利用结构VAR模型估计中国的核心通货膨胀率

A Structural VAR Approach to Core Inflation Rate in China

本文将Quahand Vahey (1995)的SVAR拓展为三变量模型,并以垂直的菲利普斯曲线为理论基础,施加三个长期约束条件,以识别三变量SVAR模型。从缩减式VAR的估计残差中还原出结构冲击,从脉冲响应函数中还原出结构冲击对各变量的影响。依据Quah and Vahey的核心通货膨胀定义从受限制的SVAR模型中估计出我国的核心通货膨胀率。从估计效果来看,首先是能够完全反应我国通货膨胀演化的历史过程;其次是具有较高的预测未来通货膨胀变动的能力。因此对于货币当局的决策具有一定的指导意义。

In this paper the Quah and Vahey （ 1995 ） two - variable VAR is improved by adding monetary aggregate. According to the core inflation definition provided by Quah and Vahey and by imposing restrictions from vertical Phillips Curve, the completely identified three -variable SVAR model can recover structural shocks, also recover their effects on three variables from estimated impulse - response function, and derive measure of core inflation rate finally. As for the estimated result, core inflation rate derived from SVAR fits historically measured inflation rate development very well and can act as a better predictor than conventional measures such as ex food and energy series. Consequently the core inflation rate estimated in this paper is helpful for monetary policy implement.