中国通货膨胀持久性是长记忆性、还是短记忆性

Is the Persistence of Inflation in China Long or Short Memory?

当前国际政治、经济形势复杂,中国面临较大的通货膨胀压力。弄清通货膨胀持久性是长记忆性还是短记忆性,关乎通货膨胀的治理。本文运用SETAR模型、ARFIMA模型分别测量不同指标、不同样本期间的通货膨胀持久性。定基比CPI是发散的,环比CPI具有短记忆性,同比CPI指标具有局部发散、局部长记忆性的特点。整体上高通货膨胀时期比低通货膨胀时期有更强的持久性。CPI指标测量的物价区间、指标前后间的关系及1999年前后中国经济特点等都会影响通货膨胀持久性。环比CPI度量的通货膨胀持久性更有代表性。

The current international political and economic situation is complex,and China is facing greater inflation pressure.Figuring out whether inflation persistence is long or short memory is related to the governance of inflation.In this paper,we use SETAR model and ARFIMA model to measure the inflation persistence of different indicators and different local periods respectively.The fixed-base ratio CPI is dispersive,the month-on-month CPI has short memory,and the year-on-year CPI indicator is characterized by local dispersion and local long memory.Overall periods of high inflation have been more persistent than periods of low inflation.The price range measured by the CPI indicator,the relationship between the indicator before and after,and the characteristics of the Chinese economy around 1999 all affect the persistence of inflation.The persistence of inflation measured by the month-on-month CPI is more representative.