我国通胀率与核心通胀率动态机制实证研究.PDF

 我国通胀率与核心通胀率动态机制实证研究 陈 磊 张同斌 （东北财经大学经济计量分析与预测研究中心；东北财经大学数学与数量经济学院） 内容提要：本文首先采用三变量 SVAR 模型对月度通胀率进行了结构冲击分解，据此分 析了需求冲击、货币冲击和供给冲击对通胀率的影响，并对我国核心通胀率进行了测度和检 验。然后采用 STAR 模型分析了通胀率及核心通胀率的波动机制和非线性转换特征。结果表明， 通胀率的变动机制与经济景气状况有关，在经济景气阶段，通胀率具有更强的持续性，表现 为较大幅度的持续上涨，通胀压力不断增加。核心通胀率的变动机制与货币供应的松紧状况 有关。在 M2 增速高于 16.1%的货币供应偏松阶段，核心通胀率通常会出现较大程度的上涨， 而当货币供应结束宽松状态时，核心通胀率同时或稍晚开始下降。 关 键 词：通货膨胀；核心通货膨胀；动态机制；SVAR 模型；STAR 模型 The Empirical Study on the Dynamic Mechanism of Inflation Rate and Core Inflation Rate in China Chen Lei Zhang Tong-bin (Mathematics and Quantitative Economics School, DUFE, Dalian, Liaoning, 116025; Center for Econometric Analysis and Forecasting, DUFE, Dalian, Liaoning, 116025) Abstract: Based on a three-variable SVAR model and structural decomposition of the monthly inflation rate, This paper analyzes the effects of the demand shock, monetary shock and supply shock on the inflation rate, and measures Chinas core inflation rate. We employ the STAR model to analyze the dynamics and regime transition characteristics of the inflation rate and the core inflation rate. The results indicate that the dynamics of inflation is related to the economic conditions. Inflation rate has stronger persistence and sharp rises during the economic boom phases. Different from the inflation rate, the dynamics of core inflation relates to the money supply conditions. During the stage of loose money supply which means M2 growth rate is greater than 16.1%, the core inflation rate rises relatively large. However, it begins to decline at the same time or a bit later when the loose stages end. Key words: Inflation; Core inflation; Dynamic mechanism; SVAR model