本文選題：核心通貨膨脹　切入點：貨幣政策　出處：《華僑大學》2012年博士論文

【摘要】：目前，世界上越來越多的國家和地區(qū)開始關注并構建核心通貨膨脹指標，并將其作為制定貨幣政策的重要參考指標。我國國家統(tǒng)計局和中國人民銀行也開始在制定貨幣政策過程中關注核心通貨膨脹，但目前尚無官方度量并定期公布該指標，本文將在該背景下對我國核心通貨膨脹的度量問題進行系統(tǒng)地研究。對這一問題的研究不僅可以有助于準確地認識我國通貨膨脹的長期潛在趨勢，而且對科學地制定貨幣政策和有效地實施貨幣政策具有理論和現(xiàn)實意義。全文的研究工作和研究結論主要概括為以下幾個方面。 首先分析了核心通貨膨脹的含義及其度量方法。在充分回顧和理解對核心通貨膨脹研究的相關文獻基礎上，將核心通貨膨脹的含義界定為：剔除CPI籃子中各類商品和服務價格指數(shù)變動的暫時成分后，余下各類商品和服務價格指數(shù)的長期共同成分，反映通貨膨脹的潛在的長期趨勢，這是貨幣政策決策部門制定貨幣政策時重點關注的指標。根據(jù)構建核心通貨膨脹過程中所使用的數(shù)據(jù)信息集將度量方法分為基于同期分類橫截面數(shù)據(jù)、基于時間序列數(shù)據(jù)和基于面板數(shù)據(jù)的三類方法。同其他消費價格指數(shù)相比，CPI是公眾熟知的，具有更新最快，容易被公眾所理解，而且不容易被中央銀行操縱等特點。因此，本文基于CPI數(shù)據(jù)度量我國核心通貨膨脹即核心CPI。 本文并將貝葉斯估計與Gibbs Sampler相結合估計狀態(tài)空間模型，將貨幣供給這個“硬核”考慮在模型中度量我國核心CPI。結果表明，樣本期間（2001年1月至2011年4月）我國核心CPI的均值和標準差均小于CPI，我國核心CPI與CPI呈現(xiàn)出基本一致的波峰、波谷及波動頻率。度量的核心CPI與貨幣供給增長率的相關性較大，符合模型的設定。從算法角度來講，不僅解決了貝葉斯方法應用過程中多維積分計算問題，而且提高了估計狀態(tài)空間的速度和準確度。 采用動態(tài)因子指數(shù)（DFI）模型度量我國核心CPI。度量結果表明該核心CPI的波動幅度、均值及標準差均小于CPI，與CPI相比，核心CPI與貨幣供給增長率的相關性較大，并且進一步得出各類商品價格指數(shù)決定核心CPI的比例，衣著消費價格指數(shù)和交通與通訊價格指數(shù)對核心CPI的貢獻較大，食品、娛樂教育與居住價格指數(shù)對核心CPI的貢獻最小。 從不同角度對上述方法度量各種核心CPI進行比較。分別從核心CPI期望性質、波動性、無偏性、追蹤通貨膨脹趨勢值、平穩(wěn)性、與CPI的相關性、協(xié)整關系、因果關系及與產出缺口關系方面比較各種核心CPI的相對優(yōu)劣。結果顯示，在樣本期間內，目前沒有任何一種核心CPI完全滿足所有期望性質；在實際應用中，哪種核心CPI更適合作為制定貨幣政策的依據(jù)取決于對核心CPI各特征的不同偏重以及目的和需要。在同等重視各特征下，較優(yōu)核心CPI的度量方法是非對稱修剪均值法、BGS狀態(tài)空間模型法及DFI模型法。但從實際應用角度來看，采用上述度量核心CPI的方法雖然具有穩(wěn)定的理論基礎，但不易被公眾所理解，所以作為現(xiàn)實通貨膨脹的監(jiān)測目標使用不太適合，這也反映了經(jīng)濟政策研究和經(jīng)濟理論研究對核心通貨膨脹的研究存在一定差別。 度量核心通貨膨脹的重要目的是它有助于預測未來通貨膨脹。本文采用最廣泛使用的預測模型檢驗我國核心CPI預測CPI能力時，模型的擬合度均較小，系數(shù)為負也并不顯著，說明該模型的預測效果并不明顯。為了更有效地檢驗我國核心CPI對CPI的預測能力，，本文建立一個合理的模型，從擬合度和系數(shù)的置信區(qū)間兩方面對各種核心CPI的預測能力進行檢驗。結果顯示，在樣本期內，剔除法、加權中位數(shù)法、方差權重法及慣性權重法度量的核心CPI對CPI預測幾乎不起作用，SVAR模型及共同趨勢模型預測區(qū)間較小，而非對稱修剪法、BGS狀態(tài)空間法及DFI模型法的預測區(qū)間均超過10期。 最后，對貨幣政策關注核心通貨膨脹的原因及風險進行理論分析。關注核心通貨膨脹不僅有利于維持貨幣政策的可信度和可靠性，而且有助于貨幣政策決策部門準確地把握未來通貨膨脹的走勢，作出科學有效的貨幣政策。在此基礎上，分析了過度關注核心通貨膨脹的風險，食品和能源的價格變動可能包含反映未來通貨膨脹變動的有用信息，簡單地將其從標題通貨膨脹中剔除，將不利于有效地控制通貨膨脹和預測未來通貨膨脹。因此，本文認為，我國在對短期的價格水平變動進行貨幣政策調整時，應該主要關注標題通貨膨脹即CPI，同時關注核心通貨膨脹。貨幣政策對核心通貨膨脹同樣存在較大的滯后效應，在制定中長期貨幣政策時應重點關注具有前瞻性的核心通貨膨脹。 本文的主要創(chuàng)新為：（1）從研究角度上，本文對核心通貨膨脹的含義及其度量方法進行了比較全面系統(tǒng)的研究。（2）在度量方法上，本文使用馬爾科夫鏈蒙特卡洛算法（MCMC算法）度量我國的核心CPI。（3）本文在國內學術界首次使用動態(tài)因子指數(shù)（DFI）模型度量我國的核心CPI。（4）在評價各種核心通貨膨脹優(yōu)劣方面，本文從多角度綜合地對各種核心CPI進行比較。（5）提出一個具有合理理論含義的核心CPI預測模型。
[Abstract]:At present, more and more countries and regions of the world and began to focus on core inflation index, which is used as an important reference index for the formulation of monetary policy. China's National Bureau of statistics and the people's Bank of China also began to focus on core inflation in the process of formulating monetary policy, but there is no official measure and regularly publish the index this paper will be in the context of measure of core inflation in China was systematically studied. The potential long-term trend of the research on this problem can not only contribute to the understanding of inflation in China, and to formulate scientific and effective implementation of monetary policy, monetary policy has theoretical and practical significance to the conclusion of this paper. The main research work and research as follows.
First analyzes the meaning and measure of core inflation. In the full review and understand the relevant literature on the basis of research on core inflation, the core inflation definition: temporary components of all kinds of goods and services price index excluding CPI changes in the basket after long-term common components left all kinds of goods and services price index, potential the long-term trend indicator of inflation, the monetary policy decision-making departments focus on monetary policy indicators. According to the measurement methods are divided into the same classification based on cross-sectional data used to build the core inflation data in the information set, based on time series data and based on three kinds of panel data method. Compared with other consumer price index CPI, is known to the public, has updated quickly, easily understood by the public, and not easy to be the central bank. Therefore, this paper is based on CPI data to measure the core inflation in China, that is, the core CPI.
In this paper, and the Bias estimation combined with the Gibbs Sampler estimation of state space model, the money supply the "hard core" considered in the model of moderate amount of our core CPI. results show that the sample period (January 2001 to April 2011) the mean and standard of our country the core difference of CPI was less than CPI, CPI and CPI showed a consistent core in China the peak, trough and fluctuation frequency measurement. The core CPI and the growth rate of the money supply are greatly correlated with model set algorithm. From the point of view, not only solves the problem of calculating method in the application process of multidimensional Bias integral, but also improve the state space estimation accuracy and speed.
The dynamic factor index (DFI) model to measure the core CPI. the result shows that volatility of the core of CPI, the mean and standard deviation were less than CPI, compared with CPI, core CPI and the money supply growth rate greater correlation, and further draw all kinds of commodity price index determines the core ratio of CPI, with the price of clothing consumption the index and the price index of transportation and communication on the core of CPI is big, food, entertainment and residential price index contribution of education on the core of CPI is the minimum.
To compare these methods to measure the various core CPI from different angles. From the core CPI expected properties, volatility unbiasedness, tracking inflation trend value, stability, and the correlation between CPI, cointegration, causality and relationship with the relative merits of the output gap is a variety of core CPI. The results showed that in during the sample period, there is no any kind of core CPI satisfy all desired properties; in practice, what kind of core CPI is more suitable for the formulation of monetary policy depends on the basis of core CPI to the characteristics of the different emphasis and purpose and need. In the equal importance of each feature, the better the core CPI measurement method is a non symmetric trimmed mean method, BGS state space model method and DFI model method. But from the practical point of view, using the method of the measurement of the core CPI has solid theoretical foundations, but it is not easy to be public As we all know, it is not very suitable for monitoring inflation as a realistic inflation target. It also reflects some differences in core inflation research between economic policy research and economic theory research.
An important objective measure of core inflation is that it helps to predict future inflation. The prediction model is the most widely used test for China's core CPI CPI prediction ability, the fitting degree of the model are smaller, a negative coefficient is not significant, the prediction effect of the model is not obvious. In order to test our core CPI prediction ability of CPI, this paper establishes a reasonable model, from the two aspects of the confidence interval fitting degree and coefficient of the prediction ability of various core CPI were tested. The results show that in the sample period, elimination method, weighted median method, variance weight method and CPI core measure of inertia weight on CPI prediction almost no effect, and the common trend of SVAR model prediction interval is smaller, and the asymmetrical pruning method, prediction interval BGS state space method and DFI model method are more than 10.
Finally, to analyze the reason and risk of monetary policy to focus on core inflation. Focus on core inflation is not only conducive to the maintenance of monetary policy credibility and reliability, but also contribute to the monetary policy decision-making departments accurately grasp the future trend of inflation, to make a scientific and effective monetary policy. On this basis, analysis of the risk of excessive attention to core inflation the food and energy price changes may contain useful information about future inflation, simply removing them from the headline inflation, will not be conducive to effectively control inflation and predict future inflation. Therefore, this paper argues that the change of our country to adjust monetary policy in the short-term price level, should focus on the title inflation is CPI, at the same time to focus on core inflation. Monetary policy on inflation as the core There is a large lag effect, and in the formulation of medium and long term monetary policy, we should focus on the forward-looking core inflation.
The main innovation of this paper: (1) from the research point of view, the meaning of core inflation and its measurement methods are studied systematically. (2) in the measurement method, this paper use the Markoff Montecalo algorithm (MCMC algorithm) to measure the core of CPI. (3) for the first time using dynamic factor index the domestic academic circles (DFI) core CPI. model to measure our country (4) in the evaluation of various aspects of the advantages and disadvantages of core inflation, to compare various kinds of core CPI from a comprehensive perspective. (5) proposed a reasonable physical meaning of the core CPI forecast model.

【學位授予單位】：華僑大學
【學位級別】：博士
【學位授予年份】：2012
【分類號】：F224;F822.5

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