居民与专家通货膨胀预期的差异及两者间关系--流行病学模型在中国的检验  

The Disagreement and Interaction between Households' Inflation Expectations and Professional Forecasters' Inflation Expectations:Epidemiological Model Test in China

作　　者：何运信[1,2] 沈宏 耿中元[4] 

机构地区：[1]浙江财经大学金融学院 [2]浙江财经大学财富管理与量化投资协同创新中心,浙江杭州310018 [3]平安银行宁波分行,浙江宁波315000 [4]哈尔滨工业大学管理学院,黑龙江哈尔滨150001

出　　处：《金融研究》2014年第5期17-33,共17页Journal of Financial Research

基　　金：国家自然科学基金项目(71273224和71103048);浙江省自然科学基金项目(LY12G03010)资助

摘　　要：本文比较性考察了居民和专家通货膨胀预期的异质性及预测能力,通胀预期在专家和普通公众之间传播问题,以及居民通胀预期的动态机制。研究结果表明:①居民和专家的预期都有历史通胀数据所没有包含的信息,两者对未来的通胀都有一定的预测能力,但专家的预期偏差要明显小于居民;②尽管居民和专家预期都存在短期偏差,但长期来看他们都不会系统性地高估或低估通胀;③从有效利用宏观经济信息的角度来看,专家吸收信息的广度和速度远强于居民,更接近理性预期。④流行病学模型能较好地刻画通胀预期从专家向居民的传导过程和居民预期的动态机制。This paper stydies the heterogeneity between the inflation expectations of households and professional forecasters, as well as the predictive power of these expectations and the dynamic mechanism by which inflation expectations spread from professional forecasters to general public. Our main conclusions are as follows： ①The inflation expectations of households and experts all contain useful information, which is not contained in the his- torical data of inflation ; the predictive power of experts＇ expectations to the future inflation is significantly stron- ger than the residents＇. ②Although there are short - term forecast errors, they didn＇t overestimate or underesti- mate inflation systematically in the long run. ③The experts have more effectively utilized information in macro- economic variables than households do, so their inflation expectations are closer to rational expectations. ④The epidemiological model adequately captures the inflation expectations＇ transmission from experts to households and the dynamic mechanism of households＇ inflation expectations.

关 键 词：通货膨胀预期 异质性 流行病学模型 

分 类 号：F822.5[经济管理—财政学] F224