中国通货膨胀持久性特征与货币政策启示

The Characteristics of Inflation persistence in China and Its Implications on Monetary Policy

基于1992Q1至2023Q2中国四类总体价格指标的环比折年率数据,借助于自回归系数和法和多倍未知结构断点检验方法,测度分析了中国通货膨胀持久性特征及其货币政策含义。研究发现:一是在样本区间内四类通货膨胀持久性相对较高,CPI和RPI存在两个显著的均值结构断点,分别在1996Q2和2003Q2,GDP_def存在一个显著的均值结构断点,在1996Q2,三者通货膨胀持久性近期均呈现上升趋势。PPI不存在明显均值结构断点;二是半衰期持久性测度结果显示,当前我国货币政策对CPI和RPI的调控应至少提前1个季度,对PPI的调控应至少提前2个季度,对GDP_def的调控应至少提前3个季度;三是我国CPI和RPI通货膨胀持久性在20世纪90年代呈现出一定程度的下降,这与国际研究实践一致。

Based on four types of China's aggregate annualized inflation rates from 1992Q1 to 2023Q2,this paper measures the persistence dynamics of China's inflation and analyzes its monetary policy implications with the help of the sum of autoregressive coefficients method,multiple unknown structure breakpoint test.The results show:In the sample interval,The persistence of the four types of inflation is relatively high.There are two significant mean structural breakpoints for CPI and RPI,in 1996Q2 and 2003Q2,GDP_def has only a mean structural breakpoint in 1996Q2,and CPI,RPI and GDP_def inflation persistence all showed an upward trend in recent years.There is no significant mean structure breakpoint in PPI.According to the measurement of the half-life of persistent inflation;China's current monetary policy should be about 1 quarter ahead of schedule to manage CPI and RPI inflation,about 2 quarters for PPI inflation,about 3 quarters for GDP_def inflation.China's CPI and RPI inflation persistence showed a certain degree of decline in the 1990s,which is consistent with international research practice.