中国通货膨胀与RPV——基于理论模型的实证研究  

An Empirical Study Based on Theoretical Models of Inflation and RPV in China

作　　者：陈仲常[1] 聂飒[2] 

机构地区：[1]重庆大学贸易与行政学院,重庆400044 [2]重庆大学经济与工商管理学院,重庆400044

出　　处：《管理工程学报》2012年第4期84-89,共6页Journal of Industrial Engineering and Engineering Management

基　　金：国家社会科学基金资助项目(07BJY110)

摘　　要：文章简单介绍了有关通货膨胀与RPV关系的理论并构建了理论模型;然后估算了中国加权的RPV与不加权的RPV以及通货膨胀率,再构建单变量的GARCH模型将通货膨胀率分解为预期通货膨胀、非预期通货膨胀和通货膨胀不确定性三个要素,并运用估计得到的数据实证检验了中国通货膨胀与RPV的关系。研究得出中国通货膨胀与RPV呈指数型非线性关系,并且存在结构断点,国外有关通货膨胀与RPV关系的理论模型也得到了一定地数据支持,但是单独一种理论模型无法全面解释中国RPV与通货膨胀的关系,三种模型结合起来也是不健全的。Previous study shows that inflation has impact on relative price variability （ RPV）. Economic theories emphasize the revenue of price stability and the welfare cost of inflation. Thus, it＇s important to understand the market reaction to inflation shock and determine the micro basis of macroeeonomie volatility in order to investigate the relationship between inflation and RPV. The menu cost model shows that RPV is positively correlated with the expected inflation. Signal extraction models show that RPV is positively correlated with unexpected inflation and inflation uncertainty. To understand whether we can use these theoretical models to explain the relationship between inflation and RPV in China, we first build a theoretical model based on previous theories and compute the inflation index and RPV using the monthly data from January 2001 to October 2010. We further categorize inflation into expected inflation, unexpected inflation and inflation uncertainty. Lastly, we empirically test the nonlinear relationship between inflation and RPV. The empirical conclusions are as follows. Firstly, the nonlinear relationship between inflation and RPV is present in China. The relationship is exponential and different from U type in foreign studies. This finding indicates that an asymmetric relationship exists because the impact of price rises on RPV is different from that of price fall. Thus, we should adopt the mild tightening policy to control inflation and take positive expansion policy to manage deflation in order to stabilize price. The impact of expected inflation and inflation uncertainty on RPV is positive, meaning that RPV will increase with inflation expectation and economic or financial crises and natural calamities in domestic and overseas on economy can have impact on inflation uncertainty. The impact of unexpected inflation on RPV is negative indicating that when the unexpected inflation is resulted from the sudden impact of demand and supply on economy, single firm will fail to adjust the price of prod

关 键 词：RPV 预期通货膨胀 非预期通货膨胀 通货膨胀不确定性 

分 类 号：F015[经济管理—政治经济学] F822.5