中国通货膨胀不确定性来源及其对宏观经济的影响_苏梽芳.pdfVIP

中国通货膨胀不确定性来源及其对宏观经济的影响* 苏梽芳 胡日东 （华侨大学商学院、数量经济研究院，福建泉州，362021 ） 摘 要：利用中国1983-2007 年月度CPI 数据，建立时变参数-马尔柯夫机制转换模型度量了通 货膨胀不确定性，并把通货膨胀不确定性分解为由宏观政策层面变化所引起的不确定性与经济 冲击所引起的不确定性，进而分别考察这两类不确定性对宏观经济的影响。研究结论表明：（1） 经济冲击所引起的不确定性占据总不确定性的大部分，但同时不能忽视宏观政策层面引发的不 确定性；（2 ）不同来源的通货膨胀不确定性对宏观经济有着不同的影响。研究结论具有重要的 政策含义：正确把握通货膨胀不确定性来源是合理制定政策的前提，在当前的通货膨胀环境下， 政府应首先从应付经济冲击入手，另外坚定地实行从紧的货币政策，使政府的信念成为一致的 社会行为，防止结构性通货膨胀演变为全面通货膨胀。 关键词：通货膨胀；通货膨胀不确定性；时变参数马尔柯夫机制转换模型 Sources of Inflation Uncertainty and the Impact on Macroeconomic Activity in China Abstract: This paper measures the inflation uncertainty by estimating a time-varying Markov -switching model using the monthly Chinese CPI data from 1983 to 2007 and then separates inflation uncertainty into two components: the uncertainty caused by macroeconomic policy and the uncertainty caused by economic shock, and review the two kinds of impact on macroeconomic separately. The conclusions show that: （1）Although uncertainty caused by economic shock is main part of total inflation uncertainty, the uncertainty caused by macroeconomic policy should not be ignored; （2 ）different sources of inflation uncertainty have different impacts on macroeconomic activities. The conclusion has important policy implications: Understanding the source of inflation uncertainty correctly is the premise of making rational policy. In current inflation situation, government should deal with the economic shock first and continue tightening monetary policy to make the government’s belief uniform public behavior, as well as, to keep structural inflation from developing to a state of general inflation; Keywords: Inflation; Inflation Uncertainty; Time varying-Markov regime switching model * 国家社科基金项目（项目号：08BJL019 ）和“数量经济学” 国家重点学科联合资助。 18 一、 引