通胀惯性、混合菲利普斯曲线与中国通胀动态特征

Research on Inflation Inertia,Hybrid Phillips Curve and Inflation Dynamics in China

本文在Gali & Gertler(2000)的基础上,构建了一个考虑通胀惯性的高阶滞后混合菲利普斯曲线的结构模型框架,并基于GMM模型对高阶滞后混合菲利普斯曲线进行计量检验和实证分析,通过估计其结构参数和深度参数来度量我国通胀惯性的大小及对通胀的影响,刻画我国通胀的动态特征以及我国厂商的定价行为。实证结果表明,我国通胀具有高阶滞后混合菲利普斯曲线的动态特征,滞后阶数为2,通胀同时存在向前看的理性预期和向后看的适应性预期;我国通胀惯性和通胀预期的强度对通胀率指标范畴十分敏感,CPI通胀率的通胀惯性和持续性大于RPI,CPI通胀率的适应性预期特征强于理性预期特征,RPI通胀率的理性预期特征强于适应性预期特征。在我国厂商定价概率方面,CPI通胀率相对于RPI通胀率,产品价格调整时间间隔较长,厂商对经济政策的反应较不敏感;在厂商价格预期行为方面,CPI通胀率相对于RPI通胀率,厂商对适应性预期的依赖程度超过了理性预期。

Based on Gali and Gertler （2000）, this paper gives a structure framework of the high-order hybrid Phillips curve considering inflation inertia. Attempting to empirically analyze the structure parameters and depth parameters of the high-order hybrid Phillips curve, this paper can measure inflation inertia and its influence on inflation, finding out the dynamic characteristics of China＇ s inflation and behaviors of firm pricing. The estimation results show that China＇s inflation is characterized by the high-order hybrid Phillips curve with two-order lags. CPI inflation inertia and persistence are both lagging behind RPI inflation. CPI inflation prefers to adaptive expectations, and RPI inflation prefers to rational expectations, which show that inflation inertia and inflation expectations in China are very sensitive to inflation index. As to China＇s firm pricing probability, comparing to RPI, the CPI price adjustment interval is longer and firms are less responsive to economic policy. As to China＇s firm pricing expectation, comparing to RPI, the CPI pricing is more preferring to adaptive expectations.