我国通货膨胀成因解析--基于开放经济体DSGE模型的研究

为定量探讨国内外各种经济冲击如何影响我国通货膨胀及其解释力大小，本文构建出一个符合中国经济特性的开放经济体系动态随机一般均衡（ DSGE）模型，并基于1997-2013年季度数据进行贝斯估计。研究结果表明本文模型可以很好地匹配主要宏观变量的数据特性。通过模型对通货膨胀的方差分解发现，我国通货膨胀波动最主要解释因素依次为生产技术冲击、货币政策冲击、及国外价格冲击。藉由模型对通货膨胀的历史拆解发现，样本期间内2002Q2-2004Q3、2006Q3-2008Q1、及2009Q2-2011Q3三轮通胀上升周期中最主要推动因素分别为投资效率冲击、国外价格冲击、及货币政策冲击。

Causes of inflation in China：An Open Economy DSGE Model

In order to quantitatively analyze the effects of causes on inflation in China, we develop and estimate an open economy dynamic stochastic general equilibrium （ DSGE） model. We estimate the DSGE model with Bayesian method, using quarterly data from 1997 to 2013. The results show that our model fits the observable data reasonably well. Two major findings of this paper are as follow. First, productivity shocks, monetary shocks and foreign price shocks explain almost80 percent of the variation in inflation. Second, the major drivers of the rise in inflation during 2002Q2 -2004Q3, 2006Q3-2008Q1, and 2009Q2 -2011Q3 were respectively investment shocks, foreign shocks and monetary shocks.