中国货币政策区制转移效应研究——核心通货膨胀视角

The Regime Switching Effect of Chinese Monetary Policy Based on Core Inflation Perspective

文章通过构建贝叶斯向量自回归模型(即BVAR)和马尔科夫区制转移贝叶斯向量自回归模型(即MS-BVAR模型),从核心通货膨胀的视角研究了中国经济是否存在区制转移效应以及不同通货膨胀区制下的货币政策特征。得出以下结论:区制转移模型更加适合中国的经济特点,所以中国的经济存在着明显的高低区制划分;从核心通货膨胀视角研究的各区制的持续性均相对较大。高通货膨胀区制平均持续期为66个月,低通货膨胀区制平均持续期59个月。本研究剔除了通货膨胀的短期波动成分,更能体现通胀的趋势特点。

In this paper, we build a Bayesian vector auto regression model（BVAII） ana a Markova regime switching vector auto regression model（ MS - BVAR）. Through these models, we study if there are the regime switching effect in Chinese economy and the characteristics of the monetary policy in different regimes based on the core inflation perspective. The results show that： 1）The regime switching model is more suitable for Chinese eco- nomic characteristics, so Chinese economy presents district system division; 2） There is the large persistence of the core inflation in different regimes, the average duration of the high inflation regime is 66 months and the average duration of the low inflation regime is 59 months. The innovation of this paper is that we study the characters of the regime switching of economy and the monetary policy from the core inflation perspective, estimate the core inflation, exclude the short volatility factor of the inflation and can obviously represent the trend character of the inflation.