我国通货膨胀率波动、不确定性与宏观经济运行研究
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摘要
通货膨胀是宏观经济学的永恒主题之一。通货膨胀作为我国政府制定货币政策以及相关宏观经济政策的重要参考指标,它的形成机制、波动特征和未来走势不仅关系到我国经济能否持续稳定快速增长,还关系到我国居民的福利水平,因此研究起来具有重要的现实意义。
本文在国内外相关理论和实证研究基础之上,将通胀波动性和通胀不确定性作为研究的核心内容,着重从数量方法上对我国通胀的波动性、持续性和不确定性进行度量,深入分析和检验我国通胀波动路径的动态特征和形成原因,并对通货膨胀波动对我国经济增长和名义利率的影响作用进行考察。首先,本文对现代通货膨胀理论和模型进行了梳理、归纳和总结;其次,对我国通货膨胀时序路径的波动特征以及可能存在的结构转变点进行了分析和考察,并应用Markov区制转移模型研究发现我国通货膨胀率过程具有显著的区制转移特征。接下来,本文应用ARFIMA-FIGARCH模型对我国通货膨胀率的均值和波动过程存在的长记忆特征进行了研究;第四,本文对我国通货膨胀率和通货膨胀不确定性之间的关系了检验,研究发现,高通货膨胀率将导致较高的通货膨胀不确定性,同时,较高的通货膨胀不确定性也将加剧高通货膨胀局面。第五,本文在VAR框架下,使用冲击反应函数分析方法考察了石油价格冲击和粮食价格冲击对我国通货膨胀的影响,研究发现我国通货膨胀是输入型通货膨胀和结构性通货膨胀相结合的混合性通货膨胀。第六,本文应用协整理论和误差修整模型以及双变量DCC-GARCH模型对我国通货膨胀率与实际产出增长率之间的影响关系进行了研究,结果发现较高的通货膨胀率在一定程度上促进了我国经济的增长。最后,我们在已知结构转变点的情况下,应用分段协整关系检验方法对“费雪效应”进行了检验,发现在我国经济运行中并未出现显著的“费雪效应”。
Inflation is one of the eternal themes of macroeconomics. As a monetary policy of our government, as well as the important macroeconomic policy-related indicators, inflation’s causes and future direction of the formation of is not only related to the sustainability of China's economic growth and stability, but also related to the level of benefits of our residents. The reason is that given the same conditions of income in the currency, the welfare of the residents of a country level, to a large extent will be affected by the price changes of consumer goods. At the same time, as a complex and integrated economic indicators and the actual output, money supply, as well as macroeconomic indicators such as stock returns and other financial indicators, the inflation is closely linked to the stability of a country's economy and has an important impact on the effective allocation of resources. Research related to inflation, whether in theory or empirical analysis has accumulated a great deal of research results. The reason of why economists often used to study inflation is that, on the one hand, as a complex economic phenomena comprehensive the study has an important theoretical and practical significance, on the other hand, its own reflection of price changes and uncertainties will continue to attract the economics to explore its characteristics and the inherent volatility of the causes.
In this paper, based on both the theory and empirical research at home and abroad, the volatility of inflation and inflation uncertainty is the core content of the study, focusing on quantitative methods of China's inflation volatility, persistence and uncertainty. And we did in-depth analysis and testing the dynamic features and formation of inflation volatility in the path of China's economic process on China's economic growth and the impact of volatility in the financial market, with a view to better understanding of the mechanism of China's inflation mechanism and providing a reference for China's the implementation of effective macro-control.
In Chapter 1, we introduced the process of research and literature review the fluctuations in the inflation rate. First of all, we introduced the definition and sorts of inflation, and then, respectively, we reviewed the foreign literatures and internal documents. In addition, this paper also describes the main structure and main contents, and innovations in this article.
In Chapter 2, we introduced theory and models of inflation in the currency and the rational expectations school, Keynesian, New Keynesian and Post-Keynesian and structural inflation school, and did a comparative analysis of models, which provided a theoretical evidence to support the following chapters and make it the core of the theoretical part of this article.
In Chapter 3, we gave the empirical analysis and measurement of test applications of the timing of China's inflation rate and the dynamic characteristics of it, using the Chow statistics, CUSUM tests, CUSUM square test and the Bai and Perron (1998, 2003) which can test structural change in the situation of China's inflation rate. And then we use a more reasonable three districts of the Markov model to describe the transfer system and verify the dynamics characters of the inflation rate in China, which demonstrated that there was a significant process of "deflation zone system", "Inflation Zone" and "moderate zone currency system". In addition, with the estimation and simulation of the District of Markov Switching model, we have found that our country has experienced two high inflation, and from 2007 to the present, China's inflation rate are still in the "moderate zone currency system", but the rate of inflation has been a slight change in trend. Thus, for the current situation of inflation in our country, we must adopt a "Discretion" macro-control policy to stabilize the price level in China to curb the resurgence of high inflation, at the same time to prevent the emergence of deflation.
In Chapter 4, based on the GARCH family models for measuring the time-series characteristics of the fluctuations, we use the ARFIMA-FIGARCH model to test the time-varying volatility of China's inflation rate and the double long memory characters. We found that there are significant long-term memory characters in China's average rate and fluctuations of inflation. Furthermore, we use STARIMA model with smooth migration during structural changes to test the inflation rate in China after the long memory and we revealed that there are relatively smooth processes of structural changes in the inflation rate. When the inflation rate for the transfer of variables are at the time of high inflation, it tends to contain high inflation to accelerate the process of production, but high inflation continued to accelerate the high inflation during the period of short duration, and the inflation rate in its own structural change has been slow, with moderate asymmetric adjustment.
Chapter 5 tested the relationship between China's inflation rate and inflation uncertainty by using the Granger causality test methods and GARCH-M model. We found that the high inflation rate will lead to higher inflation uncertainty, supporting the Friedman hypothesis, at the same time, higher inflation uncertainty will also be a situation exacerbated by high inflation. And the public's sensitivity to inflation uncertainty on inflation is higher during the deflationary period, which means that policy-makers should focus to guide the public's expectations of future inflation in deflation than in inflation in order to maintain the social stability.
In Chapter 6, under the VAR framework, we analyses the effects of international oil price shocks and food price shocks on China's inflation on the application of impulse response function, and we also use the variance decomposition method to study the causes of inflation. We found that China's inflation is not simply the cost-push inflation or demand-pull inflation, but the mixed combination of inflation with the structural inflation and imported inflation. In addition, the greatest impacts on the CPI are the lags of CPI (inflation viscous), indicating that restraining the rising inflation trend is the fundamental way to slow China's currency situation.
In Chapter 7, we test the relationship of China's inflation rate and real output growth rate by using cointegration theory and error model, as well as bivariate DCC-GARCH model in combination with methods of Granger causality test. We found that there is a positive correlation between China's inflation rate and the actual economic growth rate, which means that the high rates of inflation to some extent, promotes China's economic growth. Finally, based on the fact that there are several structural changes in China's inflation rate and the path of nominal interest rates time series, we tested the "Fisher effect" by using the subparagraph cointegration test method. We found that there is no significant "Fisher effect" in China's economic operations, which may make monetary policy difficult to achieve the desired goal, or even result in the weak effect of an expansionary monetary policy, then reduce the nominal stimulation effect on demand. Therefore, it is very important to strengthen the response of the inflation to the interest rate level.
本文在国内外相关理论和实证研究基础之上,将通胀波动性和通胀不确定性作为研究的核心内容,着重从数量方法上对我国通胀的波动性、持续性和不确定性进行度量,深入分析和检验我国通胀波动路径的动态特征和形成原因,并对通货膨胀波动对我国经济增长和名义利率的影响作用进行考察。首先,本文对现代通货膨胀理论和模型进行了梳理、归纳和总结;其次,对我国通货膨胀时序路径的波动特征以及可能存在的结构转变点进行了分析和考察,并应用Markov区制转移模型研究发现我国通货膨胀率过程具有显著的区制转移特征。接下来,本文应用ARFIMA-FIGARCH模型对我国通货膨胀率的均值和波动过程存在的长记忆特征进行了研究;第四,本文对我国通货膨胀率和通货膨胀不确定性之间的关系了检验,研究发现,高通货膨胀率将导致较高的通货膨胀不确定性,同时,较高的通货膨胀不确定性也将加剧高通货膨胀局面。第五,本文在VAR框架下,使用冲击反应函数分析方法考察了石油价格冲击和粮食价格冲击对我国通货膨胀的影响,研究发现我国通货膨胀是输入型通货膨胀和结构性通货膨胀相结合的混合性通货膨胀。第六,本文应用协整理论和误差修整模型以及双变量DCC-GARCH模型对我国通货膨胀率与实际产出增长率之间的影响关系进行了研究,结果发现较高的通货膨胀率在一定程度上促进了我国经济的增长。最后,我们在已知结构转变点的情况下,应用分段协整关系检验方法对“费雪效应”进行了检验,发现在我国经济运行中并未出现显著的“费雪效应”。
Inflation is one of the eternal themes of macroeconomics. As a monetary policy of our government, as well as the important macroeconomic policy-related indicators, inflation’s causes and future direction of the formation of is not only related to the sustainability of China's economic growth and stability, but also related to the level of benefits of our residents. The reason is that given the same conditions of income in the currency, the welfare of the residents of a country level, to a large extent will be affected by the price changes of consumer goods. At the same time, as a complex and integrated economic indicators and the actual output, money supply, as well as macroeconomic indicators such as stock returns and other financial indicators, the inflation is closely linked to the stability of a country's economy and has an important impact on the effective allocation of resources. Research related to inflation, whether in theory or empirical analysis has accumulated a great deal of research results. The reason of why economists often used to study inflation is that, on the one hand, as a complex economic phenomena comprehensive the study has an important theoretical and practical significance, on the other hand, its own reflection of price changes and uncertainties will continue to attract the economics to explore its characteristics and the inherent volatility of the causes.
In this paper, based on both the theory and empirical research at home and abroad, the volatility of inflation and inflation uncertainty is the core content of the study, focusing on quantitative methods of China's inflation volatility, persistence and uncertainty. And we did in-depth analysis and testing the dynamic features and formation of inflation volatility in the path of China's economic process on China's economic growth and the impact of volatility in the financial market, with a view to better understanding of the mechanism of China's inflation mechanism and providing a reference for China's the implementation of effective macro-control.
In Chapter 1, we introduced the process of research and literature review the fluctuations in the inflation rate. First of all, we introduced the definition and sorts of inflation, and then, respectively, we reviewed the foreign literatures and internal documents. In addition, this paper also describes the main structure and main contents, and innovations in this article.
In Chapter 2, we introduced theory and models of inflation in the currency and the rational expectations school, Keynesian, New Keynesian and Post-Keynesian and structural inflation school, and did a comparative analysis of models, which provided a theoretical evidence to support the following chapters and make it the core of the theoretical part of this article.
In Chapter 3, we gave the empirical analysis and measurement of test applications of the timing of China's inflation rate and the dynamic characteristics of it, using the Chow statistics, CUSUM tests, CUSUM square test and the Bai and Perron (1998, 2003) which can test structural change in the situation of China's inflation rate. And then we use a more reasonable three districts of the Markov model to describe the transfer system and verify the dynamics characters of the inflation rate in China, which demonstrated that there was a significant process of "deflation zone system", "Inflation Zone" and "moderate zone currency system". In addition, with the estimation and simulation of the District of Markov Switching model, we have found that our country has experienced two high inflation, and from 2007 to the present, China's inflation rate are still in the "moderate zone currency system", but the rate of inflation has been a slight change in trend. Thus, for the current situation of inflation in our country, we must adopt a "Discretion" macro-control policy to stabilize the price level in China to curb the resurgence of high inflation, at the same time to prevent the emergence of deflation.
In Chapter 4, based on the GARCH family models for measuring the time-series characteristics of the fluctuations, we use the ARFIMA-FIGARCH model to test the time-varying volatility of China's inflation rate and the double long memory characters. We found that there are significant long-term memory characters in China's average rate and fluctuations of inflation. Furthermore, we use STARIMA model with smooth migration during structural changes to test the inflation rate in China after the long memory and we revealed that there are relatively smooth processes of structural changes in the inflation rate. When the inflation rate for the transfer of variables are at the time of high inflation, it tends to contain high inflation to accelerate the process of production, but high inflation continued to accelerate the high inflation during the period of short duration, and the inflation rate in its own structural change has been slow, with moderate asymmetric adjustment.
Chapter 5 tested the relationship between China's inflation rate and inflation uncertainty by using the Granger causality test methods and GARCH-M model. We found that the high inflation rate will lead to higher inflation uncertainty, supporting the Friedman hypothesis, at the same time, higher inflation uncertainty will also be a situation exacerbated by high inflation. And the public's sensitivity to inflation uncertainty on inflation is higher during the deflationary period, which means that policy-makers should focus to guide the public's expectations of future inflation in deflation than in inflation in order to maintain the social stability.
In Chapter 6, under the VAR framework, we analyses the effects of international oil price shocks and food price shocks on China's inflation on the application of impulse response function, and we also use the variance decomposition method to study the causes of inflation. We found that China's inflation is not simply the cost-push inflation or demand-pull inflation, but the mixed combination of inflation with the structural inflation and imported inflation. In addition, the greatest impacts on the CPI are the lags of CPI (inflation viscous), indicating that restraining the rising inflation trend is the fundamental way to slow China's currency situation.
In Chapter 7, we test the relationship of China's inflation rate and real output growth rate by using cointegration theory and error model, as well as bivariate DCC-GARCH model in combination with methods of Granger causality test. We found that there is a positive correlation between China's inflation rate and the actual economic growth rate, which means that the high rates of inflation to some extent, promotes China's economic growth. Finally, based on the fact that there are several structural changes in China's inflation rate and the path of nominal interest rates time series, we tested the "Fisher effect" by using the subparagraph cointegration test method. We found that there is no significant "Fisher effect" in China's economic operations, which may make monetary policy difficult to achieve the desired goal, or even result in the weak effect of an expansionary monetary policy, then reduce the nominal stimulation effect on demand. Therefore, it is very important to strengthen the response of the inflation to the interest rate level.
引文
①这小节内容参考马洪、高尚全编写的《中国通货膨胀研究》,1990年10月第一版,第49-56页。
②参见爱德华·夏皮罗:《宏观经济分析》,中国社会科学出版社,1985年版,第646页。
③参见张国光著《反通货膨胀论——理论、运作与对策》,西南财经大学出版社,1996年版,第22页。
①有关Chow检验的详细介绍参见高铁梅等著《计量经济分析方法与建模》,清华大学出版社,2006年第一版,第83-84页内容。
①《外部冲击与中国的通货膨胀》,中国经济增长与稳定课题组,经济研究,2008年第5期,5-6页。
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