CAJ | 학술논문

本文构建我国的宏观经济信息集并从中提取宏观共同因子，建立因子增广的向量自回归模型（FAVAR），根据估计结果计算我国CPI的宏观成分并且揭示宏观冲击效应。本文的主要结论为，中国的宏观信息集存在八个宏观因子，它们基本准确地刻画了我国宏观经济运行的动态特征。样本期5个不同的通胀（通缩）期，宏观成分的均值占通胀均值的比值度量了通胀的程度，揭示了通胀的来源。典型的是2010-2011年的通胀期，其宏观成分占比达到134％，证实了这是一轮由宏观因素驱动的严重通胀。宏观冲击效应显示，针对宏观因素驱动的通胀，紧缩货币和需求而不是单纯地紧缩货币，将有效地抑制通胀的上涨和反复。
본문구건아국적굉관경제신식집병종중제취굉관공동인자，건립인자증엄적향량자회귀모형（FAVAR），근거고계결과계산아국CPI적굉관성분병차게시굉관충격효응。본문적주요결론위，중국적굉관신식집존재팔개굉관인자，타문기본준학지각화료아국굉관경제운행적동태특정。양본기5개불동적통창（통축）기，굉관성분적균치점통창균치적비치도량료통창적정도，게시료통창적래원。전형적시2010-2011년적통창기，기굉관성분점비체도134％，증실료저시일륜유굉관인소구동적엄중통창。굉관충격효응현시，침대굉관인소구동적통창，긴축화폐화수구이불시단순지긴축화폐，장유효지억제통창적상창화반복。
This paper extracts seven common factors from Chinese maeroeconomic information set, and establishes a factor- augmented vector autoregressive model （FAVAR） by the seven factors and monetary factor. We decompose the fluctuations in China＇ s CPI index into macroeconomic component that are due to macroeconomic factors and idiosyncratic shocks which come from disaggregate prices variations. Then, we conduct some typical impulse response of the CPI index to macroeconomic shocks. Our main finding is that the eight macroeconomic factors do capture important dimensions of Chinese macroeconomic movements. The analysis of macroeconomic component and its mean＇ s ratio to the mean of inflation rate itself provides a new sight for properties and sources of Chinese inflation in the different time periods. Typically, the ratio is 134% in the 2010--2011 period of inflation, which shows this is a serious inflation and is driven by macroeconomic factors. The effects of macroeconomic shocks imply that tightening of both monetary and demand rather than only monetary itself will effectively stabilize the inflation.