统计研究 ›› 2009, Vol. 26 ›› Issue (5): 17-24.

• 论文 • 上一篇    下一篇

中国通货膨胀的惯性变化及其货币政策含义

王少平 王津港   

  • 收稿日期:1900-01-01 修回日期:1900-01-01 出版日期:2009-05-15 发布日期:2009-05-15

Inflation Inertia Structure Change of China and Its Implication

  • Received:1900-01-01 Revised:1900-01-01 Online:2009-05-15 Published:2009-05-15

摘要: 本文基于我国通货膨胀的运行背景,设定具有结构突变的动态面板数据模型,使用Wachter(2004)基于动态面板数据模型的内生结构突变检验,检验我国通胀的结构突变。在此基础上,应用系统广义矩估计,对我国的通胀惯性进行估计。本文的结论为,我国通胀的惯性,随通胀运行的不同阶段和货币政策的变化而发生内生性结构突变,但总体上呈下降趋势,通货膨胀下降期和紧缩期的惯性较大,当前的惯性相对较小。这一结论,不仅从惯性的角度解释了这一轮通胀为什么能迅速回落,也为货币政策由从紧转向于适度宽松提供实证支持。

关键词: 通货膨胀惯性, 动态面板数据模型, 内生结构突变, 系统广义矩估计

Abstract: This paper, based on the background of Chinese inflation, specifies the dynamic panel model with endogenous structure change for the inflation, and applies the endogenous structure change test for dynamic panel model by Wachter(2004,2005) to test the endogenous structure change. Base on the test result, we estimate the inflation inertia with system GMM. The results show that the inertia changes with different stage and characteristics of the inflation, but appear a decrease trend generally, especially, in the periods of up trend of inflation and periods of disinflation, the inertia is relatively big, however, the current inertia is relatively small. This conclusion is not only helpful for explaining why present inflation was quick down, but also can be regarded as an evidence for the change of Chinese monetary policy.

 

Key words: Inflation Inertia, Dynamic Panel Model, Endogenous Structure Change, System-GMM