我国通货膨胀率动态特征研究
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引用本文:王培辉,袁薇.我国通货膨胀率动态特征研究[J].财经理论与实践,2010,(4):8-12
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作者单位
王培辉 (1. 南开大学 经济学院天津300071 2. 中央民族大学 经济学院北京100081) 
袁薇  
中文摘要:应用LSTAR模型对我国通货膨胀率的动态特征进行的实证研究结果表明:我国通货膨胀率自身调整有明显的非线性特征,分为显著的低通货膨胀区制和高通货膨胀区制,区制转移的平滑参数较大,转移变量为滞后1期通货膨胀率,转折点为0.01036。同时,我国通货膨胀率存在一定程度的非对称性调整,随冲击大小、方向、区制不同而表现不同。此外,我国通货膨胀率具有较高的持久性,高通货膨胀区制的持久性明显低于低通货膨胀区制。
中文关键词:通货膨胀率  LSTAR  非线性  持久性
 
Research on the Dynamic Characteristics of China's Inflation Rate
Abstract:LSTAR model is used in the empirical research on the inflation rate. The results show that (1) there is nonlinear characteristic; (2) The inflation rate is divided into two regimes, a low inflation regime and a high inflation regime; (3) and the smoothing parameter is larger, while the delay parameter takes place in lagged one period; and (4) the transition location is 0.01036. Further study shows that there is an asymmetrical adjustment of the inflation rate. It changes with the change of the size, direction, and regime of impulse. In addition, the change of inflation rate is persistent. The persistence of high inflation regime is significantly lower than the low inflation regime.
keywords:Inflation Rate  LSTAR  Nonlinear  Persistent
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