我国CPI的宏观成分与特质冲击
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| Title | Macroeconomic Component and Idiosyncratic Shock of China’s CPI Index
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| 作者 | 王少平 朱满洲 |
| Author | Wang Shaoping and Zhu Manzhou |
| 作者单位 | 中科技大学经济学院 |
| Organization | School of Economics, Huazhong University of Science and Technology |
| 作者Email | wangspi@sina.com，zhumanzhou@126.com |
| 中文关键词 | CPI 宏观成分 货币政策 因子增广的向量自回归 |
| Key Words | Inflation; Macroeconomic Component; Monetary Policy; Factor-augmented Vector Autoregressive |
| 内容提要 | 本文构建我国的宏观经济信息集并从中提取宏观共同因子，建立因子增广的向量自回归模型（FAVAR），基于此计算我国CPI及其主要大类的宏观成分和特质冲击。结果显示，宏观因子解释了宏观经济信息集的方差的57%（平均值），但是仅解释了M2的方差的39%；不同时期的通胀（紧缩）的宏观成分及其均值与对应的通胀均值之比的显著不同，揭示了不同时期通胀（紧缩）的主要性质，如，2008年7月至2009年6月，CPI的宏观成分与CPI的比例为118%，揭示了金融危机的冲击导致需求全面下降而形成紧缩；而2005年前后，上述比例为47%，且宏观成分与M2的相关系数为0.05，隐含了这一时期通胀的通胀和它的宏观成分与货币政策基本协调。CPI和它的宏观成分以及特质成分的脉冲响应函数显示，特质冲击和宏观冲击对CPI分别产生2-3个月和2年左右的效应，这一结果所派生的意义为，调控通胀的宏观成分有助于降低经济的波动。FAVAR的脉冲响应函数显示，不同因子对CPI的冲击效果不同，如第一个因子对CPI产生抑制效应，且持续时间为大约为18个月。从这个角度来说，调控通胀的宏观成分应注重针对性。 |
| Abstract | This paper extracts a few common factors from a large macroeconomic information set, and establishes a factor-augmented vector autoregressive model (FAVAR). We decompose the fluctuations of both aggregated and disaggregated monthly inflation series into macroeconomic components and idiosyncratic shocks. It turns out that macroeconomic factors account for 57% of the variance of the 81 monthly time series in the full dataset, but only 39% of the variance of M2. The macroeconomic component and its mean’s ratio to the mean of inflation rate itself reflects the properties and sources of inflation in different time periods. This ratio is 118% between July 2008 and June 2009, which shows that the financial crisis leads to an overall decline in demand and then deflation, and 47% around 2005, implying the coordination between the macroeconomic component and monetary policy. However, the coordination needs to be improved during the inflation and deflation periods. Estimated impulse responses show that inflation rate reverts to the initial value after two or three months following the idiosyncratic shock, while macroeconomic shocks have different and permanent effects (about 2 years) on inflation rate. Therefore, the policies of depressing the inflation with respect to the macroeconomic component of inflation would effectively reduces the volatility of Chinese economy, hence the policies for controlling inflation should be designed specific to the corresponding macroeconomic factors. |
| 文章编号 | WP318 |
| 登载时间 | 2012-07-31 |
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