中国通货膨胀持续性的非对称特征研究——基于分位数自回归模型和分位数单位根的研究
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摘要
基于1990-2013年中国月度CPI数据,本文通过运用分位数自回归模型和分位数单位根检验方法,研究了中国通货膨胀惯性的非对称特征,并分析了不同分位点上的通货膨胀惯性系数、单位根检验结果和半衰期。结果发现:中国的通货膨胀持续期存在明显的非对称特征,1998年之后通货膨胀持续性要显著低于1998年之前;相比于高通货膨胀水平,低通货膨胀水平上的通货膨胀持续性要显著降低。
Based on the monthly Chinese CPI data from 1990 to 2013,this paper uses the quantile autoregression model proposed by Koenker and Xiao( 2006) and quantile unit root tests method proposed by Koenker and Xiao( 2004) to research the asymmetric characteristics of Chinese inflation persistence. The results from the research on persistence parameters,unit root test and half-life in different quantiles are as follows: 1. Chinese inflation persistence has significant asymmetric characteristics; 2. The inflation persistence before 1998 is significantly lower than the inflation persistence after 1998; 3. The inflation persistence in low inflation is significantly lower than the inflation persistence in high inflation.
Based on the monthly Chinese CPI data from 1990 to 2013,this paper uses the quantile autoregression model proposed by Koenker and Xiao( 2006) and quantile unit root tests method proposed by Koenker and Xiao( 2004) to research the asymmetric characteristics of Chinese inflation persistence. The results from the research on persistence parameters,unit root test and half-life in different quantiles are as follows: 1. Chinese inflation persistence has significant asymmetric characteristics; 2. The inflation persistence before 1998 is significantly lower than the inflation persistence after 1998; 3. The inflation persistence in low inflation is significantly lower than the inflation persistence in high inflation.
引文
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[2]Phelps,E.S.Disinflation without recession:Adaptive guideposts and monetary policy[J].Review of World Economics,1978,114(4),pp.783-890.
[3]Taylor,J.B.Aggregate dynamics and staggered contracts[J].The Journal of Political Economy,1980,88(1),pp.1-23.
[4]Roberts,J.M.Inflation Expectations and the Transmission of Monetary Policy[R].Finance and Economics Discussion Paper,No.43,Board of Governors of the Federal Reserve System,1998.
[5]Mankiw,N.G.and R.Reis.Sticky Information versus sticky prices:A proposal to replace the new keynesian phillips curve[J].The Quarterly Journal of Economics,2002,117(4),pp.1295-1328.
[6]Taylor,J.B.Low inflation,pass-through,and the pricing power of firms[J].European Economic Review,2000,44(7),pp.1389-1408.
[7]Stock,J.H.Evolving Post-World War II US Inflation Dynamics:Comment[R].NBER Macroeconomics Annual,2001,16,pp.379-387.
[8]Pivetta,F.and R.Reis.The persistence of inflation in the United States[J].Journal of Economic Dynamics and Control,31(4),pp.1326-1358.
[9]Kumar,M.S.and T.Okimoto.Dynamics of persistence in international inflation rates[J].2007,39(6),pp.1457-1479.
[10]Lee,H.Y.and J.L.Wu.Mean reversion of inflation rates:Evidence from 13 OECD countries[J].Journal of Macroeconomics,2001,23(3),pp.477-487.
[11]Levin,A.T.and J.M.Piger.Is Inflation Persistence Intrinsic in Industrial Economies?[R].the Federal Reserve Bank of St.Louis,Working Paper,2004.
[12]Cuestas,J.C.and B.Harrison.Inflation persistence and nonlinearities in central and eastern European countries[J].Economics Letters,2011,106(2),pp.81-83.
[13]Gadea,M.D.and L.Mayoral.The persistence of inflation in OECD countries:A fractionally integrated approach[J].International Journal of Central Banking,2006,2(1),pp.51-104.
[14]刘金全,郑挺国.我国通货膨胀率均值过程和波动过程中的双长记忆性度量与统计检验[J].管理世界,2007,(7),14-21.
[15]张成思.中国通胀惯性特征与货币政策启示[J].经济研究,2008,(2),33-43.
[16]苏梽芳.中国通货膨胀持续性事变特征及其来源分析[J].云南财经大学学报,2010,(5),34-39.
[17]Lima,L.R.,W.P.Gaglianone,and R.M.B.Sampaio.Debt ceiling and fiscal sustainability in Brazil:A quantile autoregression approach[J].Journal of Development Economics,2008,86(2),pp.313-335.
[18]Koenker,R.and Z.Xiao.Quantile Autoregression[J].Journal of the American Statistical Association,2006,101(475),pp.980-990.
[19]Koenker,R.and Z.Xiao.Unit root quantile autoregression inference[J].Journal of the American Statistical Association,2004,99(1),pp.775-787.
[20]Koenker,R.and G.Bassett.Regression quantiles[J].Econometrica,1978,46(1),pp.33-50.