关键词: 分类价格指数, 通货膨胀持续性;特有冲击;共同冲击

Abstract: What are the characteristics of inflation persistence of disaggregated price indices in China? How can we understand the relations between inflation persistence of disaggregated price indices and aggregated price index? In this paper, we do empirical analysis the data from January 2001 to December 2011, and find that disaggregated price indices obviously exhibit heterogeneous inflation volatilities and inflation persistence across sections, and that compared to aggregated price index, their inflation volatilities are larger and inflation persistence lower. These facts can be interpreted for the perspective of specific shocks and common shocks. The different importance of the relative importance of common shocks explains the heterogeneity of the inflation persistence of disaggregated price indices. The importance of specific shocks is weakened when disaggregated price indices are aggregated, which explains that disaggregated price indices are of lower inflation persistence than aggregated price index.

Key words: Disaggregated Price Indices, Inflation Persistence, Specific Shocks, Common Shocks