关键词: 通货膨胀, C-STAR模型, 非线性转换, 持久性, 不确定性

Abstract: This paper establishes two, three and four regimes of contemporaneous smooth transition autoregression (C-STAR)model to study nonlinear dynamics features of Chinese inflation rate. The empirical results show the inflation rate obeys nonlinear mean reversion, three-regime model which includes deflation, deflation-inflation transition and inflation can well describes the dynamics process of the inflation rate, but a four-regime model including deflation, proper inflation, mild inflation and high inflation can improve the explaining and fitting performance. Then detailed explanation about transition features between different stages as well as persistence and uncertainty of inflation rate are then given out, we find there exists opposite nonlinearity between persistence and uncertainty, but no necessary link between inflation level and uncertainty. In mild inflation regime, the persistence is the strongest, but the uncertainty is the least. On the contrary, in the proper inflation regime, persistence is the weakest, but the uncertainty is the biggest. We also find the mild inflation regime is the optimal zone, Chinese government should keep the inflation rate within this regime to obtain sustainable economic growth. We finally make a conclusion and give some policy suggestions.

Key words: Inflation Rate, C-STAR Model, Nonlinear Transition, Persistence, Uncertainty