CAJ | 학술논문

通货膨胀预期是影响实际通胀的重要变量，也是货币政策有效运用的关键因素。在新凯恩斯混合菲利普斯曲线的理论框架下构建状态空间模型，利用贝叶斯Gibbs抽样算法估计我国2001—2013年的季度预期通胀率，进一步利用VAR模型及脉冲响应函数分析我国通胀预期对实际通胀的动态影响，实证结果显示：我国季度预期通胀率的适应性特征强于理性特征；适应性预期冲击在短期对实际通胀会产生较大影响，但累积效应在大约9个季度之后消失；理性预期冲击对实际通胀的正向影响会持续较长时间，并最终将实际通胀推高到一个新的水平。因此，货币政策应从降低适应性通胀惯性和管理理性通胀预期两个方面来调控通胀预期对实际通胀的影响。
통화팽창예기시영향실제통창적중요변량，야시화폐정책유효운용적관건인소。재신개은사혼합비리보사곡선적이론광가하구건상태공간모형，이용패협사Gibbs추양산법고계아국2001—2013년적계도예기통창솔，진일보이용VAR모형급맥충향응함수분석아국통창예기대실제통창적동태영향，실증결과현시：아국계도예기통창솔적괄응성특정강우이성특정；괄응성예기충격재단기대실제통창회산생교대영향，단루적효응재대약9개계도지후소실；이성예기충격대실제통창적정향영향회지속교장시간，병최종장실제통창추고도일개신적수평。인차，화폐정책응종강저괄응성통창관성화관리이성통창예기량개방면래조공통창예기대실제통창적영향。
Inflation expectation is an important variable to affect real inflation and is also the key factor to effective application of monetary policy. State Space Model is constructed under Keynesians hybrid Phillips Curve Theory framework. The seasonal expectation inflation rate during 2001?2013 of China is estimated by Bayesian Gibbs Sampling Estimation Method, and the dynamic influence of China’ s inflation expectation on real inflation is further analyzed by VAR Model and Impulsive Response Function. Empirical results show that the suitability feature of China’ s seasonal expectation inflation rate is stronger than rational feature, that the suitability expectation shock can exert big impact on real inflation in a short term, and that the accumulative effect disappears after about nine seasons. The results also show that the positive influence of rational expectation shock on real inflation can last relatively longer time and will finally push real inflation to a new high level. Thus, monetary policy should regulate the influence of inflation expectation on real inflation from such two aspects as the decrease of suitability inflation inertia and administrative inflation expectation.