财经论丛 ›› 2015, Vol. 31 ›› Issue (7): 41-47.

• 金融与投资 • 上一篇    下一篇

中国通货膨胀持续性的非对称特征研究——基于分位数自回归和分位数单位根的研究

彭小静1,邓明2,吴亮3   

  1. 1. 江南大学商学院
    2. 厦门大学
    3. 阜阳师范学院经济学院
  • 收稿日期:2015-01-03 修回日期:2015-03-27 出版日期:2015-07-10 发布日期:2015-07-01
  • 通讯作者: 邓明
  • 基金资助:

    中国博士后科学基金项目“城市间土地财政的竞争外溢与房价的空间传导”;教育部人文社会科学研究一般项目“空间似无关回归模型:参数估计、设定检验及其应用”;全国统计科研计划项目“时变系数的空间面板数据模型——理论与应用”

The Asymmetric Characteristics of Chinese Inflation Persistence: Evidence from Quantile Autoregression and Quantile Unit Root Test

  • Received:2015-01-03 Revised:2015-03-27 Online:2015-07-10 Published:2015-07-01

摘要: 本文基于1990-2013的中国月度CPI数据,使用Koenker and Xiao(2006)提出的分位数自回归模型以及Koenker and Xiao(2004)提出的分位数单位根检验,对中国通货膨胀持续性的非对称特征进行了研究。通过分析不同分位点上的持续性系数、单位根检验和半衰期,本文得到了非常稳健的结果:中国的通货膨胀持续期存在明显的非对称特征,1998年之后通货膨胀持续性要显著低于1998年之前的通货膨胀持续性;低通货膨胀水平上的通货膨胀持续性要显著低于高通货膨胀水平上的持续性。

Abstract: Based on the monthly Chinese CPI data from 1990 to 2013, this paper uses the quantile autoregression model proposed by Koenker and Xiao (2006) and quantile unit root tests method proposed by Koenker and Xiao (2004) to research the asymmetric characteristics of Chinese inflation persistence. By means of the research to persistence parameters, unit root test and half-life in different quantiles, this paper gets a very robust result. The result shows that Chinese inflation persistence has significant asymmetric characteristics; the inflation persistence before 1998 is significantly less than the inflation persistence after 1998; the inflation persistence in low inflation is significantly less than the inflation persistence in high inflation.

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