特有冲击、共同冲击与通货膨胀持续性

Specific Shocks,Common Shocks and Inflation Persistence

中国分类价格指数的通货膨胀持续性有何特征?如何理解基于分类价格指数与加总价格指数的通货膨胀持续性之间的关系?本文对2001年1月至2011年12月的数据进行实证分析,结果表明分类价格指数表现出较明显的行业间异质的通货膨胀波动性和通货膨胀持续性,与加总价格指数相比,其波动性更大而持续性更低。通货膨胀持续性的这些现象可以从特有冲击和共同冲击的角度加以理解。共同冲击的相对重要性存在差异解释了分类价格指数的通货膨胀持续性呈现行业间异质性;特有冲击的重要性在数据加总时被削弱,解释了分类价格指数具有比加总价格指数更低的通货膨胀持续性。

What are the characteristics of inflation persistence of disaggregated price indices in China？ How can we understand the relations between inflation persistence of disaggregated price indices and aggregated price index？ In this paper, we do empirical analysis the data from January 2001 to December 2011, and find that disaggregated price indices obviously exhibit heterogeneous inflation volatilities and inflation persistence across sections, and that compared to aggregated price index, their inflation volatilities are larger and inflation persistence lower. These facts can be interpreted for the perspective of specific shocks and common shocks. The different importance of the relative importance of common shocks explains the heterogeneity of the inflation persistence of disaggregated price indices. The importance of specific shocks is weakened when disaggregated price indices are aggregated, which explains that disaggregated price indices are of lower inflation persistence than aggregated price index.