Markov区制转移模型与我国通货膨胀波动路径的动态特征.pdfVIP

Markov # 111 # Markov区制转移模型与我国通货 膨胀波动路径的动态特征 1 2 2 龙如银 郑挺国 云 航 ( 11 中国矿业大学管理学院; 21 吉林大学数量经济研究中心) 本文应用Markov 区制 移模型, 对我国1984 年以来通货膨胀率的动 态路径进行了模拟分析估计和检验发现了我国通货膨胀路径中不仅存在高通胀区 制和低通胀区制, 也存在经济政策机制与通货膨胀率区制之间的相关性通过与传 统的自回归模型相比较, Markov 区制 移模型考虑了通货膨胀率的内生 移机 制, 从而更好地拟合和刻画了通货膨胀率的数据生成过程 M arkov 区制 移模型 通货膨胀率 平滑概率 F22410 A Markov Regime SwitchingModel and Dynamic Characteristics of Inflation Path in Chinas Economy Abstract: In this paper, w e use M arkov regime O sw itching mo el to investi- gate the ynamic path of China inflation rate since 19841 Accor ing to the result of estimation an test, w e fin that there not only exists / high inflation regime0 an / low inflation regime0 , but also has some relationships betw een the policy mecha- nisms an the regimes of inflation rate1 Compare to tra itional AR mo el, this Markov regime O sw itching mo el consi ers en ogenetic shift of inflation rate an thus better escribes this ata generating process1 ey words: M arkov Regime O sw itching Mo el; Inflation Rate; Smoothing Probablities , ( ) , , , Brou- w er Ericsson ( 1995) 1977 , , , : ( ( 02JAZJ D790007) ( 2003JP005) # 112 # 2005 10 ( Kim, 1993) , , , , M arkov M arkov Hamilton ( 1989) , 20 90 Evans Wachtel ( 1993) , Ricketts Rose ( 1995) , , , , M arkov , , , ; 1988 1 2004 8 Markov , , , Markov , , , , ( Frie man Kutter , 1992) { Pt} : p 2 Pt = L+ E i Pt- i + Et , Et | It-