中国通货膨胀持续性研究——基于面板数据的SURADF实证检验

Inflation Persistence in China:An Empirical Research Based on Panel SURADF Test

研究通货膨胀持续性对中央银行制定应对通货膨胀的货币政策具有重要意义。在检验通货膨胀持续性的结构性特征时,传统的面板单位根检验方法建立在截面之间同质性和独立性假设之上,往往因截面相关性和异质性而导致检验功效偏低。本文考虑了中国不同类别商品通货膨胀的相关性和异质性特征,使用面板估计的SURADF方法,对中国总体、城市和农村八大类商品通货膨胀持续性进行了实证研究,结果表明,不同地区不同大类商品通货膨胀持续性的确存在差异,与传统单位根检验方法相比,SURADF能更准确地描述商品间通货膨胀的结构性特征。中央银行应根据各部门通货膨胀持续性程度不同而制定差异化的通货膨胀调控政策。

The study of inflation persistence characteristics is critically important for the central bank to design monetary policy to control inflation. Based on the assumptions of cross - sectional homogeneity and independence, conventional panel unit root tests always suffer from low power and size distortions. Considering the cross -sectional heterogeneity and dependence of Chinese sectoral inflation, this paper employs panel SURADF test to analyze Chinese aggregate, rural and urban sectoral inflation persistence. The empirical results suggest that the inflation persistence is indeed different in various regions and sectors. Compared with the conventional unit root tests, SURADF is superior in identifying the structural characteristics of sectoral inflation, The central bank should make differentiated inflation policy according to different levels of inflation persistence in the eight sectors.