中国通货膨胀尾部风险的识别、驱动因素与时变特征

Tail Risk of Inflation in China:Identification,Driving Factors and Time-varying Characteristics

通货膨胀水平波动加剧是当前世界经济的重要特征。本文基于开放经济条件下的混合菲利普斯曲线与“在险通货膨胀”的研究范式,识别出中国的通货膨胀尾部风险,然后探讨其驱动因素与时变特征,并且前瞻性地刻画中国的未来通胀路径。研究发现,通胀预期、国内金融状况与国际大宗商品价格是中国通货膨胀尾部风险的主要来源。不同因素对通胀尾部风险的驱动作用存在非对称效应,中国的通货膨胀左尾风险主要受通胀预期下降以及国内金融状况收紧的驱动,而通货膨胀右尾风险则主要受通胀预期上升以及国际大宗商品价格上涨的驱动。事后验证表明,本文构建的中国通胀路径对实际通胀水平具有较好的预测效果。在日趋复杂的国际环境下,本文的研究为中国维护国内物价稳定、推动经济高质量发展提供了有益借鉴。

The intensification of fluctuating inflation levels is a prominent feature of the current global economy.Since 2021,driven by robust demand triggered by extensive fiscal and monetary stimuli,coupled with supply shortages caused by global supply chain pressures,global inflation has continued to rise.The overall level of global inflation has exhibited a“reverse U”trend since 2020.According to statistics,the annual inflation rate in the United States reached 8.0%in 2022,marking a new high since 1981,while that of the Eurozone reached 8.5%—the highest since its establishment.Since 2023,although inflation has been maintained at a certain level,it has rapidly declined under the aggressive interest rate hike strategies of major advanced economies.China's consumer price index(CPI)growth rate was relatively moderate from 2021 to 2022,but it has been consistently decreasing since 2023.As of October 2023,China's CPI year-on-year growth rate has been below 0.2%for seven consecutive months.For central banks that aim to achieve specific inflation targets,evaluating the tail risks of inflation under the current economic and financial conditions is a necessary step in their macroeconomic management.For policymakers in various countries,assessing future risks is of considerable importance.The essence of monetary policy operations aimed at price stability is to achieve a return to the established inflation target under specific risks.For China,despite the need for monetary policy formulation to consider multiple goals and constraints,such as full employment,international balance of payments,and financial stability,price stability has always been one of the primary monetary policy objectives of the central bank.Achieving the goal of price stability requires authorities to accurately understand the inflation risks faced by China.This is done through forward-looking and rule-based policy adjustments,avoiding the time inconsistency problems associated with ad hoc decision-making and the high costs of remedial actions afterward.Lopez-Salid and Loria(2024)introduced the concept of inflation-at-risk(IaR),which involves constructing an inflation forecast distribution to identify the probability of inflation exceeding or falling below specific thresholds,thereby measuring the tail risks associated with inflation outlooks.On the one hand,consistent with the definition of risk,inflation risk falls under the domain of intertemporal research that assesses the likelihood of future inflation“unanchoring.”On the other hand,unlike point estimates and conditional forecasts,the construction of the inflation forecast distribution allows for the incorporation of nonlinearity and asymmetry in inflation levels influenced by specific macroeconomic factors.The advantages of the IaR research framework are as follows:(1)Maintaining price stability is a crucial responsibility of central banks worldwide.Although traditional linear regression models offer a range of unbiased explanations for price fluctuations,for policymakers,risk identification and early warning signals are sometimes even more critical than causality inference based on generating unbiased estimates.(2)Compared to conditional means,distribution fitting provides authorities with a more comprehensive policy design timeline and toolset by identifying tail risks associated with future inflation.In summary,the paradigm of IaR research offers a scenario analysis framework tailored to inflation risk assessment.Based on quarterly time series data from China from 2003 to 2021,this study employs a hybrid Phillips curve framework under open-economy conditions.It incorporates quantile regression and stable distribution fitting techniques to construct an IaR analysis framework.The objective is to identify tail risks in China,investigate their driving factors and time-varying characteristics,and provide a prospective depiction of China's future inflation path.The findings reveal that inflation expectations,domestic financial conditions,and international commodity prices are the primary sources of tail risks in China's inflation.Different factors have asymmetric effects on the tail risks of inflation,where downward inflation risks in China mainly stem from declining inflation expectations and tightening domestic financial conditions.Conversely,upward inflation risks are primarily driven by rising inflation expectations and increasing international commodity prices.Further validation reveals that the inflation path constructed in this study serves as an effective early warning system for actual inflation in China.The marginal contributions of this study can be summarized as follows:First,it introduces a novel macroeconomic research paradigm centered on IaR to identify the distribution characteristics and tail risks of inflation in China.Prior literature primarily discussed the contemporaneous impact of domestic and foreign factors on China's inflation mean.However,this study places a specific emphasis on the exceptional price volatility risks facing China,especially deflationary risks.Second,in terms of research content,by combining a hybrid Phillips curve framework under open-economy conditions with the identification of inflation distribution and tail risks,it explores the driving factors and time-varying characteristics of inflation risks in China.The study systematically examines the mechanisms behind the emergence of deflationary and inflationary risks in China,thereby expanding the scope of existing research.Third,in terms of practical application,it enhances the research methods employed by Adrian et al.(2019)and Lopez-Salid and Loria(2024).Leveraging quarterly inflation data from China,it constructs a set of indicators for deflationary and inflationary risks in China and quantitatively evaluates China's inflation path.Compared with the traditional inflation forecasting literature,this study is grounded in a more robust theoretical foundation and holds greater policy reference value.