最优信息获取下的通胀预期异质性实证分析

Empirical Analysis of the Heterogeneity of Inflation Expectation Based on Optimal Information Acquisition

文章首先用改进的C-P概率方法估计大众通胀预期,然后用ARMA模型估计专家通胀预期。对两种通胀预期分别做检验发现,尽管专家预期精度高于大众预期,但大众预期符合理性预期假设,而专家预期却是非理性的。大众预期与实际通胀之间有双向格兰杰因果关系,专家预期只是实际通胀的格兰杰原因。大众预期与专家预期之间有比较明显的反馈机制。这种通胀预期异质性现象,有可能是私人经济部门在预期形成过程中最优信息获取作用的结果。

This paper estimates the inflation expectation of household by improved C-P probability method and then calculates the inflation expectation of expert by econometrics model.Through testing these expectations re-spectively, it finds that the household expectation accords with rational expectation but the expert expectation is not rational, although the expert expectation has more precision.The household expectation has bothway Granger Causality with actual inflation and the expert expectation is only Granger reason of actual inflation.There is an ob-vious feedback mechanism between the two expectations.The heterogeneity of inflation expectation may be the re-sult of optimal information acquisition during the formation of private sector＇s expectation.