结构性通货膨胀与通货膨胀预期形成机制

Structural Inflation and Inflation Expectations Formation

本文从食品与非食品、消费与非消费两个层次对2001—2019年期间中国的结构性通胀特征进行刻画,并基于预期形成的传染病学模型和适应性学习模型,将结构性通胀特征纳入通胀预期形成机制的微观基础模型,分别采用单方程回归和SVAR模型来实证分析结构性通胀对通胀预期的影响机制。结果显示:居民和专家预期对结构性通胀的即期反应模式相似,食品类和非食品类通胀率均正向驱动通胀预期,不过后者驱动效应高于前者;通胀预期仅受消费类通胀率影响,而非消费类通胀率对预期没有显著驱动效应。同时,通胀预期对结构性通胀冲击的动态响应模式与即期反应整体相似,但存在微妙区别:从食品与非食品类划分来看,居民和专家预期均对非食品类通胀率冲击做出持续正向响应,对于食品类通胀率冲击的响应基本不显著;从消费与非消费类划分来看,居民和专家预期均仅对消费类通胀率冲击做出持续正向响应,对非消费类通胀率冲击无显著响应。研究结果暗示,我国经济主体在形成预期时对非食品类通胀率更加敏感,决策层对通胀预期的引导可以给予相应关注。

Inflation expectations can influence economic agents'consumption and investment decisions,thus exerting a profound impact on macroeconomic operations.Inflation expectations have therefore become central banks'core response index for implementing forward-looking monetary policies.The inflation expectation formation mechanism has naturally become an important research topic in the field.Rational expectation,the mainstream assumption in macroeconomic analysis,assumes that economic subjects have uneconomical expectations.Experience analyses based on both developed markets and developing countries show that economic subjects'inflation expectations are not fully in line with rational assumptions.It is therefore more important to explore the expectation formation mechanism based on the real economic subject's expectations than to assume rational expectations.This paper uses the typical facts of structural inflation in China from 2001 to 2019 as the basis for analyzing inflation expectations'impact mechanism.The paper divides China's structural inflation characteristics since 2001 into two levels:food and non-food,and consumption and non-consumption.It then constructs a model of inflation expectation formation that includes structural inflation in combination with the epidemiology model and adaptive learning model of expectation formation.The paper uses univariate regression and the SVAR model to depict the impact mechanism of structural inflation on inflation expectations.In our empirical research,we use survey data from the People's Bank of China's price diffusion index to capture household expectations.Professional expectations are obtained from the results of the survey of experts published by Securities Market Weekly.There are subtle differences in the information contained by the two datasets,which are also reflected in the results of empirical analysis.We find through empirical analysis that household and professional expectations share similar patterns of contemporaneous response to structural inflation.Both food and non-food inflation drive inflation expectations,but the latter has a stronger impact than the former.The dynamic response pattern of inflation expectations to structural inflation shocks is similar to the overall contemporaneous response.There is a subtle difference,however.Both household and professional expectations positively and persistently respond to the shock to non-food inflation rates.Household expectations do not significantly respond to the food-inflation shock,while professional expectations respond in a significantly positive way only in the current period.The response is insignificant in future periods.Household and professional expectations have sustained positive responses only to the shock of consumption inflation:there is no significant response to the non-consumption inflation shock.For robustness,we further check our findings with five alternative inflation expectation indicators,including CPI and GDP deflator inflation expectations obtained from the autoregression moving average(ARMA)model and vector autoregression(VAR)model,and CPI inflation expectations obtained from the no-arbitrage affine model.The results of the robustness check are consistent with those of the baseline specification.Results using GDP deflator inflation as the dependent variable provide more information:GDP deflator inflation expectations respond only to non-consumption inflation and not to food and non-food inflation(and thus CPI inflation).This means that expectations of changes in overall economic prices are mainly influenced by changes in the prices of their non-consumption components.This paper's results are instructive for the adjustment of China's monetary policy response mechanism.Monetary policy's traditional goal is headline inflation or its expectation.Our results indicate that the overall inflation rate may not capture inflation's structural characteristics,meaning that the policy response may not be detailed enough to account for structural information.The heterogeneous effect of structural inflation should therefore be considered in the PBC's monetary policy response mechanism,and more precise policies should be implemented.