弱通缩幻觉、CPI偏误与核心通货膨胀

Research on Weak Deflation Illusion, CPI Bias and the Core Inflation

现有关于核心通货膨胀的研究多聚焦于估值方法的拓展,但却逐渐偏离了提出核心通货膨胀概念的初衷。实际上,构建核心通货膨胀的最初目的主要是为了消除标题通货膨胀的计量偏差,使公众感知真实的通胀状态。鉴于此,本文首先采用动态因子模型估计出中国核心通货膨胀的走势,随后利用CPI的分布滞后模型对核心通货膨胀进行倒逼拟合,主要得出如下三个推论:第一,中国历次通胀和紧缩多是由部门局部变化所引致的,导致以CPI度量的通货膨胀产生了过度反应,引发了公众的感知幻觉;第二,CPI的分布滞后模型能够较好地拟合核心通货膨胀的走势,可以作为修正通胀预期的有效手段;第三,受近期粮食部门价格剧烈波动的影响,以CPI度量的通货膨胀再度诱发了公众的弱通缩幻觉。这对货币当局的预期管理和通货膨胀盯住机制的改善提出了新的要求。

The existing researches on core inflation mainly focus on extending the estimation methods, thus gradually deviating from the original intention of the concept. Actually, the primary purpose of creating core inflation is to eliminate headline inflation bias and help the public to perceive the real inflation. Therefore, this paper employs a dynamic factor model to estimate China＇s core inflation, and then utilizes a distributed lag model of CPI to fit the core inflation reversely. The main conclusions are as follows： first, previous inflation and deflation are mainly induced by departmental price changes, which makes an overreaction on CPI and causes price illusion; second, the distributed lag model of CPI can fit core inflation well, showing that the empirical equation is able to correct public expectation effectively; and lastly, due to the recent price fluctuations in food sector, the CPI bias has reemerged. As a result, the monetary authorities should pay more attention to their expectation management and inflation targeting.