华东师范大学(哲学社会科学版) ›› 2011, Vol. 43 ›› Issue (1): 39-47.doi:

• 中国社会经济问题研究 • 上一篇    下一篇

中国通货膨胀预期不确定性来源及其宏观经济效应

苏梽芳   

  1. 华侨大学数量经济研究院/经济与金融学院,福建泉州 362021
  • 收稿日期:1900-01-01 修回日期:1900-01-01 出版日期:2011-01-25 发布日期:2011-01-25
  • 通讯作者: 苏梽芳

The Source of China’s Expected Inflationary Uncertainty and Its Impact on Macro Economy

Su Zhi-fang   

  1. Academy of Quantitative Economics, Huaqiao University, Quanzhou 362021
  • Received:1900-01-01 Revised:1900-01-01 Online:2011-01-25 Published:2011-01-25
  • Contact: Su Zhi-fang

摘要: 合理测定通货膨胀预期的不确定性以及正确识别其来源,对于政府有效进行通胀预期管理具有重要启示意义。首次应用具有马尔可夫机制转换异方差的时变参数模型,把我国通胀预期不确定性分解为结构型预期不确定性与冲击型预期不确定性两种类型,并探讨谁是其中的主要来源,继而检验它们对宏观经济波动的影响,其结果显示,冲击型通胀预期不确定性是我国公众通胀预期不确定性的主要来源,而结构型通胀预期不确定性在1996年经济“软着陆”后逐步降低。这一特征可以很好地被我国经济转型时期的特点、宏观调控政策的演变以及所经受的外部冲击所解释。进一步分析发现,不同来源的通货膨胀预期不确定性对宏观经济有着不同的影响,即冲击型通胀预期不确定性加剧了产出增长波动,而结构型通胀预期不确定性可以减缓产出增长波动,但是后者的影响并不明显。

关键词: 通货膨胀预期不确定性, 预期管理, 马尔可夫机制转换模型, 宏观经济效应

Abstract: To measure reasonably inflation uncertainty and identify properly its sources have great policy implication for the government to manage effectively inflation expectation. This paper applies time-varying parameter model with Markov regime switching Heteroskedasticity to decompose inflation uncertainty into structural uncertainty and impulse uncertainty, and to investigate which one is dominant, then to test their impact on the volatility of macroeconomic. The result shows that impulse uncertainty played the dominant role and the structural one decreased after 1996, which can be well explained by the traits of the economic transformation, the evolvement of macro-control and the external shocks. And the further analysis finds that different sources of inflation uncertainty have different impacts on macroeconomic activities. Further analysis find impulse uncertainty increases the volatility of output growth. However structural uncertainty slows down the volatility of output growth, but this effect is not obvious.

Key words: Inflation Uncertainty, Expectation Management, Markov Regime Switching Model