我国通胀率与核心通胀率动态机制实证研究

摘要

Based on a three-variable SVAR model and structural decomposition of the monthly inflation rate, this paper analyzes the effects of the demand shock, monetary shock and supply shock on the inflation rate, and measures China's core inflation rate. We employ the STAR model to analyze the dynamics and regime tran- sition characteristics of the inflation rate and the core inflation rate. The results in- dicate that the dynamics of inflation is related to the economic conditions. Inflation rate has stronger persistence and sharp rises during the economic boom pha- ses. Different from the inflation rate, the dynamics of core inflation relates to the money supply conditions. During the stage of loose money supply which means M2 growth rate is more than 16.1%, the core inflation rate rises relatively large. However, it begins to decline at the same time or a bit later when the loose stages end.%采用三变量SVAR模型对月度通胀率进行结构冲击分解，分析需求冲击、货币冲击和供给冲击对通胀率的影响，并对我国核心通胀率进行测度和检验，同时采用STAR模型分析通胀率及核心通胀率的波动机制和非线性转换特征。结果表明，通胀率的变动机制与经济景气状况有关，在经济景气阶段，通胀率具有更强的持续性，表现为较大幅度的持续上涨，通胀压力不断增加，而核心通胀率的变动机制与货币供应的松紧状况有关。实证研究表明，在M2增速高于16．1%的货币供应偏松阶段，核心通胀率通常会出现较大程度的上涨，而当货币供应结束宽松状态时，核心通胀率同时或稍晚开始下降。