本文選題：核心通貨膨脹　切入點(diǎn)：貨幣政策　出處：《華僑大學(xué)》2012年博士論文

【摘要】：目前，世界上越來(lái)越多的國(guó)家和地區(qū)開(kāi)始關(guān)注并構(gòu)建核心通貨膨脹指標(biāo)，并將其作為制定貨幣政策的重要參考指標(biāo)。我國(guó)國(guó)家統(tǒng)計(jì)局和中國(guó)人民銀行也開(kāi)始在制定貨幣政策過(guò)程中關(guān)注核心通貨膨脹，但目前尚無(wú)官方度量并定期公布該指標(biāo)，本文將在該背景下對(duì)我國(guó)核心通貨膨脹的度量問(wèn)題進(jìn)行系統(tǒng)地研究。對(duì)這一問(wèn)題的研究不僅可以有助于準(zhǔn)確地認(rèn)識(shí)我國(guó)通貨膨脹的長(zhǎng)期潛在趨勢(shì)，而且對(duì)科學(xué)地制定貨幣政策和有效地實(shí)施貨幣政策具有理論和現(xiàn)實(shí)意義。全文的研究工作和研究結(jié)論主要概括為以下幾個(gè)方面。 首先分析了核心通貨膨脹的含義及其度量方法。在充分回顧和理解對(duì)核心通貨膨脹研究的相關(guān)文獻(xiàn)基礎(chǔ)上，將核心通貨膨脹的含義界定為：剔除CPI籃子中各類(lèi)商品和服務(wù)價(jià)格指數(shù)變動(dòng)的暫時(shí)成分后，余下各類(lèi)商品和服務(wù)價(jià)格指數(shù)的長(zhǎng)期共同成分，反映通貨膨脹的潛在的長(zhǎng)期趨勢(shì)，這是貨幣政策決策部門(mén)制定貨幣政策時(shí)重點(diǎn)關(guān)注的指標(biāo)。根據(jù)構(gòu)建核心通貨膨脹過(guò)程中所使用的數(shù)據(jù)信息集將度量方法分為基于同期分類(lèi)橫截面數(shù)據(jù)、基于時(shí)間序列數(shù)據(jù)和基于面板數(shù)據(jù)的三類(lèi)方法。同其他消費(fèi)價(jià)格指數(shù)相比，CPI是公眾熟知的，具有更新最快，容易被公眾所理解，而且不容易被中央銀行操縱等特點(diǎn)。因此，本文基于CPI數(shù)據(jù)度量我國(guó)核心通貨膨脹即核心CPI。 本文并將貝葉斯估計(jì)與Gibbs Sampler相結(jié)合估計(jì)狀態(tài)空間模型，將貨幣供給這個(gè)“硬核”考慮在模型中度量我國(guó)核心CPI。結(jié)果表明，樣本期間（2001年1月至2011年4月）我國(guó)核心CPI的均值和標(biāo)準(zhǔn)差均小于CPI，我國(guó)核心CPI與CPI呈現(xiàn)出基本一致的波峰、波谷及波動(dòng)頻率。度量的核心CPI與貨幣供給增長(zhǎng)率的相關(guān)性較大，符合模型的設(shè)定。從算法角度來(lái)講，不僅解決了貝葉斯方法應(yīng)用過(guò)程中多維積分計(jì)算問(wèn)題，而且提高了估計(jì)狀態(tài)空間的速度和準(zhǔn)確度。 采用動(dòng)態(tài)因子指數(shù)（DFI）模型度量我國(guó)核心CPI。度量結(jié)果表明該核心CPI的波動(dòng)幅度、均值及標(biāo)準(zhǔn)差均小于CPI，與CPI相比，核心CPI與貨幣供給增長(zhǎng)率的相關(guān)性較大，并且進(jìn)一步得出各類(lèi)商品價(jià)格指數(shù)決定核心CPI的比例，衣著消費(fèi)價(jià)格指數(shù)和交通與通訊價(jià)格指數(shù)對(duì)核心CPI的貢獻(xiàn)較大，食品、娛樂(lè)教育與居住價(jià)格指數(shù)對(duì)核心CPI的貢獻(xiàn)最小。 從不同角度對(duì)上述方法度量各種核心CPI進(jìn)行比較。分別從核心CPI期望性質(zhì)、波動(dòng)性、無(wú)偏性、追蹤通貨膨脹趨勢(shì)值、平穩(wěn)性、與CPI的相關(guān)性、協(xié)整關(guān)系、因果關(guān)系及與產(chǎn)出缺口關(guān)系方面比較各種核心CPI的相對(duì)優(yōu)劣。結(jié)果顯示，在樣本期間內(nèi)，目前沒(méi)有任何一種核心CPI完全滿(mǎn)足所有期望性質(zhì)；在實(shí)際應(yīng)用中，哪種核心CPI更適合作為制定貨幣政策的依據(jù)取決于對(duì)核心CPI各特征的不同偏重以及目的和需要。在同等重視各特征下，較優(yōu)核心CPI的度量方法是非對(duì)稱(chēng)修剪均值法、BGS狀態(tài)空間模型法及DFI模型法。但從實(shí)際應(yīng)用角度來(lái)看，采用上述度量核心CPI的方法雖然具有穩(wěn)定的理論基礎(chǔ)，但不易被公眾所理解，所以作為現(xiàn)實(shí)通貨膨脹的監(jiān)測(cè)目標(biāo)使用不太適合，這也反映了經(jīng)濟(jì)政策研究和經(jīng)濟(jì)理論研究對(duì)核心通貨膨脹的研究存在一定差別。 度量核心通貨膨脹的重要目的是它有助于預(yù)測(cè)未來(lái)通貨膨脹。本文采用最廣泛使用的預(yù)測(cè)模型檢驗(yàn)我國(guó)核心CPI預(yù)測(cè)CPI能力時(shí)，模型的擬合度均較小，系數(shù)為負(fù)也并不顯著，說(shuō)明該模型的預(yù)測(cè)效果并不明顯。為了更有效地檢驗(yàn)我國(guó)核心CPI對(duì)CPI的預(yù)測(cè)能力，，本文建立一個(gè)合理的模型，從擬合度和系數(shù)的置信區(qū)間兩方面對(duì)各種核心CPI的預(yù)測(cè)能力進(jìn)行檢驗(yàn)。結(jié)果顯示，在樣本期內(nèi)，剔除法、加權(quán)中位數(shù)法、方差權(quán)重法及慣性權(quán)重法度量的核心CPI對(duì)CPI預(yù)測(cè)幾乎不起作用，SVAR模型及共同趨勢(shì)模型預(yù)測(cè)區(qū)間較小，而非對(duì)稱(chēng)修剪法、BGS狀態(tài)空間法及DFI模型法的預(yù)測(cè)區(qū)間均超過(guò)10期。 最后，對(duì)貨幣政策關(guān)注核心通貨膨脹的原因及風(fēng)險(xiǎn)進(jìn)行理論分析。關(guān)注核心通貨膨脹不僅有利于維持貨幣政策的可信度和可靠性，而且有助于貨幣政策決策部門(mén)準(zhǔn)確地把握未來(lái)通貨膨脹的走勢(shì)，作出科學(xué)有效的貨幣政策。在此基礎(chǔ)上，分析了過(guò)度關(guān)注核心通貨膨脹的風(fēng)險(xiǎn)，食品和能源的價(jià)格變動(dòng)可能包含反映未來(lái)通貨膨脹變動(dòng)的有用信息，簡(jiǎn)單地將其從標(biāo)題通貨膨脹中剔除，將不利于有效地控制通貨膨脹和預(yù)測(cè)未來(lái)通貨膨脹。因此，本文認(rèn)為，我國(guó)在對(duì)短期的價(jià)格水平變動(dòng)進(jìn)行貨幣政策調(diào)整時(shí)，應(yīng)該主要關(guān)注標(biāo)題通貨膨脹即CPI，同時(shí)關(guān)注核心通貨膨脹。貨幣政策對(duì)核心通貨膨脹同樣存在較大的滯后效應(yīng)，在制定中長(zhǎng)期貨幣政策時(shí)應(yīng)重點(diǎn)關(guān)注具有前瞻性的核心通貨膨脹。 本文的主要?jiǎng)?chuàng)新為：（1）從研究角度上，本文對(duì)核心通貨膨脹的含義及其度量方法進(jìn)行了比較全面系統(tǒng)的研究。（2）在度量方法上，本文使用馬爾科夫鏈蒙特卡洛算法（MCMC算法）度量我國(guó)的核心CPI。（3）本文在國(guó)內(nèi)學(xué)術(shù)界首次使用動(dòng)態(tài)因子指數(shù)（DFI）模型度量我國(guó)的核心CPI。（4）在評(píng)價(jià)各種核心通貨膨脹優(yōu)劣方面，本文從多角度綜合地對(duì)各種核心CPI進(jìn)行比較。（5）提出一個(gè)具有合理理論含義的核心CPI預(yù)測(cè)模型。
[Abstract]:At present, more and more countries and regions of the world and began to focus on core inflation index, which is used as an important reference index for the formulation of monetary policy. China's National Bureau of statistics and the people's Bank of China also began to focus on core inflation in the process of formulating monetary policy, but there is no official measure and regularly publish the index this paper will be in the context of measure of core inflation in China was systematically studied. The potential long-term trend of the research on this problem can not only contribute to the understanding of inflation in China, and to formulate scientific and effective implementation of monetary policy, monetary policy has theoretical and practical significance to the conclusion of this paper. The main research work and research as follows.
First analyzes the meaning and measure of core inflation. In the full review and understand the relevant literature on the basis of research on core inflation, the core inflation definition: temporary components of all kinds of goods and services price index excluding CPI changes in the basket after long-term common components left all kinds of goods and services price index, potential the long-term trend indicator of inflation, the monetary policy decision-making departments focus on monetary policy indicators. According to the measurement methods are divided into the same classification based on cross-sectional data used to build the core inflation data in the information set, based on time series data and based on three kinds of panel data method. Compared with other consumer price index CPI, is known to the public, has updated quickly, easily understood by the public, and not easy to be the central bank. Therefore, this paper is based on CPI data to measure the core inflation in China, that is, the core CPI.
In this paper, and the Bias estimation combined with the Gibbs Sampler estimation of state space model, the money supply the "hard core" considered in the model of moderate amount of our core CPI. results show that the sample period (January 2001 to April 2011) the mean and standard of our country the core difference of CPI was less than CPI, CPI and CPI showed a consistent core in China the peak, trough and fluctuation frequency measurement. The core CPI and the growth rate of the money supply are greatly correlated with model set algorithm. From the point of view, not only solves the problem of calculating method in the application process of multidimensional Bias integral, but also improve the state space estimation accuracy and speed.
The dynamic factor index (DFI) model to measure the core CPI. the result shows that volatility of the core of CPI, the mean and standard deviation were less than CPI, compared with CPI, core CPI and the money supply growth rate greater correlation, and further draw all kinds of commodity price index determines the core ratio of CPI, with the price of clothing consumption the index and the price index of transportation and communication on the core of CPI is big, food, entertainment and residential price index contribution of education on the core of CPI is the minimum.
To compare these methods to measure the various core CPI from different angles. From the core CPI expected properties, volatility unbiasedness, tracking inflation trend value, stability, and the correlation between CPI, cointegration, causality and relationship with the relative merits of the output gap is a variety of core CPI. The results showed that in during the sample period, there is no any kind of core CPI satisfy all desired properties; in practice, what kind of core CPI is more suitable for the formulation of monetary policy depends on the basis of core CPI to the characteristics of the different emphasis and purpose and need. In the equal importance of each feature, the better the core CPI measurement method is a non symmetric trimmed mean method, BGS state space model method and DFI model method. But from the practical point of view, using the method of the measurement of the core CPI has solid theoretical foundations, but it is not easy to be public As we all know, it is not very suitable for monitoring inflation as a realistic inflation target. It also reflects some differences in core inflation research between economic policy research and economic theory research.
An important objective measure of core inflation is that it helps to predict future inflation. The prediction model is the most widely used test for China's core CPI CPI prediction ability, the fitting degree of the model are smaller, a negative coefficient is not significant, the prediction effect of the model is not obvious. In order to test our core CPI prediction ability of CPI, this paper establishes a reasonable model, from the two aspects of the confidence interval fitting degree and coefficient of the prediction ability of various core CPI were tested. The results show that in the sample period, elimination method, weighted median method, variance weight method and CPI core measure of inertia weight on CPI prediction almost no effect, and the common trend of SVAR model prediction interval is smaller, and the asymmetrical pruning method, prediction interval BGS state space method and DFI model method are more than 10.
Finally, to analyze the reason and risk of monetary policy to focus on core inflation. Focus on core inflation is not only conducive to the maintenance of monetary policy credibility and reliability, but also contribute to the monetary policy decision-making departments accurately grasp the future trend of inflation, to make a scientific and effective monetary policy. On this basis, analysis of the risk of excessive attention to core inflation the food and energy price changes may contain useful information about future inflation, simply removing them from the headline inflation, will not be conducive to effectively control inflation and predict future inflation. Therefore, this paper argues that the change of our country to adjust monetary policy in the short-term price level, should focus on the title inflation is CPI, at the same time to focus on core inflation. Monetary policy on inflation as the core There is a large lag effect, and in the formulation of medium and long term monetary policy, we should focus on the forward-looking core inflation.
The main innovation of this paper: (1) from the research point of view, the meaning of core inflation and its measurement methods are studied systematically. (2) in the measurement method, this paper use the Markoff Montecalo algorithm (MCMC algorithm) to measure the core of CPI. (3) for the first time using dynamic factor index the domestic academic circles (DFI) core CPI. model to measure our country (4) in the evaluation of various aspects of the advantages and disadvantages of core inflation, to compare various kinds of core CPI from a comprehensive perspective. (5) proposed a reasonable physical meaning of the core CPI forecast model.

【學(xué)位授予單位】：華僑大學(xué)
【學(xué)位級(jí)別】：博士
【學(xué)位授予年份】：2012
【分類(lèi)號(hào)】：F224;F822.5

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