基于结构性断点检验ARIMA模型的短期通货膨胀预测  

Short-term Inflation Prediction Based on the Structural Breakpoint Examining ARIMA Model

作　　者：朱新蓉[1] 彭超[2] ZHU Xinrong a PENG Chao b(a.Hubei Collaborative Innovation Cente b.Finance School,Zhongnan University of Economics and Law,Wuhan 430064,Chin)

机构地区：[1]中南财经政法大学产业升级与区域金融湖北省协同创新中心,湖北武汉430064 [2]中南财经政法大学金融学院,湖北武汉430064

出　　处：《广西财经学院学报》2017年第2期36-43,共8页Journal of Guangxi University of Finance and Economics

基　　金：国家社会科学基金重大课题项目"经济发展新常态下货币政策结构调整功能及其有效性研究"(16ZDA034)子课题

摘　　要：运用Gregory C.Chow早期提出的断点检验方法对我国2000年1月份至2016年4月份的CPI同比增长率数据进行断点检验,首先确定2002年10月份与2009年2月份为两个结构性断点,并据以对全样本分三个区间分别建立ARIMA模型,然后将2016年5、6、7月份最终的预测结果与实际值进行对比,发现由2002年10月份到2016年4月份所建立的ARIMA模型有着较高的预测精确度,该模型适用于短期通货膨胀预测,能为管理通胀预期提供依据。Breakpoint examining method,proposed by Gregory the year-on-year growth rate of CPI between January 2000 2009 were confirmed to be two structural breakpoints,and on C. Chow,was used in this paper to examine and April 2016. October 2002 and February this basis the sample was divided into three intervals to set up ARIMA model respectively. And then the final prediction results in May,June and July 2016 were compared with the actual value. The result shows that the ARIMA model based on the data from October 2002 to April 2002 presents better prediction accuracy. The model is suitable for short-term inflation prediction,and will provide a reference for managing infation expectations.

关 键 词：CPI预测 断点检验 ARIMA模型 通胀预期 

分 类 号：F822.5[经济管理—财政学]