| 我国通货膨胀率的动态波动机制及政策启示 |
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| 引用本文： | 李敏,王相宁,缪柏其.我国通货膨胀率的动态波动机制及政策启示[J].中国管理科学,2008(Z1). |
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| 作者姓名： | 李敏 王相宁 缪柏其 |
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| 作者单位： | 中国科学技术大学管理学院统计与金融系; |
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| 摘 要： | 本文应用Markov区制转移模型研究了1987-2008年2月我国通货膨胀率的动态波动路径。研究结果表明,我国通货膨胀波动存在显著的三区制特征:低通胀区制、温和通胀区制和高通胀区制。同时,得到了以下结论:(1)我国的通货膨胀在大部分时期都处于低通胀或温和通胀区制;(2)我国的通胀惯性在低通胀区制较低,在温和通胀和高通胀区制较高(接近于1),因此我国的经济政策应具有前瞻性;(3)三区制Markov区制转移模型能较好地刻画我国近20年来的高通胀事件,因此本模型也可以用于通胀预警机制的研究。
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| 关 键 词： | 通货膨胀率 Markov区制转移模型 平滑概率 通胀惯性 |
The Dynamic Characteristics of Chinese Inflation Rate and the Policy Implementation |
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| LI Min,WANG Xiang-ning,MIAO Bai-qi.The Dynamic Characteristics of Chinese Inflation Rate and the Policy Implementation[J].Chinese Journal of Management Science,2008(Z1). |
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| Authors: | LI Min WANG Xiang-ning MIAO Bai-qi |
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| Institution: | LI Min,WANG Xiang-ning,MIAO Bai-qi (School of Management,University of Science , Technology of China,Hefei 230027,China) |
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| Abstract: | In this paper,Markov regime-switching model is applied to investigate the dynamic path of Chinese inflation rate from 1987 to Feb.2007.According to the results,there are obviously three regime states of the dynamic path of the inflation rate.They arelow-inflationregime,moderate-inflationregime andhigh-inflationregime. In the meantime,we obtain conclusions as follows:(1)Most of the time,the inflation rate is in the regimes oflow-inflationandmoderate-inflation;(2)The inflation inertia is low in the regimes of... |
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| Keywords: | Markov regime switching model inflation rate smooth probability inflation inertia |
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