论文部分内容阅读
本文运用具有持续期依赖特征的马尔可夫转换模型(DDMS)和Gibbs抽样方法,研究了我国通货膨胀率的区制转移和持续期依赖特征。首先,利用模型估计出的区制平滑转移概率识别和确定了我国(环比)“高通胀压力”与“低通胀压力”区制的转折点及其区间;其次,根据模型估计结果发现通胀率在“低通胀压力”区制具有明显的正持续期依赖特征,即我国由“低通胀压力”区制转入“高通胀压力”区制的概率会随着区制持续时间的延长而明显增大,而通胀率在“高通胀压力”区制的(正)持续期依赖性不太明显;最后,根据实证分析结果提出了相关政策建议。
In this paper, Markov transformation model (DDMS) and Gibbs sampling method with duration dependence are used to study the characteristics of transfer rate and duration dependence of inflation in China. First of all, the turning points and their intervals of the regional system of China (annulus ratio), “high inflationary pressure” and “low inflationary pressure” are identified and determined by using the region transition probability estimated from the model. Secondly, based on the model estimation results, The inflation rate in the “low inflation pressure ” area system has a significant positive duration dependence characteristics, that is, the probability of our country from “low inflationary pressure ” system “high inflationary pressure ” system will be as the district The prolongation of the duration of the system significantly increased, while the inflation rate was less dependent on the (positive) duration of the system of “high inflationary pressures”. Finally, the relevant policy recommendations were put forward based on the results of the empirical analysis.