中国标题CPI与核心CPI短期动态关系研究

The Study of Short-run Dynamic relationship between China’ s Headline CPI and Core inflation

本文利用1996年至2011年的核心CPI和标题CPI季度数据,通过建立向量误差修正模型研究两者短期动态关系变化,并从货币政策机制转变的角度解予以解释。研究结果表明,在2003年之前,核心CPI和标题CPI之间偏差的消除主要通过核心CPI向标题CPI调整完成,这表明标题CPI比核心CPI更能反映通货膨胀的长期趋势;而在2003年之后,随着货币政策机制转变初步取得成效,中央银行引导公众预期的能力趋向于增强,导致一旦发生标题CPI偏离核心CPI,主要是依赖标题CPI向核心CPI调整来保持两者的长期均衡关系。进而发现,现阶段的食品价格上涨已经成为公众通货膨胀预期的重要来源,而且食品价格冲击的持久程度正在增强,这反映出食品价格上涨可能不是一种短暂波动,已经成为通胀长期趋势的一部分。以上结论蕴含着我国中央银行不能依据剔除食品价格后的核心CPI进行货币政策操作,应该对食品价格上涨作出一定的反应。

Using the quarterly data of the core CPI and the headline CPI from 1996 to 2011, this paper apply VEC model to study the change of short-term dynamic relationship between them, and explaining the change from the view of monetary policy mechanism transformation. The results indicate that the deviation between the core CPI and the headline CPI eliminated mainly by the adjustment from the core CPI to the title CPI before 2003, which suggests that the headline CPI can reflect more than the core CPI on the long-term inflation trends; however, after 2003, with the monetary policy mechanism transformation achieved initial success, the capacity to guide the public expectation of central bank tends to enforce. The maintenance of the long-term equilibrium relationship between the headline CPI and the core CPI is therefore primarily dependent on the adjustment from headline CPI to the core CPI once headline CPI deviates from the core CPI. Furthermore, the rise in food prices at this stage has become an important source of public inflation expectation, and its inflation persistence is enhancing, which reflects the rising food prices may not have been a transient fluctuation but become a part of the long-term trend of inflation. The above conclusion implies that the Central Bank can not operate the monetary policy based on the core CPI but should make a response in the light of the rising food prices.