中国通货膨胀持续性研究:1994～2011——基于总体CPI及其八大类构成成分视角的实证检验

On China's Inflation Persistence from 1994 to 2011:An Empirical Analysis in the Perspective of Aggregate CPI and Disaggregated CPI Components

本文利用"格点"自助法、未知断点的结构检验和动态因子模型分析法对1994～2011年期间中国总体CPI及其八大类构成成分的通胀持续性问题进行了系统分析。研究结果表明无论从总体水平还是从分解水平来看,中国的通胀持续性都具有较高的水平。基于滚动回归分析的2000年前后通胀持续性估计结果表明中国的通胀持续性确实经历了一个缓慢下降的过程。因子模型分析还发现中国分解水平通胀的高持续性主要由总供求决定的宏观经济波动公共因子所主导。

This paper analyzes the Chinese inflation persistence by using data of aggregate CPI and disaggregates CPI components in the period of 1994 -2011. It employs the grid bootstrap unbiased estimator, unknown structure break test and dynamic factor model to indicate the properties of inflation persistence, The main finding is that the inflation persistence is very high at both aggregate and disaggregates level and it has gone through a downward process from 2000. Factor model analysis finds the high level of Chinese disaggregate CPI components stems mainly from the high persistence of common components.