通货膨胀持续性来源及其测度——基于中国的经验证据

The Source and Measuring of Inflation Persistence:Empirical Evidence in China

梳理通货膨胀持续性产生的来源,即内在通货膨胀持续性、基于预期的通货膨胀持续性和外在的通货膨胀持续性。利用多变量结构时间序列模型,基于卡尔曼滤波的方法,测度三种通货膨胀持续性。结果表明,中国除了存在较大的内在通货膨胀持续性,还存在严重的基于预期的通货膨胀持续性和外在的通货膨胀持续性。

The sources of inflation persistence were analyzed,including intrinsic inflation persistence,extrinsic inflation persistence,and expectations-based inflation persistence.The multivariate structural time series model which measure inflation persistence based on the Kalman filter approach was used.The results showed that there was not only largely extrinsic inflation persistence,but also existed serious expectations-based inflation persistence and extrinsic inflation persistence in China.