统计研究 ›› 2019, Vol. 36 ›› Issue (5): 31-44.doi: 10.19343/j.cnki.11-1302/c.2019.05.003

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中国核心通货膨胀的指数测算、分类特征与冲击传导

胡久凯 王艺明   

  • 出版日期:2019-05-25 发布日期:2019-05-25

A Study on China’s Headline Inflation: Index Estimation, Classified Characteristics and Shock Pass-through

Hu Jiukai & Wang Yiming (   

  • Online:2019-05-25 Published:2019-05-25

摘要: 为了测算和分析我国核心通货膨胀指数,本文在动态因子模型分析框架下引入了时变因子载荷系数、随机扰动和异常值调整,构建了基于我国城市环比CPI的UCSVO模型和基于八大类城市环比CPI及消费支出权重的MUCSVO模型。研究发现:①UCSVO模型识别出的CPI异常变动时间点符合经济现实,由其测算得出的核心通货膨胀指数适用于我国通货膨胀的实时监测;②MUCSVO模型中共同的趋势成份因子及其载荷系数能体现宏观冲击与价格粘性的现实经济含义,价格粘性的差异是各大类核心通货膨胀指数对宏观冲击产生异质性响应的重要原因;③MUCSVO模型所测算的核心通货膨胀指数的分类权重与消费支出成正比、与波动性成反比,在测算分类以及总体核心通货膨胀指数的同时,还能准确反映各大类CPI的变化特征。

关键词: 核心通货膨胀, 因子模型, 价格粘性, 宏观冲击

Abstract: In order to estimate and study the headline inflation in China, this paper constructs a univariate UCSVO model based on aggregate CPI index and a multivariate MUCSVO model based on eight categories of CPI index and weights of consumption expenditure by inducing the time-varying factor loadings, stochastic volatility and outlier adjustment in the framework of traditional dynamic factor model. It is found that: i) the headline inflation estimated by the UCSVO model is advantageous over the CPI YoY index, with the outliers identified by the former is more realistic and applicable for real-time inflation monitoring in China’s than the latter one; ii) The component factors of the common trend and its load coefficient in the MUCSVO model embodies the economic implications of macro shock and sticky prices. The difference in sticky prices is an important reason for the heterogeneous response of various headline inflations to macro shocks; 3) the classified weights of headline inflation estimated in this paper is positively proportional to consumer expenditures and inversely to volatility. While calculates the classified and aggregate headline inflation, the model used can also accurately reflects the changes of the main CPI components.

Key words: Headline Inflation, Factor Model, Price Stickiness, Macro Shock