中国通货膨胀持续性的非对称特征研究——基于分位数自回归模型和分位数单位根的研究

The Asymmetric Characteristics of Chinese Inflation Persistence:Evidence from Quantile Autoregression and Quantile Unit Root Test

基于1990-2013年中国月度CPI数据,本文通过运用分位数自回归模型和分位数单位根检验方法,研究了中国通货膨胀惯性的非对称特征,并分析了不同分位点上的通货膨胀惯性系数、单位根检验结果和半衰期。结果发现:中国的通货膨胀持续期存在明显的非对称特征,1998年之后通货膨胀持续性要显著低于1998年之前;相比于高通货膨胀水平,低通货膨胀水平上的通货膨胀持续性要显著降低。

Based on the monthly Chinese CPI data from 1990 to 2013 , this paper uses the quantile autoregression model proposed by Koenker and Xiao （2006） and quantile unit root tests method proposed by Koenker and Xiao （2004） to research the asymmetric characteristics of Chinese inflation persistence .The results from the research on persistence parameters , unit root test and half-life in different quantiles are as follows：1.Chinese inflation persistence has significant asymmetric charac-teristics;2.The inflation persistence before 1998 is significantly lower than the inflation persistence after 1998;3.The infla-tion persistence in low inflation is significantly lower than the inflation persistence in high inflation .