中国通胀水平与通胀不确定性:马尔柯夫域变分析

本文使用中国1985年以来月度数据,基于马尔柯夫域变模型考察了通胀水平及其与不确定性的关系。我们将通胀的不确定性分解为两类成分:未来通胀冲击的不确定性和未来通胀均值域变的不确定性。研究结果表明,高的通胀水平伴随着这两类不确定性成分的同时增大,这意味着通胀成本很大程度上和不确定性的成本联系在一起,稳定价格和维持低通胀环境可能成为央行减少不确定性的重要手段。本文结果还表明,域变模型相对线性自回归模型以及ARCH模型更好地刻画了中国通胀率过程的特点。以往应用中忽略了这种域变特点可能导致通胀预测值相对于真实值的系统性偏差,或者通胀不确定性的错误估计。

Inflation Rates and Inflation Uncertainty: Regime Switching Analysis for China Monthly Data

This paper intends to discover the link between inflation and inflation uncertainty in China.Markov switching model is used to explain the changing time series behavior of inflation since January 1985.Through the model inflation uncertainty can be decomposed into two components:The uncertainty reflecting the variance of future shocks to the inflation process and the uncertainty about future changes in the inflation regime.We show that the two components increase simultaneously with the increase in inflation level,which implies that the costs of inflation are associated closely with those of inflation uncertainty.Switching model describe China's inflation behavior more appropriately than linear AR model or ARCH model.Estimates of inflation uncertainty that ignore the effects of regime switches may seriously bias the inflation forecast or the degree of uncertainty.