我国物价波动走势的实证分析——基于马尔可夫链模型的研究

《近期我国物价波动趋势的分析与预测》课题组

我国物价波动走势的实证分析——基于马尔可夫链模型的研究

引用本文：《近期我国物价波动趋势的分析与预测》课题组.我国物价波动走势的实证分析——基于马尔可夫链模型的研究[J].财经理论与实践,2010,(4):82-85

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作者	单位
《近期我国物价波动趋势的分析与预测》课题组	（湖南大学经济与贸易学院，湖南长沙410079）

中文摘要:基于马尔可夫链模型，对我国物价波动走势进行的实证分析表明：虽然消费者价格指数增长率大于6％时的概率很小，但是它一旦进入这个状态，就会有一个较长的持续期，在短期内很难降下来，而当消费者价格指数增长率小于-2%时，它的持续期较短。增长率大于零小于2%这一状态是消费者价格指数一个相对比较稳定的状态。对于商品零售价格而言，增长率大于-2%小于0这一状态是商品零售价格指数一个相对比较稳定的状态，同时在这状态它还有较长的持续期。

中文关键词:消费者价格指数商品零售价格指数马尔可夫链

An Empirical Analysis on the Price Fluctuation Trend in China with Markov Chain Model

Abstract:Applying the Markov chain model, the paper carried out an empirical analysis about the trend of price fluctuation in China. The result shows that although the probability of the growth rate of consumer price index (CPI) exceeding 6% is very small, once it enters this state, there will be a long duration and it's difficult to go down in the short term. When the growth rate of CPI is lower than -2%, the duration will be relatively short. In addition, it is relatively stable for the growth rate to remain in the state between 0 and 2. For the retail price, the state that the growth rate falls between -2 and 0 is relatively stable and has a longer duration.

keywords:CPI Retail Price Index Markov Chain Model

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