【摘要】 本文利用动态因子法建立了纳入资产价格修正的通货膨胀指数,并利用AR和VAR模型检验了2005~2010年修正前后通货膨胀指数的预测效果。实证结果显示:我国目前的通货膨胀水平存在被低估的可能,尽管模型的预测效果受到滞后阶数、预测期长度以及变量选择的影响,但总体来看,修正的我国通货膨胀指数优化了预测效果,因此,可以将住房价格和大宗商品价格波动同时纳入当前通货膨胀度量指标中。更多还原

【Abstract】 This paper adopted the dynamic factor index method to build the inflation index revised by asset prioes,and made use of AR and VAR model tq test the prediction effect of the inflation indexes that before and after the revision during 2005-2010.The empirical results showed that;China’s current inflation has the possibility of undervaluing.Despite the prediction effect was impacted by the lag order,length of the forecast period as well as the variable selection,however,overall,China’s revised inflation index optimized the prediction effect.Therefore,housing and commodity price fluctuations could be included into the current measure of inflation at the same time.更多还原