中国核心CPI动态特征、分类解析与异常点分析

Dynamic Characteristics,Classified Analysis and Outlier Identification of Core CPI in China

在经济增长和稳定物价的双重目标下,科学测度中国核心CPI具有十分重要的意义。考虑了八大类部门间价格联系、随机波动、奇异值调整,使用MUCSVO模型系统地分类解析了中国核心CPI。结果显示:(1)MUCSVO核心CPI能较好地反映中国总体及各分类标题CPI的潜在趋势,实现了对中国核心CPI全面细致的动态实时监测。此外,食品类在中国总体核心CPI结构中是不可或缺的。(2)对中国核心CPI分类解析发现:第一,总体核心CPI与各分类项目CPI趋势变动方面大体一致,医疗保健及个人用品类CPI趋势走势差别较大。食品类、居住类CPI趋势曲线位于变动总体核心CPI曲线上方,波动幅度大于总体核心CPI;第二,宏观冲击方面,价格粘性的差异导致分类项目核心CPI对宏观冲击的响应程度并不一致,食品、居住类核心CPI对共同宏观冲击的响应程度最为迅速;第三,核心CPI波动性特征在总体CPI、分类项目CPI、共同成份、特有成份之间均存在较大差异,且大部分的价格波动主要由异质性部门的相对价格波动引起。(3)对于总体及分类项目的非核心CPI,识别其异常值,发现异常时点均与中国政策效应非常吻合。

Under the dual goals of economic growth and stable prices in china,it is of great significance to scientifically measure China’s core CPI.Considering price linkages among eight categories of departments,random fluctuation,outlier adjustment,use multivariate unobserved components stochastic volatility outlier-adjustedment model to indicate the properties of China’s core CPI for the aggregate CPI and disaggregate CPI components.The conclusions are as followed:(1)the dynamic characteristics of China’s CPI and its classifications are deeply analyzed.The core CPI can better reflect the potential trends,which can achieve comprehensive and detailed dynamic real-time monitoring.In addition,the food is indispensable in China’s aggregate core CPI structure.(2)Classified analysis show that:firstly,China’s core CPI and its classifications is roughly consistent with the changes in the trends,and the trend of CPI trends in medical care and personal products are quite different.The food and residential CPI trend curve is located above the overall core CPI,and the fluctuation range is greater than the overall core CPI;Secondly,in terms of macro shocks,the difference in price stickiness has led to inconsistent responses to the macro shocks by China’s core CPI and its classifications,and the core food and residential CPI have the fastest response to the common macro shocks;Thirdly,the volatility characteristics of the core CPI are different in China’s CPI and its classifications,common components,and unique components And most of the price fluctuations are mainly caused by the relative price fluctuations of heterogeneous sectors.(3)The abnormal points of non-core CPI are captured,which are consistent with policy effects in China.