我国通胀预期的动态特征及其政策启示  

Dynamic Features of China's Inflation Expectation and Its Policy Implications

作　　者：许文立[1] 程建华[2] 

机构地区：[1]武汉大学经济与管理学院,湖北武汉430072 [2]安徽大学经济学院,安徽合肥230601

出　　处：《当代财经》2017年第5期14-23,共10页Contemporary Finance and Economics

基　　金：国家社会科学基金重大项目"建构基于生态文明建设的公共财政体制研究"(15ZDB158);国家社会科学基金重大项目"城乡环境基本公共服务非均等程度评估及均等化路径研究"(11&ZD041);国家社会科学基金一般项目"我国通货膨胀动态特征;预期冲击与最优监测目标研究"(12BJL024)

摘　　要：通胀预期是影响当前和未来通货膨胀形成的主导因素之一,但我国通胀预期具有较大波动性,直接影响了通胀管理政策的实施效果。通过ARMA-GARCH模型对我国通胀冲击和通胀预期的动态特征进行了实证分析,结果表明:(1)理性预期和通胀惯性是独立影响通胀的因素,并且通货膨胀扰动具有惯性、周期性和周期滞后性特征;(2)通胀预期冲击具有惯性特征,且实际通胀冲击会影响通胀预期稳定性;(3)通胀波动对通胀预期稳定性存在非对称影响,其对负向实际通胀波动更加敏感。上述分析结果的通胀管理政策启示是,政府只能通过预期引导方式实现通胀目标,但需要采取谨慎的通胀管理政策。Inflation expectation is one of the leading factors influencing the current and future inflation, but the inflation expectation in China has greater volatility, which can directly affect the implementation effect of the inflation management policies. By applying the ARMA-GARCH models,this paper makes an empirical analysis of the dynamic features of China’s inflation im pacts and its expectation. The results indicate that：（1） rational expectation and inflation inertia are separate factors influencing inflation, and the disturbance on inflation shows such characteristics as inertia, periodicity and cyclical hysteretic nature;（2） the shocks from inflation expectation has the feature of inertia, and the actual inflation impact would affect the stability of the inflation expectation; and（3） the inflation fluctuation has an asymmetric effect on the stability of inflation expectation, and it is more sensitive to the negative actual inflation fluctuation. The results of the above analysis present such policies suggestions for inflation management that the government can realize its inflation target only through the way of expectation guidance, but it has to adopt prudent inflation management policies.

关 键 词：通胀惯性 理性预期 预期冲击 误差记忆性 

分 类 号：F822.5[经济管理—财政学]