通胀,还是通缩?——基于三区制Markov模型的实证研究

Inflation or Deflation?Evidence from 3-regime Markov-switching Model

2016年以来,我国物价走势引起社会各方的广泛关注。有专家认为我国与欧洲和日本面临类似的通缩难题,也有机构倾向于认为我国可能会陷入增长失速和通货膨胀并存的滞胀困境。因此,科学刻画我国通胀的发生路径,并以此预判今后一段时间的物价水平,可为货币政策操作提供参考依据。本文使用马尔科夫区制转移模型考察我国通胀路径的动态特征,研究发现:第一,1997年1月至2016年4月,我国通胀路径大致可以分为三个状态,通货膨胀、物价平稳和通货紧缩,对应的通胀均值分别为5%以上、2%左右和-0.5%上下;第二,实时数据分析表明实证结果具有很好的稳健性,2012年下半年以来我国物价总体平稳。目前来看,我国仍然具备物价总体平稳的基本条件,既未面临通货膨胀,也不会陷入通货紧缩。

This paper introduces a 3-regime Markov-switching model to investigate the dynamics in the inflation rate in China. Based on the monthly year-on-year CPI growth rate, the empirical results show that, Firstly, since 1997 the inflation rate could be devised into three states, that is, high inflation, stable price and deflationary pressure, in which the correspond- ing average inflation rates are above 5%, around 2% and -0.5%, respectively. Secondly, the empirical findings are quite ro- bust to the stream of real-time data, and would be useful to conjecture the inflation rate in the near future.