通货膨胀动态惯性特征与货币政策区制转移效应的计量研究

The Qualitative Research of Inflation Dynamic Inertia Characteristics and the Effect of the Monetary Policy Regime Switches

本文针对不同区制下通货膨胀惯性所具有的不同特征,运用MS-DSGE模型,分析了在不同区制下货币政策控制通货膨胀所具有的不同效果。结果表明:(1)我国通货膨胀存在明显的高低区制,并且惯性特征明显,低区制的平均持续期为25个月,高区制的平均持续期为11个月,高通胀状态对应较大的政策波动;(2)从数理及实证的角度证明,政策在不同区制间转换对通胀预期不存在影响。(3)政策转换对实际通胀、产出缺口以及利率等变量的影响存在着明显的非对称性特征。本文的创新之处在于:(1)在DSGE模型中加入了区制转移效应;(2)考虑了MS-DSGE模型中家庭部门对政策信息的了解服从贝叶斯学习型规则情况。

In this paper, due to the inflation inertia has different characteristics in different regime, we use a MS-DSGE model to analysis that monetary policy has different effects to control inflation in different regime. The results show that： （ 1 ） The inflation in China exists the district division, inertia characteristics obviously, and the low inflation regime makes an average duration of 25 months, the high inflation regime makes an average duration of 11 months. High inflation state corresponds to the larger policy fluctuations ; （ 2 ） From the view of mathematical and empirical prove, The policy transition between different system can＇t impact on the inflation expectations. （ 3 ） There are the asymmetry impact of the policy conversion to the output gap, actual inflation , Interest rate and other variables. The innovation of this paper is that ： （ 1 ） We add the effect of regime switching to the DSGE model ; （2） In the MS-DSGE model, the household sector understands the policy information obeying the Bayesian learning rules.