关于通胀预期对CPI的影响研究——基于周期理论构建的物价预警综合指数

Study on the Impact of Inflation Expectations on CPI——price early warning composite index which Based on Cycle Theory

通胀预期是通胀的重要影响因素。本文基于动态因子模型构建了我国物价预警综合指数,并将其作为我国通胀预期的代理变量。然后,基于互谱分析,测度了通胀预期对CPI的影响关系。进一步基于小波变换,从不同的周期上,分析了通胀预期与CPI的Granger因果关系。实证结果表明:从短期来看,通胀预期超前于CPI大约0.45个月,即通胀预期对CPI具有显著的预测作用。而且我国通胀预期变动是CPI变动的Granger因。从长期来看,通胀预期与CPI互为Granger因果关系,并且存在长期均衡关系。

The theory of inflation expectation shows that inflation expectation is an important factor of inflation. Based on the dynamic factor model, the paper constructs price early warning composite indexin China, and takes it as the proxy variable of inflation expectation. Then, based on the cross-spectral analysis, we measure the influence of inflation expectations on CPI. On the basis of wavelet transform, the causal relationship between inflation expectations and CPI was analyzed from different periods. The empirical results show that, in the short term, inflation expectations outstrip CPI by about 0.45 months, that is, inflation expectations have a significant predictive effect on CPI. And inflation expectations are CPI＇s Granger＇s cause. In the long run, inflation expectations and CPI＇s Granger＇s cause each other and have a long-term equilibrium. Therefore, our government departments need to construct more effective inflation expectation index, and make full use of inflation expectation to monitor and forecast price changes. In order to more effectively control the total price level in a reasonable range of changes.