通货膨胀持久性及其非对称性研究--基于分位数自回归模型

Inflation Persistence and Asymmetric Dynamics

本文运用分位数自回归模型研究中国通胀率的持久性及其非对称性特征。研究结果表明,中国通胀率具有高持久性,从通胀率条件分布的低分位数到高分位数,持久性不断增强。基于不同分位数的单位根检验结果显示,中国的通胀持久性具有非对称性,即在受到负向冲击或减速通胀状态下,通胀率序列往往服从平稳自回归过程;而在受到正向冲击或加速通胀状态下,通胀率序列通常服从单位根过程。分位数自回归模型可以有效区分通胀率波动路径中的平稳点和非平稳点。据此,央行可以构建预警机制,以对通胀率的波动进行实时监测和调控。

This paper applies the quantile autoregression model to investigate inflation persistence and asymmetric dy- namics in China. Empirical results show that Chinese inflation has strong persistence,which monotonically increase as the quantiles get large. Unit root tests suggest that the inflation rates are not only global sustainability but also exhibit asymmet- ric in their dynamic adjustments, in which large negative shocks or acceleration stage tend to induce strong mean reversion, on the contrary, large positive shocks do not. Quantile autoregression model can be used to separate periods of nonstationar- ity from stationary ones and construct an inflation rate ceiling. The central bank can make out-of-sample forecasts of such a ceiling and present the inflation rate ceiling as an inflation-warning system