摘要
本文利用动态因子法建立了纳入资产价格修正的通货膨胀指数，并利用AR和VAR模型检验了2005—2010年修正前后通货膨胀指数的预测效果。实证结果显示：我国目前的通货膨胀水平存在被低估的可能，尽管模型的预测效果受到滞后阶数、预测期长度以及变量选择的影响，但总体来看，修正的我国通货膨胀指数优化了预测效果，因此，可以将住房价格和大宗商品价格波动同时纳入当前通货膨胀度量指标中。
This paper adopted the dynamic factor index method to build the inflation index revised by asset prices, and made use of AR and VAR model to test the prediction effect of the inflation indexes that before and after the revision during 2005 -2010. The empirical results showed that： China＇s current inflation has the possi- bility of undervaluing. Despite the prediction effect was impacted by the lag order, length of the forecast period as well as the variable selection, however, overall, China＇s revised inflation index optimized the prediction effect. Therefore, housing and commodity price fluctuations could be included into the current measure of infla- tion at the same time.
出处
《金融研究》
CSSCI
北大核心
2013年第9期30-43,共14页
Journal of Financial Research
基金
国家社科基金重点项目"后危机时代中国通货膨胀防范与货币供应机制完善研究(No.09AZD019)
教育部人文社科基金项目"本币升值
国内物价与金融稳定(No.08JC790037)的阶段性研究成果
"中央髙校基本科研业务费专项资金"的资助
