本文關(guān)鍵詞：中國通貨膨脹動態(tài)特征變化研究　出處：《安徽大學(xué)》2017年碩士論文　論文類型：學(xué)位論文

  更多相關(guān)文章： 通脹慣性 時變性 震蕩特征 交易性貨幣 影子中央銀行 ARMA+GARCH模型

【摘要】：本文基于1995年1月至2015年12月間CPI月度同比數(shù)據(jù),利用ARMA+GARCH模型將通貨膨脹慣性、通貨膨脹波動集聚性和通貨膨脹時變性納入統(tǒng)一分析框架,對中國通貨膨脹的動態(tài)特征時變性的特點、原因及機(jī)制進(jìn)行了研究。本文研究的邏輯和技術(shù)路線是:(1)利用描述性統(tǒng)計分析和時差相關(guān)分析對通貨膨脹的動態(tài)特征進(jìn)行初步識別,判斷是否存在顯著慣性特征和趨勢變化,并利用包括ADF、PP、KPSS和ZA等多種單位根檢驗方法對樣本序列進(jìn)行平穩(wěn)性檢驗;(2)利用逐步回歸方法,以擬合優(yōu)度、AIC、SIC和HQ信息準(zhǔn)則為標(biāo)準(zhǔn),對ARMA模型結(jié)構(gòu)進(jìn)行了識別,并基于識別出的ARMA模型結(jié)構(gòu)引入了趨勢突變項、截距突變項和GARCH模型;(3)根據(jù)識別出的ARMA+GARCH模型以及截距項和趨勢項突變特征,在ARMA+GARCH模型中引入內(nèi)生結(jié)構(gòu)斷點,在此基礎(chǔ)上分析了通貨膨脹截距項和趨勢項的變化形式和強(qiáng)度,并采用多種正態(tài)性檢驗方法檢驗了 ARMA+GARCH模型的殘差,給出了中國通貨膨脹及其時變性的特征事實;(4)以1996年至2015年間通貨膨脹趨勢時變性為出發(fā)點,利用由HP濾波估計得到的中國產(chǎn)出波動、消費(fèi)需求波動、投資需求波動、國際需求波動及勞動平均產(chǎn)出波動等指標(biāo)以及中國貨幣發(fā)行等共26個指標(biāo),對中國通貨膨脹目標(biāo)及趨勢水平時變性形成的原因和機(jī)制進(jìn)行了深入探討。本文研究的主要結(jié)論有:(1)中國通貨膨脹存在慣性,在給定的通脹目標(biāo)水平下,通貨膨脹最終收斂至其長期趨勢水平;(2)中國通貨膨脹目標(biāo)及趨勢存在顯著時變性,時變性呈現(xiàn)出明顯震蕩特征,震蕩幅度逐漸增強(qiáng);(3)以活期存款為主的交易性貨幣量增速變化是中國通貨膨脹目標(biāo)及趨勢變化的主要原因,但并非唯一原因;(4)一般價格水平、產(chǎn)出波動、消費(fèi)需求波動、投資需求波動及國際需求波動等是中國交易性貨幣增速變化的主要原因。本文的研究還包含了需要進(jìn)一步加以論證的結(jié)論:(1)貨幣部門和金融部門中大規(guī)模金融資產(chǎn)構(gòu)成的"貨幣沼澤"正在扮演"影子中央銀行的作用",通過非交易性資產(chǎn)和交易性貨幣之間的轉(zhuǎn)換影響實體部門和非實體部門貨幣結(jié)構(gòu)及規(guī)模;(2)與此同時,長期貨幣加速超速使得貨幣規(guī)模不斷擴(kuò)大,"影子中央銀行"對經(jīng)濟(jì)活動的影響力不斷增強(qiáng);(3)而中央銀行為了應(yīng)對不斷增強(qiáng)的"影子中央銀行"對市場的擾動,需要依靠更大規(guī)模和強(qiáng)度的貨幣力量進(jìn)行對沖,進(jìn)而增強(qiáng)了"影子中央銀行"未來擾動經(jīng)濟(jì)的能力,進(jìn)而導(dǎo)致了不斷增強(qiáng)的"震蕩"特征的出現(xiàn)。
[Abstract]:From January 1995 to December 2015 this year monthly data based on CPI, using ARMA+GARCH model of inflation inertia, a unified analysis framework into inflation volatility clustering and variability of inflation, the time-varying dynamic characteristics of Chinese inflation, cause and mechanism was studied. The logic of this paper and the technical route is: (1) the dynamic characteristics of the inflation correlation analysis by using descriptive statistical analysis and the time difference was preliminarily identified, to determine whether there is significant variation characteristics and trend of inertia, and by including ADF, PP, KPSS and ZA etc. the unit root test of stationarity test on the sample sequence; (2) using the stepwise regression method, with the goodness of fit, AIC, SIC and the HQ information criterion as the standard, the structure of ARMA model are identified, and the structure of ARMA model is introduced based on the identified trend mutation, mutation intercept term And the GARCH model; (3) according to the identified ARMA+GARCH model as well as the intercept and trend mutation characteristics, structural breakpoints to introduce in the ARMA+GARCH model, based on the analysis of the change of form and intensity of inflation intercept and trend, and the use of a variety of normality test method to test the residual ARMA+GARCH model. Given the fact China characteristics of inflation and its variability; (4) for the period from 1996 to 2015 time-varying inflation trend as the starting point, using the estimated volatility China output obtained by HP filtering, demand fluctuation, investment demand fluctuation, international labor demand fluctuation and average output volatility index and China currency issued a total of 26 on the index, the causes and mechanism of formation and degeneration of Chinese inflation target level trend is discussed. The main conclusions of this study are: (1) China inflation There is inflation inertia, at a given level of inflation target, inflation converges to its long-run trend; (2) China inflation target and the trend of significant variability, variability shows obvious characteristics of the shock, the shock amplitude gradually increased; (3) the transaction currency amount to the change in the growth rate of demand deposits is the main the reason Chinese inflation target and trend, but is not the only reason; (4) the general price level, the fluctuation of output, consumption demand, investment demand fluctuation and the fluctuation of international demand is the main reason Chinese trading currency growth change. This study also includes the need of further demonstration of the conclusions: (1) a large scale of financial assets and the financial sector in the monetary sector "currency" shadow swamp "is playing the role of the central bank, through the conversion between non trading assets and trading currency. Ring structure and scale of real sector and non monetary sectors; (2) at the same time, accelerate the long-term monetary speeding makes currency continues to expand the scale of the "shadow central bank" on economic activity increasing influence; (3) and the central bank to deal with the disturbance rising "shadow on the market, the central bank needs to rely on more large scale and the strength of the currency strength hedge, thereby enhancing the" shadow of the central bank "future economic disturbance ability, which leads to the increasing" shock "characteristics.

【學(xué)位授予單位】：安徽大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2017
【分類號】：F822.5

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