西安电子科技大学学报（社会科学版）
西安電子科技大學學報（社會科學版）
서안전자과기대학학보（사회과학판）
JORUNAL OF XIDIAN UNIVERSITY(SOCIAL SCIENCES EDITION)
2014年
3期
53-59
,共7页
通货膨胀率%物价预警综合指数%动态因子模型%LSTAR
通貨膨脹率%物價預警綜閤指數%動態因子模型%LSTAR
통화팽창솔%물개예경종합지수%동태인자모형%LSTAR
Inflation Rate%Price Early Warning Composite Index%Dynamic Factor Model%LSTAR
已有我国通货膨胀率的非线性特征研究中转移变量均为CPI，而物价预警综合指数能够更有效地监测物价的波动。本文针对相关指标利用动态因子模型生成物价预警综合指数，利用物价预警综合指数作为LSTAR 模型的转移变量，基于该 LSTAR 模型研究通胀率的非线性动态调整特征。实证研究表明，基于滞后1期的物价预警综合指数将我国物价波动划分为高通胀、合理通胀和通胀紧缩三个状态。在整体拟合效果和对物价波动特征的解释能力方面都有显著提高。
已有我國通貨膨脹率的非線性特徵研究中轉移變量均為CPI，而物價預警綜閤指數能夠更有效地鑑測物價的波動。本文針對相關指標利用動態因子模型生成物價預警綜閤指數，利用物價預警綜閤指數作為LSTAR 模型的轉移變量，基于該 LSTAR 模型研究通脹率的非線性動態調整特徵。實證研究錶明，基于滯後1期的物價預警綜閤指數將我國物價波動劃分為高通脹、閤理通脹和通脹緊縮三箇狀態。在整體擬閤效果和對物價波動特徵的解釋能力方麵都有顯著提高。
이유아국통화팽창솔적비선성특정연구중전이변량균위CPI，이물개예경종합지수능구경유효지감측물개적파동。본문침대상관지표이용동태인자모형생성물개예경종합지수，이용물개예경종합지수작위LSTAR 모형적전이변량，기우해 LSTAR 모형연구통창솔적비선성동태조정특정。실증연구표명，기우체후1기적물개예경종합지수장아국물개파동화분위고통창、합리통창화통창긴축삼개상태。재정체의합효과화대물개파동특정적해석능력방면도유현저제고。
The transfer variables in the research on the nonlinear characteristics of China’s inflation rate are all CPI, and prices early warning index can more effectively monitor price fluctuations. Based on relevant indicators, the paper generates prices early warning index by dynamic factor model. Acting price early warning index as the transfer of the variables in LSTAR model, we research nonlinear dynamic adjustment characteristics of the inflation rate. The empirical study shows that price fluctuation, based on the prices early warning index with lag 1, is divided into high inflation, reasonable state of inflation and deflation. On the whole, fitting effect and explanation of price fluctuation characteristics ability has improved significantly.
