关键词: 通货膨胀惯性, ARFIMA模型, 货币政策

Abstract: This thesis applies ARFIMA model to study the dynamics of China’s disaggregate inflation and measures the inflation persistence of disaggregate inflation by using impulse response function. The results show that sub-components of CPI is neither a first-orderly integrated process nor a stationary process, but a fractionally integrated process. Moreover, the persistence of eight sub-components of CPI is different from total CPI. The persistence of residence and medical categories is relatively stronger than that of food, tobacco and alcohol, and household equipment categories, while that of transportation, communications, clothing and educational categories is relatively small. This means that there will be different lengths of time for each of sub-components in the CPI to continue variation after a shock, and the same monetary policy will have diverse effects for different sub-components; we must be cautious of the high weight and great persistence of food sub-component, which means that there will definitely exist greater pressure for total CPI if food prices rise. Therefore, monetary authorities should not only pay attention to the persistence of total CPI, but also take into consideration the discrepancy of inflation persistence between the CPI sub-components and total CPI in making anti-inflationary policies.