货币政策对CPI分类指标冲击的异质性效应

On the Heterogeneity of Monetary Policy Impact on the Sub-Item Price Indices of CPI

利用动态因子模型得出核心通货膨胀率和宏观共同因子之后,分别针对CPI、核心通货膨胀率和CPI分类指数构建了包含货币政策工具和宏观共同因子的FAVAR模型,并运用脉冲响应函数刻画了货币政策工具对各个变量影响的动态特征。结果表明:首先,与VAR模型相比,FAVAR模型在货币政策效应分析中更有效。其次,与CPI相比,货币当局更应该盯住核心通货膨胀率。再者,CPI分类指数对货币供给量的脉冲响应函数存在差异性。因此,货币当局为了使调控价格更具有效性和针对性,需要关注货币政策对CPI分类指数影响的异质性特征。

This paper firstly applies the dynamic factor model to get the core rate of inflation and the macro common factors. Then, according respectively to the CPI, the core inflation rate and the sub-item price indices of CPI, it constructs a FAVAR model containing the monetary policy tool and the macro common factors. After that, it employs the impulse response function to study the dynamic characteristics of the impact of monetary policy tools on each variable. The empirical results are as follows： firstly, compared with VAR model, the FAVAR model has a better performance in analyzing the effects of monetary policy; secondly, compared with CPI, the monetary authorities should focus on the core inflation rate. In addition, every type of CPI indices has an impulse response function with its own special feature towards monetary supply. Therefore, in order to make the regulated-prices more effective and targeted, the monetary authorities should pay close attention to the heterogeneity characteristics of the impact of monetary policies on the sub-item price indices of CPI.