我国通货膨胀持久性的时变特征及其对货币政策的启示  

The Time Varying Characteristic of China's Inflation Persistence and Its Implications for Monetary Policy

作　　者：白雪梅[1] 石大龙 

机构地区：[1]东北财经大学统计学院

出　　处：《统计研究》2014年第3期37-44,共8页Statistical Research

基　　金：国家社会科学基金重大转重点项目"系统性金融风险防范和监管协调机制研究"(12AZD044);全国统计科学研究计划项目"我国系统性金融风险测量的统计问题研究"(2012LZ036)的阶段性成果

摘　　要：通货膨胀持久性对货币政策的制定和实施具有重要作用。本文基于1994-2012年的季度数据,运用状态空间模型研究我国通货膨胀持久性的时变特征,发现在样本期内通货膨胀的持久性总体呈先上升后下降的趋势,绝大部分时间通货膨胀持久性较高。利用货币政策框架进行抑制通货膨胀的政策模拟发现,当存在通货膨胀持久性时,会削弱旨在抑制通货膨胀的货币政策效果,不仅时滞会变长,而且会付出较大的产出代价。因此,央行在制定相关政策时,应在稳定产出与控制通货膨胀之间赋予控制通货膨胀更高的权重。Inflation persistence plays an important role for monetary policy design. Based on quarterly data of 1994 - 2012, this paper uses state-space model to investigate the changes of China＇ s inflation persistence. We found that China＇ s inflation persistence showed an increased and then decreased trend. During most of the sample period, China＇ s inflation persistence was high. Then, this paper uses a monetary policy framework to simulate the anti-inflationary policy. According to the policy simulation, we found that ： when the inflation persistence exists, the effects of anti-inflationary monetary policy are weakened and the policy delay is longer. What＇ s more, there is a large output cost. Lastly, this paper gives some policy suggestions based on the conclusions, such as central bank should give more weight on control inflation between stabilize output and control inflation.

关 键 词：通货膨胀持久性 新凯恩斯菲利普斯曲线 状态空间模型 政策模拟 

分 类 号：C812[社会学—统计学]