本文選題：經濟轉型　切入點：通貨膨脹動態(tài)　出處：《華僑大學》2014年博士論文

【摘要】：當前，中國經濟發(fā)展正處于關鍵的轉型時期，經濟發(fā)展已經從快速增長階段進入到提質增效階段，轉型的主要內容是使市場在資源配置中起決定性作用。順利實現經濟轉型，必須使得經濟運行平穩(wěn)并處在合理區(qū)間，區(qū)間“上限”是防范通貨膨脹，“下限”是穩(wěn)增長、保就業(yè)。通貨膨脹是否會突破上限，，什么因素會使其產生這種結構性轉變？這是擺在我們面前亟待解決的課題。由于雙軌制的矛盾和摩擦，處于轉型期的經濟體很可能出現價格體系扭曲和結構性通貨膨脹，那么我國價格體系內的區(qū)域或部門價格波動究竟受到什么因素的沖擊？如果采取貨幣政策進行通脹防范，則必須理清通貨膨脹和部門價格對各種沖擊的反應速度。這是貨幣政策是否有效的關鍵。 本文以轉型期的中國為背景，分析影響通貨膨脹率區(qū)制轉移和分類價格指數波動的各種沖擊，并研究通脹率和部門價格面對這些沖擊的反應速度（即通脹慣性和部門價格粘性），為政府制定有效政策方案提供依據。具體研究內容如下： 首先，嘗試采用Markov區(qū)制轉移模型族來描述和分析通貨膨脹路徑的動態(tài)屬性。先比較傳統(tǒng)單變量MS模型與隱藏信息的時變MS模型（MSLI模型）擬合通脹過程的效果，發(fā)現通貨膨脹中存在隱藏信息，能為中國通脹周期的識別與預測提供信息；然后利用包含通脹和貨幣供給量兩個變量的多重鏈MS模型，觀察貨幣供給所處的區(qū)制狀態(tài)對通脹所處的區(qū)制狀態(tài)的影響；最后構建MS-SVAR模型，發(fā)現除了貨幣供給變化，貨幣政策的目標體系的變化也會影響到通脹的區(qū)制變化。 第二，用偏離份額分析法將我國區(qū)域、部門CPI指數波動來源分解為共同沖擊、特質沖擊等沖擊，并揭示這些沖擊對區(qū)域、部門CPI指數波動的相對重要性，發(fā)現地區(qū)、部門CPI指數波動的來源大部分來自特質沖擊，只有占可支配收入最大比重的食品類和家用電器類價格波動來自共同沖擊。 第三，為了刻畫通貨膨脹慣性，將導致通貨膨脹率發(fā)生結構性轉變的宏觀經濟沖擊和貨幣供給沖擊引入到兩個滿足預留現金約束的動態(tài)隨機一般均衡模型中，一個強調貨幣外生，另一個引入貨幣內生機制，重點刻畫在這兩個模型框架下受到技術沖擊、貨幣沖擊時我國的通貨膨脹慣性，檢驗貨幣內生是否會影響通貨膨脹慣性程度。對部分關鍵參數和待檢驗參數采用貝葉斯估計的方法，提高了參數估計結果的可信度。結果表明，貨幣內生CIA模型優(yōu)于標準CIA模型，表明中國存在貨幣內生機制。進一步研究發(fā)現，通貨膨脹慣性主要來源于貨幣供給慣性。 第四，為了捕捉部門價格粘性，利用因子增廣的向量自回歸（FAVAR）模型將中國32個細分部門價格指數的變動分解為“共同沖擊”和“特質沖擊”，描繪部門價格對共同沖擊、特質沖擊、數量型貨幣政策沖擊和價格型貨幣政策沖擊的動態(tài)調整路徑及其異質性。引入中間投入品效應、勞動力市場分割效應與貨幣內在效用假設，產生的傳導機制使得DSGE模型能較好地匹配FAVAR模型得出的經驗事實。結果顯示，在總體沖擊和貨幣沖擊下部門價格表現粘性，而在部門特質沖擊下部門價格表現彈性；數量型調控模式下部門價格響應速度較快，且異質性程度較大，而價格型調控模式下則相反。
[Abstract]:At present, China economic development is at a critical transition period, economic development has entered the phase of rapid growth to the quality and efficiency of the transformation stage, main content is to make the market play a decisive role in the allocation of resources. The successful economic transformation, we must make steady and economic operation in a reasonable range, interval "cap" is to prevent inflation. The lower limit is the steady growth, security of employment. Inflation will break through the ceiling, what factors will cause the structural change? This is before us an urgent problem to be solved. Due to the double contradictions and frictions in transition economies is likely to distort the price system and structural inflation, so regional or the Department of price system of our country in the price fluctuations by what factors impact? If the monetary policy to prevent inflation, currency must be clear The speed of expansion and the response of department prices to various shocks. This is the key to the effectiveness of monetary policy.
Based on the background of the transition period China, analysis of the impact of various inflation regime shifts and classification price index volatility, reaction speed and study the inflation rate and the price department in the face of these shocks (i.e. inflation inertia and sector price stickiness), provide the basis for the government to formulate effective policies and programs. The specific contents are as follows:
First, try to use the Markov regime switching model to describe and analyze the dynamic properties of inflation path. First compare the traditional univariate MS model and the hidden information time-varying MS model (MSLI model) fitting inflation process effect, found hidden information inflation, can Chinese inflation cycle recognition and prediction information; then multiple chain MS model by including inflation and money supply two variables, influence of state regime observation at the money supply on inflation; finally, constructing MS-SVAR model, found that in addition to the money supply change, change of target system of monetary policy will also affect the regime change to inflation.
Second, the China region using the shift share analysis method, CPI index fluctuation source decomposition for common shocks, such as the impact of characteristics of impact, and reveal the impact on the region, the relative importance of CPI index volatility found source area, Department CPI index fluctuations from most of the impact characteristics, only the disposable income accounted for the largest proportion of food and household appliances price fluctuations from common shocks.
Third, in order to characterize the inertia of inflation, the inflation rate will lead to macroeconomic shocks, structural changes and the impact of money supply is introduced to meet the two dynamic stochastic general equilibrium model of cash reserve constraints, an emphasis on monetary exogenous, another into monetary endogenous mechanism, mainly characterized by technology shocks in the two model framework under the inflation inertia of China's monetary shocks, monetary endogenous test will affect the degree of inflation inertia. Some key parameters to be tested and the parameters by using the method of Bias estimation, improves the parameter estimation of the reliability of the results. The results show that the monetary endogenous CIA model is better than the standard CIA model shows that there Chinese monetary endogenous mechanism. The further study found that the main source of money supply on inflation inertia inertia.
Fourth, in order to capture the Department of price stickiness, using vector factor augmented autoregressive (FAVAR) model China 32 segments, the change of price index is decomposed into "common shocks" and "idiosyncratic shock", depicting the characteristics of sector prices of common shocks, impact, dynamic adjustment path of quantitative monetary policy shocks and price based monetary policy the impact of the introduction of products and heterogeneity. The effect of intermediate inputs, labor market segmentation effect and monetary intrinsic utility hypothesis, empirical fact transmission mechanism makes the DSGE model can better match the FAVAR model. The results show that in general and monetary shocks under the Department of price stickiness, while in the Department department under the impact of price performance characteristics elastic; quantity control mode the price department responds quickly, and the degree of heterogeneity is larger, and the price regulation mode is the opposite.

【學位授予單位】：華僑大學
【學位級別】：博士
【學位授予年份】：2014
【分類號】：F822.5

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