摘要
本文应用带单位根的门限自回归模型,对我国1990年以来通货膨胀率的动态路径进行了模拟分析。通过估计和检验发现我国通货膨胀具有明显的非线性特征,模型较好地拟合了通货膨胀的动态调整过程。我国通货膨胀调整存在减速通货膨胀状态、适中通货膨胀状态和加速通货膨胀状态三个区制。适中通货膨胀状态是一个平稳的自回归过程,减速通货膨胀状态、加速通货膨胀状态则是具有单位根的自回归过程,具有自我加速的作用。在不同的区制下,通货膨胀率均有较高的持久性,但中间状态的持久性明显低于其他两种状态。
The paper builds up a TAR model with unit root to make an analysis of China＇s inflation rate since 1990.It shows that inflation in China has obvious nonlinear adjustment.The model fitted well with the dynamic adjustment process of inflation.We find that there exists deflation regime,moderate inflation regime and high inflation regime.Moderate inflation regime is a stable autoregressive process,deflation regime and high inflation regime are autoregressive process with a unit root.Inflation persistence is high during all inflation regime,but it is lower during moderate regime than the other regimes.
出处
《统计研究》
CSSCI
北大核心
2011年第1期49-53,共5页
Statistical Research
关键词
通货膨胀率
非线性
门限自回归模型
Inflation Rate
Non-linear
Threshold Autoregressive Model（TAR）
