中国通货膨胀持续性非对称特征研究

Asymmetry in the Persistence of Chinese inflation

通胀持续性是通货膨胀重要的隐含特征,作用于货币政策的传导机制,影响货币政策的实施效果,决定反通胀成本。本文使用马尔科夫机制转换的UC模型研究中国通货膨胀持续性的特征,识别通胀持续性的变化,并通过隐含脉冲响应函数给出通胀持续性的直观描述。结果显示,在1990’s中期,通胀持续性经历了由高到低的机制转变。

Inflation persistence is an important implied characteristic of inflation,and it affects the transmission mechanism of monetary policy and cost of anti-inflation under the multivariate structure( New Keynesian Phillips curve and Taylor's rule). To investigate the asymmetry feature of inflation persistence,we developed an unobserved components model with Markov-switching parameters,and used the implied impulse response function to measure persistence. As a result,we found there is a regime change from high to low in the inflation persistence in the mid-1960 s.