【作者】 李敏； 王相宁； 缪柏其；

【Author】 LI Min WANG Xiang-ning MIAO Bai-qi (School of Management, University of Science and Technology of China, Hefei 230027, China)

【机构】 中国科学技术大学管理学院统计与金融系；

【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。更多还原

【Abstract】 In this paper,Markov regime-switching model is applied to investigate the dynamic path of Chinese infla- tion 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 are"low-inflation"regime,"moderate-inflation"regime and"high-inflation"re- gime.In the meantime,we obtain conclusions as follows:(1)Most of the time,the inflation rate is in the regimes of"low-inflation"and"moderate-inflation";(2)The inflation inertia is low in the regimes of"low-inflation"and high in the regimes of"moderate-inflation"and"high-inflation"(almost 1).So,we should pay close attention to the change of the regime and make policy adjustment promptly.(3)3-regime Markov model captures the high in- flation events since 1987 fairly well.So,it can be used to guard against the inflation crisis.更多还原