我国通胀持续性及通胀影响因素时变特性研究——基于时变参数模型的分析

Time-varying Characteristics of China's Inflation Persistence and Influencing Factors of Inflation

基于TVP-SV-AR模型研究2002—2015年我国总体CPI及其构成成分的通胀持续性时变特征。结果发现,我国总体CPI及其分类价格指数的持续性水平较高,并且具有明显的时变特征,分类价格指数持续性表现出异质性特征。这表明通胀对政策调整的反应仍然较慢,但不同分类价格指数的反应速度具有显著差异。另外,利用TVP-SV-VAR模型对CPI与GDP增速及M2增速间的关系进行研究,发现,进入"新常态"后,经济增长、货币政策与通货膨胀之间的作用机制发生了结构性变化。

This paper applies TVP- SV- AR model to study time- varying characteristics of China＇s inflation persistence at both aggregate CPI and disaggregates components. Empirical results suggest that both aggregate CPI and its disaggregates components have very high level inflation persistence,they all have apparent time- varying feature,and the inflation persistence of disaggregates CPI showsignificant heterogeneity. It shows that the response of inflation to policy adjustment is still slow,but the response of different disaggregated price index has a significant difference. In addition,this paper also applies TVP- SV- VAR to analyze the relationship between CPI,GDP and M2,which shows that the mechanism of action between economic growth,monetary policy and inflation has a structural change.