An Application of Operational-Subjective Statistical Methods to Rational Expectations

This article presents a sequential scoring analysis of six econometric forecast distributions for the main components of the annual U.S. gross national product (GNP) accounts—nominal GNP, real GNP, and the implicit price deflator. Analysis of sequential forecasts is presented in terms of proper scoring rules. Computations relevant to the calibration and refinement properties of the forecast distributions are discussed. Annual data are studied for the period 1952–1982. The six forecast distributions are distinguished by the different stances they entail with respect to a subjectivist characterization of the rational-expectations hypothesis.     

Disaggregating Data Using Related Series

Quarterly real GNP and implicit GNP deflator series are derived for the 1948–1970 period using the related series technique of Chow and Lin. These estimated series are compared with the official, revised series; to official, unrevised series; and to univariate proxies using regression, time series, and spectral methods. The derived series possess autocorrelation and turning point characteristics similar to those of the official, revised series. The derived series also deliver structural equation parameter estimates similar to those based on official, revised data.     

我国通货膨胀预期和通货膨胀粘性

 本文在蕴含微观经济基础的结构菲利普斯曲线框架内研究我国通货膨胀预期的结构和性质。基于最大熵自举的模型估计和推断显示：微观企业平均每三个季度调整一次价格;我国季度数据不支持通货膨胀粘性假设;在微观企业的定价过程中,理性预期所起的作用要强于适应性预期;但由于通货膨胀非粘性,真实经济中通胀持续性反而具有主导作用。经验研究结论表明,货币当局在通货膨胀预期管理中应加强货币政策的前瞻性、持续性和透明度。     

Rational Expectations and Macroeconomic Forecasts

The article presents extensive results from testing for bias and serially correlated errors in a collection of time series of quarterly multiperiod forecasts for six variables including real GNP growth, inflation, and unemployment. The analysis covers responses by 79 frequent participants in economic outlook surveys conducted regularly since 1968. It shows much greater incidence of apparently systematic errors for inflation than for the other variables. Also, the tests are more favorable to composite group forecasts than to most of the individual forecast sets.     

Predictive Accuracy Gain From Disaggregate Sampling in ARIMA Models

We compare the forecast accuracy of autoregressive integrated moving average (ARIMA) models based on data observed with high and low frequency, respectively. We discuss how, for instance, a quarterly model can be used to predict one quarter ahead even if only annual data are available, and we compare the variance of the prediction error in this case with the variance if quarterly observations were indeed available. Results on the expected information gain are presented for a number of ARIMA models including models that describe the seasonally adjusted gross national product (GNP) series in the Netherlands. Disaggregation from annual to quarterly GNP data has reduced the variance of short-run forecast errors considerably, but further disaggregation from quarterly to monthly data is found to hardly improve the accuracy of monthly forecasts.     

特有冲击、共同冲击与通货膨胀持续性

中国分类价格指数的通货膨胀持续性有何特征？如何理解分类价格指数和加总价格指数通货膨胀持续性之间的关系？我们对2001年1月至2011年12月的数据进行实证分析,结果表明分类价格指数比较明显的表现出行业间异质的通货膨胀波动性和通货膨胀持续性,而与加总价格指数相比,它的通货膨胀波动性更大而通货膨胀持续性更低。通货膨胀持续性的这些现象可以从特有冲击和共同冲击的角度加以理解。共同冲击的相对重要性存在差异解释了分类价格指数的通货膨胀持续性呈现行业间异质性;特有冲击的重要性在数据加总时被削弱,解释了分类价格指数具有比加总价格指数更低的通货膨胀持续性。     

中国财政政策通货膨胀效应的实证研究

 全球金融危机使各国财政赤字激增,通胀问题日益严重,通胀治理成为各国关注的焦点。与货币数量理论相比,新近发展的价格水平决定的财政理论（FTPL）对于解释通货膨胀的成因和提出通胀治理建议更有优势。本文基于FTPL视角,选取我国1982—2011年度数据,应用状态空间模型识别政策在价格决定中的作用区制,结果表明1982—1996为M区制,1997—2011为F区制;再选取1997—2011季度数据,应用SVAR法结合货币政策研究F区制下财政政策对通货膨胀的短期和长期动态效应,实证研究表明财政政策比货币政策对通胀的影响更大,而且财政政策对通货膨胀有长期效应,结合中国经济的实际情况,我们认为货币政策不是导致近年来通胀的主要成因,抑制通胀要依靠财政政策,应实行相机选择的财政政策来实现物价稳定和经济可持续发展的宏观调控目标。     

Approximation of the Fisher price index by using the Lloyd–Moulton index: Simulation study

The Lloyd–Moulton price index does not make use of current-period expenditure data and, as it is commonly known, it allows us to approximate superlative indices, in particular the Fisher price index. This is a very important property for the inflation measurement and the Consumer Price Index bias calculations. In this article, we verify the utility of the Lloyd–Moulton price index in the Fisher price index approximation. We propose a simple modification of that index which reduces the variation of the estimator of an unknown parameter in this index formula. We also examine the influence of the price volatility on the quality of estimation of the parameter from the Lloyd–Moulton formula.     

同比价格指数与环比价格指数辨析

内容提要：同比价格指数与环比价格指数间有着重大的区别,同比指数反映了年度间的价格变化,环比指数反映了月（季）度间的价格变化。实证检验表明,同比价格指数序列与环比价格指数序列有着不同的单整阶数,两者之间不能互相替代。在利用多个宏观经济变量构建月度（或季度）经济计量模型时,不仅要注意各序列的单整性,而且要注意各序列的一致性。     

CPI之GEKS指数序列更新方法及窗口长度选择问题辨析

大数据来源下CPI指数的创新编制,对及时了解新经济时代的物价走向和识别通胀危机、预测宏观经济拐点以实现我国通胀治理现代化、推动经济平稳和高质量发展具有重大意义。GEKS多边指数是近些年国际学术界重点研发的大数据热点价格指数,但其构造方法颇具争议。借助超市扫描大数据,就GEKS指数序列更新方法、窗口长度选择等学界难题开展理论与实证研究,获得了以下富有启发性的结论:①GEKS指数序列更新方法2、3应用效果相对较差;②随着窗口长度的增加,GEKS环比价格指数会趋于单位值,不同更新方法下的GEKS链式指数也会呈现一定的趋同性;而GEKS指数的通胀趋势判断力却不受此影响,但更新方法的选择却会导致其不同的通胀趋势预测结果;③更新方法4会随着窗口长度的增加而呈现更强的替代偏误,方法1却没有出现明显的替代偏误。综合而言,更新方法1和13个月窗口长度应该是编制GEKS指数序列更为合理的组合方式。     

中国国民总效用函数的构建与估计

 基于消费效用和资产效用的假设,证明了居民在消费和投资分配上最优均衡点的唯一存在性,由此构建居民微观效用函数;结合反映分配的洛仑兹曲线进一步推导出国民总效用（GNU ）函数一般形式,利用统计数据估计出中国国民总效用函数,并进一步计算出历年中国国民总效用（福利）的增长情况,分析其与国民收入增长的差异及原因。结果显示中国历年的经济增长并不能带来国民福利的同步增长,其原因包括居民收入分配不均、消费比重下降、物价上涨等。     

Is the GNP fractionally integrated?

The suitability of autoregressive fractionally integrated moving average (ARFIMA) processes for the modeling of US aggregate output is examined. We consider the two most widely used methods for the estimation of the fractionally differencing parameter and discuss the empirical results obtained by applying these methods to the quarterly post-war real GNP as well as to the quarterly post-war real GNP per capita. Contrary to previous findings, we conclude that evidence for a fractional degree of integration is poor.     

M2/GDP比率对资产价格变化影响的实证研究

选取2001—2010年间的季度数据,利用误差修正模型和脉冲响应函数对中国M2/GDP比率对资产价格变化的影响进行实证研究。结果表明：M2/GDP比率与股票价格存在负相关关系,同时对股票价格的影响还存在着时延性,M2/GDP比率对房地产价格的影响几乎为零。这一结论为中国股市价格泡沫提供了一个早期预警指标,具有很强的政策意义。     

投入产出法价格模型的应用——农产品价格上涨对通货膨胀的影响分析

由于农产品的生产受季节变动和不规则变动的影响较大,农产品的价格很容易由此而波动,当出现农产品价格上涨时,人们总会担心引起通货膨胀。本文运用投入产出分析模型,并使用1992年和2002年我国投入产出表数据,通过计算分析得出农产品及其相关联的部门产品价格上涨对其他部门产品价格变动影响程度很小,因此不会造成全国整体物价水平的大幅度上涨,不会引起通货膨胀。     

A bootstrap test for time series linearity

A bootstrap algorithm is proposed for testing Gaussianity and linearity in stationary time series, and consistency of the relevant bootstrap approximations is proven rigorously for the first time. Subba Rao and Gabr (1980) and Hinich (1982) have formulated some well-known nonparametric tests for Gaussianity and linearity based on the asymptotic distribution of the normalized bispectrum. The proposed bootstrap procedure gives an alternative way to approximate the finite-sample null distribution of such test statistics. We revisit a modified form of Hinich's test utilizing kernel smoothing, and compare its performance to the bootstrap test on several simulated data sets and two real data sets—the S&P 500 returns and the quarterly US real GNP growth rate. Interestingly, Hinich's test and the proposed bootstrapped version yield substantially different results when testing Gaussianity and linearity of the GNP data.     

中国新凯恩斯主义菲利普斯曲线的经验研究

 本文构建了附加利率的新凯恩斯主义菲利普斯曲线模型,并运用广义矩估计的研究方法,运用中国1997 -2008年的季度数据对所构建的模型进行了估计与检验。经验结果表明,利率作为通货膨胀的驱动因素在统计和经济意义上都具有显著性,并且较国外许多国家更明显;当期通货膨胀动态变化受通货膨胀惯性和预期的共同影响,而预期起主导作用;厂商的定价行为既有前瞻性,又有后顾性,但后顾性处于主导地位。     

信心如何影响中国通货膨胀

在Galí and Gertler（1999）的基础上,本文通过假设成本加成定价幅度是信心的函数,构造了基于信心的新凯恩斯菲利普斯曲线,并通过VAR模型和BVAR模型实证研究了信心是否能够影响中国通货膨胀。研究发现,企业家信心指数能够影响中国通胀,而消费者信心指数无法影响中国通胀;企业家信心指数对通货膨胀的影响机制类似于总需求冲击影响机制;VAR模型和BVAR模型的结论基本一致,这证实了本文结论的稳健性。     

中国粮价与通货膨胀关系的协整分析：2001-2005

文章利用2001~2005年CPI和批发粮价的月度数据进行协整分析,并构建均衡修正模型,实证检验了二者的关系。实证结果说明无论长短期通货膨胀对粮价都具有Granger因果关系,验证了通货膨胀通过改变粮食市场参与主体的预期影响粮价的假说;在长期粮价对通货膨胀具有Granger因果关系,粮价长期高位运行会导致通货膨胀,但在短期内粮价对通货膨胀的影响较弱,不支持粮价上涨短期内即会引发通货膨胀的观点。     

国际价格水平的趋同效应及其成因分析

根据世界银行发布的180多个国家和地区购买力平价和价水平指数等指标时间序列数据,利用趋同计量模型,定量分析全球价格水平的趋同效应及其影响因素。研究表明,近20多年来,在经济快速发展、通胀上升、对外开放程度扩大、市场化程度提高、经济全球化和区域一体化等因素作用下,发展中经济体价格水平对发达经济体具有明显的追赶效应,全球价格水平际出现趋同效应。在现阶段,我国价格水平相对较低,与经济发展水平大体相适应。未来时期,我国价格水平继续上升的压力较大,与国际的差距将进一步缩小,即人民币汇率与购买力平价的偏差呈现收窄趋势。为此,应着力控制通胀水平,稳定人民币汇率,谨防人民币在国际化进程中过度升值的问题,继续保持价格水平与经济发展水平之间的适度平衡。     

国际石油价格与通货膨胀的周期波动关系

近年来国际石油价格大幅波动,不可避免地给各国经济带来冲击和影响。本文利用小波变换频带分析方法,结合VAR和多元GARCH-BEKK模型,考察了不同经济周期下中美两国通货膨胀与国际油价间的溢出关系。结果表明,国际油价只在短周期里对中国通货膨胀有显著的单向均值溢出效应,而二者之间不存在任何方向的波动溢出效应;美国通货膨胀与国际油价则在多数周期下具有显著的单向或双向均值波动溢出效应。本文认为尽管当前中国通货膨胀与国际油价的关系并不显著,但随着我国石油消费对进口依赖的不断提高,能源安全问题将成为未来中国需要应对挑战,因此相关部门应及早采取有效措施,加快完善国内石油市场化建设,增强能源意识,提高能源利用效率,以应对未来石油冲击对经济的影响。