通货膨胀率周期波动与非线性动态调整

本文运用MRSTAR模型研究我国通货膨胀率的周期阶段划分、通胀率周期波动的非线性和非对称性动态特征,通胀率不同阶段相互转移的路径及其内在机理。实证研究表明,我国通货膨胀率波动可以划分为通货紧缩、通缩恢复、温和通胀以及严重通胀四个阶段,通胀率波动不同阶段的划分不仅依赖于通胀率的水平,也依赖于通胀率的增加量;在一个波动周期内,通胀率不同阶段的典型转移路径为:通货紧缩→温和通胀→严重通胀→温和通胀→通货紧缩;我国通货紧缩与温和通胀持续时间较长,而严重通胀持续时间很短;冲击对通胀率系统不具有持久性影响,正向冲击与负向冲击的影响具有非对称特征。

Cyclical Fluctuations and Nonlinear Dynamics of Inflation Rate

In this paper,China’s inflation rate,cyclical fluctuations,and nonlinear dynamics are analyzed based on the MRSTAR model. The authors investigate the partition of inflation rate,asymmetric and nonlinear characteristics of its dynamics,and transition path and intrinsic mechanism of different regimes. The empirical results show that China’s inflation rate can be divided into four regimes: deflation,deflation recovery,moderate inflation,and hyper inflation. The partition criteria not only depend on the inflation level but depend on its magnitude as well. Within a fluctuation cycle,the typical transition path of different regimes is laid out as follows: deflation→moderate inflation→hyper inflation→moderate inflation→deflation. The deflation and moderate inflation phases have high persistence,whereas the hyper inflation phase has low persistence. The impulse responses to shocks are transient,and there appears to be asymmetry between the impulse responses to positive and negative shocks.