基于结构突变理论的中国通货膨胀长记忆性研究

Structural Break and Long Memory in China Inflation Dynamic

10.6338/JDA.201204_7(2).0008

周平(Ping Zhou)；王黎明(Li-Ming Wang)

通货膨胀动态过程 ； 长记忆性 ； 结构突变 ； 货币政策 ； Inflation dynamic ； Long memory ； Structural break ； Monetary policy

Journal of Data Analysis

7卷2期（2012 / 04 / 01）

145 - 164

簡體中文

长记忆性通过反映随机扰动项对通货膨胀率未来取值的影响，直接影响着货币政策的执行效果，而它是否发生结构性转变对分析通货膨胀率动态走势和制定宏观经济政策至关重要。本文对中国大陆通货膨胀动态过程的长记忆性做了严谨的检验和估计，并应用基于样本划分的Wald统计量和BP内生结构突变检验对长记忆的平稳性进行统计分析。实证分析结果显示，中国大陆通胀动态过程具有长记忆特征，但这种特征在1996年中期发生了结构性转变，这一变化对货币政策的影响通过脉冲响应函数得以反映。

Long memory reflects the continuing impact of random shock on its future values by depicting the dependence of observations far apart. Long memory in the dynamic of inflation decides monetary policy effect directly. Whether there is structural break in long memory is important to the design and implementation of monetary policy. This paper characterizes statistical nature of long memory in the dynamic of China inflation, Shimotsu's Wald statistics and Bai & Perrron's multiple structural break analysis are used to investigate the intrinsic structural instability of inflation long memory. Empirical results suggest that long memory in inflation dynamic is notable before 1996, after it declines significantly. This paper discusses the implications of the finding to relevant monetary policy analysis based on the impulse response function.

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