中国通货膨胀尾部风险的识别、驱动因素与时变特征  

Tail Risk of Inflation in China:Identification,Driving Factors and Time-varying Characteristics

作　　者：王欣康 谭小芬 WANG Xinkang;TAN Xiaofen(School of Finance,Central University of Finance and Economics;School of Economics and Management,Beihang University)

机构地区：[1]中央财经大学金融学院 [2]北京航空航天大学经济管理学院

出　　处：《数量经济技术经济研究》2024年第6期26-45,共20页Journal of Quantitative & Technological Economics

基　　金：国家社会科学基金重大项目(20&ZD101);国家社会科学基金重点项目(21AZD066)的资助。

摘　　要：通货膨胀水平波动加剧是当前世界经济的重要特征。本文基于开放经济条件下的混合菲利普斯曲线与“在险通货膨胀”的研究范式,识别出中国的通货膨胀尾部风险,然后探讨其驱动因素与时变特征,并且前瞻性地刻画中国的未来通胀路径。研究发现,通胀预期、国内金融状况与国际大宗商品价格是中国通货膨胀尾部风险的主要来源。不同因素对通胀尾部风险的驱动作用存在非对称效应,中国的通货膨胀左尾风险主要受通胀预期下降以及国内金融状况收紧的驱动,而通货膨胀右尾风险则主要受通胀预期上升以及国际大宗商品价格上涨的驱动。事后验证表明,本文构建的中国通胀路径对实际通胀水平具有较好的预测效果。在日趋复杂的国际环境下,本文的研究为中国维护国内物价稳定、推动经济高质量发展提供了有益借鉴。The intensification of fluctuating inflation levels is a prominent feature of the current global economy.Since 2021,driven by robust demand triggered by extensive fiscal and monetary stimuli,coupled with supply shortages caused by global supply chain pressures,global inflation has continued to rise.The overall level of global inflation has exhibited a“reverse U”trend since 2020.According to statistics,the annual inflation rate in the United States reached 8.0%in 2022,marking a new high since 1981,while that of the Eurozone reached 8.5%—the highest since its establishment.Since 2023,although inflation has been maintained at a certain level,it has rapidly declined under the aggressive interest rate hike strategies of major advanced economies.China's consumer price index(CPI)growth rate was relatively moderate from 2021 to 2022,but it has been consistently decreasing since 2023.As of October 2023,China's CPI year-on-year growth rate has been below 0.2%for seven consecutive months.For central banks that aim to achieve specific inflation targets,evaluating the tail risks of inflation under the current economic and financial conditions is a necessary step in their macroeconomic management.For policymakers in various countries,assessing future risks is of considerable importance.The essence of monetary policy operations aimed at price stability is to achieve a return to the established inflation target under specific risks.For China,despite the need for monetary policy formulation to consider multiple goals and constraints,such as full employment,international balance of payments,and financial stability,price stability has always been one of the primary monetary policy objectives of the central bank.Achieving the goal of price stability requires authorities to accurately understand the inflation risks faced by China.This is done through forward-looking and rule-based policy adjustments,avoiding the time inconsistency problems associated with ad hoc decision-making and the high costs of remedial actions afterward.L

关 键 词：通货膨胀尾部风险 在险通货膨胀 通胀预期 金融状况 通胀路径 

分 类 号：F822.5[经济管理—财政学]