The main findings of this paper are that both the macro shock and specific shock are important fluctuation sources for the categories of CPT,that,however,the effect of the macro shock is far more lasting than that of specific shock,and that the monetary policy needs to emphasize the effect of the macro shock and to follow closely the macro part of the categories of CPI.The dynamic effects of the shock of monetary policies indicate that the shock of monetary policies has certain regularities in respect to the transmission of each category.