本文選題：通貨膨脹粘性 + 通貨膨脹預期��； 參考：《吉林大學》2015年博士論文

【摘要】：通貨膨脹，一直是各國不同經(jīng)濟部門關注的熱點問題，治理通貨膨脹更是當前我國經(jīng)濟政策關注的焦點。對于中央銀行而言，通貨膨脹是其調(diào)控宏觀經(jīng)濟，制定宏觀經(jīng)濟政策所參考的主要指標，所以全面準確的掌握通貨膨脹的動態(tài)特征及其成因特點，對于其有針對性的制定貨幣政策，較好地調(diào)控宏觀經(jīng)濟具有現(xiàn)實意義；對于消費者而言，詳細了解開放經(jīng)濟條件下通貨膨脹動態(tài)特征及成因特點，有助于消費者把握通貨膨脹的運動規(guī)律，引導公眾對未來的價格水平變動有一個合理的預期，進而可以改進經(jīng)濟政策的調(diào)控效果，達到降低通脹水平、減少產(chǎn)出波動以及促進經(jīng)濟快速發(fā)展的政策目標；對于企業(yè)而言，掌握通貨膨脹的變動規(guī)律、波動特點及形成原因，對于其調(diào)整企業(yè)生產(chǎn)產(chǎn)量以及產(chǎn)品價格具有前瞻性的效果，避免受到通貨膨脹的影響，對其生產(chǎn)及利潤產(chǎn)生較大的影響。與此同時，從通貨膨脹的視角來對我國的貨幣政策進行刻畫，具有切實可行的參考價值�；谝陨峡紤]，本文從下面幾個方面對文章進行展開，并給出相應的結論。 （1）使用最小二乘估計、中值無偏估計以及格點自舉方法，對我國總通貨膨脹粘性以及構成CPI通貨膨脹的八大類子成分的粘性大小進行測度；并使用Bai-Perron所提出的多重結構轉折點檢驗方法，估計了各變量樣本期內(nèi)的轉折點個數(shù)及轉折時間。各變量具有不同的粘性特征以及轉折點。在其基礎上構建開放經(jīng)濟條件下的動態(tài)隨機一般均衡模型（DSGE），對于通貨膨脹粘性的來源分別從價格粘性，以及工資粘性的角度給予刻畫。并給出了粘性大小的調(diào)整，對貨幣政策執(zhí)行效果的影響。粘性的存在往往使得貨幣政策具有實際效應，即對實際變量的影響更加顯著，而粘性的存在卻阻礙了其對名義變量的調(diào)控。同時，考慮一國經(jīng)濟開放度的變化，，對于貨幣政策效果的影響。開放度的提高使得貨幣政策的調(diào)控效果收窄。 （2）總結當前國內(nèi)外對通貨膨脹預期指標的測量方法，采用變參數(shù)狀態(tài)空間模型對我國的通貨膨脹預期序列進行估計。進而使用ESTAR模型對估計所得的通貨膨脹預期的非對稱性特征進行刻畫。給出國際上對異質性預期、高階預期以及協(xié)調(diào)預期方法的研究概述；在其基礎上對我國的前瞻性貨幣政策規(guī)則與通貨膨脹預期管理之間的短期及長期關系進行計量研究。通過Granger因果關系檢驗方法，判斷我國貨幣政策是否已經(jīng)較好地錨定通貨膨脹預期。并從波動率的角度，使用BEKK-GARCH模型對通脹預期與貨幣供給量以及匯率之間的短期波動溢出關系進行闡述。通貨膨脹預期對于貨幣增長率不存在波動溢出效應，而貨幣增長對通貨膨脹預期存在著顯著的波動溢出效應。 （3）采用HP濾波法、加權中位數(shù)法以及SVAR方法對我國的核心通貨膨脹進行估計。通過對比，選擇最能夠代表我國通貨膨脹長期趨勢的結果，進行進一步的研究。綜合考慮，加權中位數(shù)法在各方面的權衡結果最有代表性。基于此建立馬爾科夫區(qū)制轉移向量自回歸模型（即MS-VAR模型），從核心通貨膨脹的視角研究了我國經(jīng)濟是否存在區(qū)制轉移效應，以及不同通貨膨脹區(qū)制下的貨幣政策特點。研究不同區(qū)制下核心通貨膨脹持續(xù)性，變量之間的同期相關系數(shù)特點，以及不同區(qū)制上貨幣政策以及匯率政策沖擊對于經(jīng)濟變量的影響效果差異比較。低通貨膨脹區(qū)制的持續(xù)概率為0.8881，高通貨膨脹區(qū)制的持續(xù)概率為0.9304，所以從核心通貨膨脹的視角來看，其在兩個區(qū)制都有較長的持續(xù)性。我國的通貨膨脹樣本在高通貨膨脹狀態(tài)運行的時期較長。但經(jīng)濟處于低通貨膨脹區(qū)制時，貨幣供給增長率以及匯率對于通貨膨脹的影響效果更加明顯。兩區(qū)制中的脈沖響應對比結果差異較小。 （4）使用結構向量自回歸方法（SVAR）對我國的通貨膨脹成因進行識別，所考慮的角度包括需求拉動通貨膨脹、成本推動通貨膨脹以及輸入型通貨膨脹等主要方面。通過脈沖響應函數(shù)及方差分解對結果進行刻畫，判定各種成因對于當前總通貨膨脹波動的影響效果以及影響的比重大小。由脈沖響應結果知，在給定各種正向沖擊初期的時候，需求沖擊對我國通貨膨脹的影響是最大的，其次為國際輸入沖擊，最小者為總供給沖擊水平。由方差分解結果知，最終各沖擊的影響比例分別為，國內(nèi)生產(chǎn)總值沖擊占5.652%，匯率沖擊占0.919%，貨幣供給沖擊占0.744%，食品價格沖擊占4.232%，國際大宗商品價格沖擊占5.339%。而加總得到的總需求因素沖擊和為6.396%，總供給因素的沖擊和為4.232%，輸入性因素的沖擊和為6.258%。 （5）通過構建時變參數(shù)因子擴展的向量自回歸模型（TVP-FAVAR模型），對我國總通貨膨脹水平進行公共成分及隨機成分的分解，給出各種成分的特點及其影響效果。在此基礎上給出異質性貨幣供給沖擊以及匯率沖擊，對通貨膨脹公共成分以及隨機成分在不同時點上的動態(tài)影響效果對比。公共成分相對于隨機成分來說，均值較高，更加的穩(wěn)定，變化幅度更小。而隨機成分均值較低，波動較大。且在不同時點給定異質性的貨幣供給沖擊以及匯率沖擊時，兩種通貨膨脹成分具有不同的響應特征。
[Abstract]:Inflation has always been a hot issue in different economic sectors of various countries. To control inflation is the focus of the current economic policy of our country. For the central bank, inflation is the main index to control macro economy and formulate macro economic policy, so the dynamic characteristics of inflation are fully and accurately grasps. The characteristics of its causes are of practical significance to its targeted formulation of monetary policy and the better control of the macro-economy. For consumers, the detailed understanding of the dynamic and genetic characteristics of inflation in the open economy will help the consumers to grasp the movement of inflation and guide the public to change the price level in the future. There is a reasonable expectation in order to improve the control effect of economic policy, to reduce the level of inflation, to reduce the fluctuation of output and to promote the rapid economic development. For enterprises, the regulation of the change of inflation, the characteristics of the fluctuation and the cause of formation, for the adjustment of production output and the price of the product. There is a forward-looking effect to avoid the impact of inflation and have a greater impact on its production and profit. At the same time, it is of practical reference value to describe the monetary policy of China from the perspective of inflation. Based on the above considerations, the article is carried out from the following aspects and gives the corresponding conclusion. Theory.
(1) using the least square estimation, the unbiased median estimation and the lattice point bootstrap method, we measure the viscosity of China's total inflation and the viscosity of the eight sub components that constitute CPI inflation, and use the multiple structure turning point test method proposed by Bai-Perron to estimate the number of turning points in the sample period and the rotation of each variable. Each variable has different stickiness characteristics and turning points. On the basis of it, the dynamic stochastic general equilibrium model (DSGE) is constructed under the conditions of open economy, which depicts the sources of inflation stickiness from the price stickiness and the angle of wage stickiness. The existence of stickiness often makes the monetary policy have a practical effect, that is, the effect on the actual variable is more significant, and the existence of stickiness hinders its regulation of nominal variables. At the same time, the effect of a country's economic openness on the effect of monetary policy is considered. The improvement of the openness makes the monetary policy control effect. Narrow down.
(2) summing up the current measurement methods of inflation expectations at home and abroad, using the variable parameter state space model to estimate the expected sequence of inflation in China, and then using the ESTAR model to describe the asymmetric characteristics of the estimated inflation expectations. On the basis of the survey of the short-term and long-term relationship between the forward-looking monetary policy rules and inflation expectation management in China, the Granger causality test is used to determine whether China's monetary policy has better anchored inflation expectations. The BEKK-GARCH model is used to explain the relationship between inflation expectation and short-term volatility spillover between currency supply and exchange rate. Inflation expectations have no volatility spillover effect on the rate of currency growth, while monetary growth has a significant volatility spillover effect on inflation expectations.
(3) HP filter method, weighted median method and SVAR method are used to estimate the core inflation in China. Through comparison, we choose the results that can represent the long-term trend of inflation in China and carry out further research. The region system transfer vector autoregressive model (MS-VAR model) is used to study whether there is a regional transfer effect in China's economy and the characteristics of monetary policy under different inflation zones from the perspective of core inflation, and study the continuity of core inflation under different zones, the characteristics of the correlation coefficient between the variables and the different region system. Compared with the impact of monetary policy and exchange rate policy impact on economic variables, the sustained probability of the low inflation region system is 0.8881 and the sustained probability of the high inflation region system is 0.9304, so from the perspective of core inflation, it has a long persistence in the two district systems. When the economy is in the low inflation region, the growth rate of money supply and the effect of exchange rate on inflation are more obvious. The difference of the result of pulse response contrast in the two district system is small.
(4) the structure vector autoregressive method (SVAR) is used to identify the causes of inflation in China, including the main aspects of demand driven inflation, cost driven inflation and input type inflation. The results are depicted through the impulse response function and variance decomposition to determine the various causes for the current general assembly. It is known from the impulse response results that the impact of demand impact on China's inflation is the largest in the initial stage of a given positive impact, followed by international input shocks, and the minimum is the total supply impact level. The impact ratio of the final impact is known by the variance decomposition results. The impact of gross domestic product (GDP) accounted for 5.652%, exchange rate shocks accounted for 0.919%, money supply shocks accounted for 0.744%, food price shocks accounted for 4.232%, international commodity price shocks accounted for 5.339%. and total demand factor impact and 6.396%, the impact of total supply factors and 4.232%, input factors impact and 6.258%.
(5) through the construction of the vector autoregressive model (TVP-FAVAR model) extended by the time-varying parameter factor, the public components and random components are decomposed to the total inflation level in China, and the characteristics and effects of various components are given. On this basis, the impact of the supply of heterogeneous money supply and the exchange rate impact are given, and the public components of inflation are given. Compared with random components, the average value of the public component is higher, more stable and smaller than the random component. The mean value of the random component is lower and the fluctuation is larger. And the two kinds of inflation components are not at the same time when the money supply shock is not given at the same time and the exchange rate is impacted. The characteristics of the same response.
【學位授予單位】：吉林大學
【學位級別】：博士
【學位授予年份】：2015
【分類號】：F224.0;F822.5

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