关键词: 多层因子模型, 核心通货膨胀, 标题通货膨胀, 货币政策

Abstract: We use China’s CPI data to construct a new core inflation index based on multi-level factor model. Compared with the single-level factor model, we find that: single-level factor model could overestimate the volatility of core inflation, because it is unable to identify regional factors that only affect sector price, thus it attributes the bulk of impact of regional factors to global factor which has pervasive influence. While the multi-level factor model could identify regional factors, and the core inflation which is constructed by the global factor has smaller volatility, and is consistent with the concept of core inflation.

Key words: Multi-level Factor Model, Core Inflation, Headline Inflation, Monetary Policy