非线性视角下我国居民通胀预期调整机制研究

Research on Adjustment Mechanism of Household Inflation Expectation under the Nonlinear Perspective

基于2000年第1季度至2011年第1季度的央行问卷调查数据,运用时变参数改进的C-P概率法测度了中国居民的通胀预期,利用STECM模型研究了居民通胀预期非线性的调整机制。研究结果表明,通胀预期调整的粘性和突变性与通胀环境密切相关,中国居民通胀预期调整机制的非线性特征源于预期偏差对预期的非对称调整作用,即预期偏差较小时,通胀预期的调整机制表现出粘性,只有预期偏差达到一定程度,通胀预期的非线性调整机制才会发挥作用,直至出现预期调整的突变。由于预期调整从粘性到突变的过程往往会引起居民经济行为的不稳定预期,损害经济运行的效率,因此建议央行应该主动分担公众预期调整的信息成本,构建中国通货膨胀预期的有效测度和风险对冲体系,提高信息披露的清晰度,降低因信息不对称导致的预期偏差。

This study first uses the Time Varying Parameters C-P Probabilistic Meth-ods to estimate the households＇ inflation expectations in China, on the basis of survey data from the PBC between the first quarter of 2000 and the first quarter of 2011. Then we inves-tigate nonlinear adjustment mechanism of households＇ inflation expectations following the STECM. The result suggests that nonlinearity of adjustment mechanism of households＇ infla- tion expectations result from asymmetric adjustment effect from expected bias to inflation ex- pectations. Specifically, if expected bias is small, adjustment mechanism expresses sticki-ness,while if expected bias is large ,adjustment mechanism just expresses nonlinearity and may even express mutability when expected bias is too large. What＇ s more,we find that the stickiness and mutability of adjustment mechanism are closely related to inflation environ-ment. The change from stickiness to mutability in adjustment mechanism will lead to unsta-ble economic behaviors of households and cause serious damage to the efficiency of econom-ic operation, so it is central bank＇ s responsibility to help households to form accurate expec-tations.