基于波动性-持续性的中国核心CPI测算及其评估

Measurement and Evaluation of China's Core CPIs Based on Volatility-Persistence

研究目标:基于波动性-持续性的核心通货膨胀测度方法是否适用于中国核心CPI的构建。研究方法:使用中国2001年1月至2015年12月的CPI相关数据,利用基于波动性-持续性的方法测算中国核心CPI,并与其他方法构建的核心CPI进行比较。研究发现:基于波动性-持续性的三重加权法(包括V-P-E法和TRMSE法)构建的核心CPI是无偏的;三重加权法具有较强的追踪趋势通货膨胀的能力;在预测未来通货膨胀的能力方面,三重加权法具有较好的表现。总体来看,三重加权法是测算中国核心CPI的优良方法。研究创新:使用同时考虑波动性和持续性的方法构建中国核心CPI,并验证了其优良性。研究价值:基于三重加权法的核心CPI可作为测度中国核心通货膨胀的重要参考指标。

Research Objectives： Whether the core inflation measures based on volatility-persistence are applicable to the construction of China＇s core CPIs. Research Methods： China＇s core CPIs are estimated with methods based on volatility-persistence using CPI-related data from January 2001 to December 2015, and compared with other core CPIs. Research Findings： The empirical study shows that： the core CPIs constructed with triple-weighted methods （including V-P-E method and T-RMSE method） based on volatility-persistence are unbiased; triple-weighted methods have strong ability to track trend inflation; in terms of the ability to predict future inflation, triple-weighted methods show a good performance. In general, tri- ple-weighted methods based on volatility-persistence are excellent methods to measure China＇s core CPI. Research Innovations： China＇s core CPIs are constructed by the methods considering both volatility and persistence, and their excellent properties are veri- fied. Research Value： The core CPIs based on the triple-weighted methods can be used as important reference indicators for measuring China＇s core inflation.