金融危机前后中国通胀惯性特征及货币政策研究

Inflation Inertia of China Before and After the Financial Crisis and Its Implications on Monetary Policy

通货膨胀惯性衡量了通胀指标受到冲击偏离均值后返回均值的时间,与货币政策的制定密切相关。文章选取2000年1月至2011年9月的月度CPI、RPI、PPI数据,应用Yule-Walker方法和Stationary Block-Bootstrap方法估计了通胀惯性系数,同时应用EFP(Empirical fluctuation processes)方法和BP未知断点检验法研究了我国通胀指数序列的结构变化点和通胀惯性系数的结构变化点,讨论了金融危机前后通胀惯性特征的变化规律。计量结果表明,我国通胀惯性总体上维持在0.8左右,尤其是金融危机以来,通胀惯性一直在0.85至0.9之间徘徊,这表明货币政策的滞后期在一年以上。文章得出结论:市场预期的缓慢调整和央行信誉度的偏弱是我国通胀惯性高的主要原因。当前央行货币政策的重点应放在稳定物价上,并要提高通胀的预测能力,及时灵活地调整货币政策的重心。

Inflation inertia measures the time that inflation index takes to return to the average level after its impact-induced deviation, and is closely linked to monetary policymaking. This paper selects CPI, RPI, and PPI from January 2000 to September 2011, and uses the Yule-Walker and Stationary Block-Boot- strap methods to estimate the inflation inertia index. Meanwhile, the EFP （Empirical fluctuation proces- ses ） and unknown Bai ＆ Perron breakpoint test are used to find out the structural changing points of the in- flation index and the inflation inertia index. The paper also emphasizes on discussing the changing pattern of inflation inertia before and after the financial crisis. The econometrical resuhs indicate that domestic in- flation inertia index is around O. 8, and wanders between 0.85 and 0.9 since the financial crisis. This im- plies that the time lag of monetary policy is at least one year. Conclusions show that the slow adjustment of market expectation and weak reputation of central bank are the main reasons for high inflation inertia in China. The monetary policy should be focused on maintaining price stability, enhancing inflation predic- tion, and adjusting the focus of monetary policy flexibly.