基于CPI及其分类项目的我国通货膨胀动态特征解析

Analysis of The Dynamic Characteristics of Inflation in China Based on CPI and Its Classified Price Index

本文采用动态因子模型测度我国2001年2月至2015年12月的核心通货膨胀,并对测度效果进行了评价。在此基础上,进一步估计我国CPI分类项目的共同成分和特质成分,对我国CPI及其分类项目的动态特征进行了深入剖析。研究发现:拟最大似然法估计的核心通货膨胀在波动性、追踪趋势通货膨胀能力、预测未来通货膨胀能力方面表现优良,是测度核心通货膨胀较好的估计方法; CPI及其分类项目之间的波动性差异并非单独由宏观冲击或特质冲击引起,而是由二者共同作用产生并具有放大效应;我国通货膨胀的持久性确实是由宏观冲击主导,但由于部门异质性的存在,不同分类项目对于宏观冲击的响应并不完全一致。上述结论对我国当前和未来货币政策操作具有重要的启发和借鉴意义。

With the help of dynamic factor model, this paper measures the core inflation of China from February 2001 to December 2015, and evaluates its measurement effect. On this basis, the common components and idiosyncratic components of China＇s CPI classifications are further estimated, and then the dynamic characteristics of China＇s CPI and its classifications are deeply analyzed. The conclusions are as followed. First, the core inflation estimated by the quasi maximum likelihood method is excellent in terms of volatility, tracking trend inflation ability and prediction of future inflation capacity. It is a better estimation method of core inflation. Second, the difference in volatility between CPI and its classified price index in China is not caused by macroeconomic shocks or sector-specific shocks alone, but produced under the joint effect of both,which has amplifying effects. The persistence of inflation in China is indeed dominated by macroeconomic shocks,, but due to the existence of sectoral heterogeneity, the response of different classifications to macroeconomic shocks is not completely consistent. The above conclusions have important enlightenment and reference significance for China＇s current and future monetary policy operations.