中国通货膨胀惯性影响因素分析——基于标准CIA模型和货币内生CIA模型的比较

Analysis on the Influence Factor of China's Inflation Persistence from Comparison between Standard CIA Model and CIA Model with Endogenous Money

本文比较了标准CIA模型与货币内生CIA模型对中国通货膨胀惯性的模拟能力,并分析中国通胀惯性的影响因素。利用贝叶斯方法对模型进行了参数估计,Markov链能够达到收敛,因而本文的估计和推断可信。结果表明,货币内生CIA模型优于标准CIA模型,表明中国存在货币内生机制。进一步研究发现,通货膨胀惯性主要来源于货币供给惯性,而货币供给不确定性、货币增长率对生产率的反应系数、生产率惯性与生产率不确定性对通胀惯性的影响程度相对较小,央行的名义利率政策的变化对通胀惯性几乎没有影响。

This paper compares the capabilities of simulating China＇ s inflation persistence between the standard CIA model and CIA model with endogenous money, and analyzes its influencing factors of Chinese inflation persistence. This article uses the Bayesian method to estimate the model, and the estimated and inferred are credible due to Markov chain reaching convergence. The results show that the CIA model with endogenous money is superior to the standard CIA model due to the existence of monetary endogeneity in China. Further studies show that inflation persistence mainly comes from the persistence of the money supply, while money supply uncertainty, the reaction coefficient of monetary growth to productivity, productivity persistence and productivity uncertainty have rather smaller impact on inflation persistence, and changes of nominal interest rate have little effect on inflation persistence.