中国核心通货膨胀率的度量及其货币政策涵义

基于包含实际总产出、货币供给M2和CPI的向量自回归模型(VAR),将CPI分解为长期变动趋势和短期波动项。将长期趋势部分定义为核心通货膨胀率。运用1994～2009年中国季度数据进行实证检验,核心通胀率与CPI有长期均衡关系,主导CPI的长期变动趋势,是CPI的前导变量,能够为预测CPI提供有用信息,对为中央银行判断总体通货膨胀走势、制定及时有效的货币政策有所启示。

Measurement of China's Core Inflation and the Implication to Monetary Policy

Based on the VAR model including real output,real money supply M2 and CPI,the CPI is decomposed as the long run common trend and short run stationary part.The long run component is defined as the core inflation.Empirical analyses based on the seasonal unadjusted quarterly data from 1994 to 2009 indicate that there is cointegration between the core inflation and CPI,the core inflation dominate the long run trend and is Granger cause of CPI.In addition,the core inflation can improve the prediction of CPI.Ther...