CAJ | 학술논문

本文通过构建基于Gibbs抽样估算的贝叶斯潜在多动态因子模型对全球63个国家通货膨胀率的全球性联动效应和区域性联动效应进行了实证研究。研究结论表明：在整体样本期间上,通货膨胀率的全球性联动效应和区域性联动效应能解释各国通货膨胀率波动的36%和18%,而特定国家通货膨胀率的异质性成分对通货膨胀率波动的解释能力接近50%;通货膨胀率的全球性联动效应对工业化国家的通货膨胀率波动的解释能力达到60%以上;大部分国家通货膨胀率的国际联动效应的强度较稳健,但有些国家的通货膨胀率的国际联动效应强度在不同时间区间上变化较大,并能通过相关的历史事件加以解释。
본문통과구건기우Gibbs추양고산적패협사잠재다동태인자모형대전구63개국가통화팽창솔적전구성련동효응화구역성련동효응진행료실증연구。연구결론표명：재정체양본기간상,통화팽창솔적전구성련동효응화구역성련동효응능해석각국통화팽창솔파동적36%화18%,이특정국가통화팽창솔적이질성성분대통화팽창솔파동적해석능력접근50%;통화팽창솔적전구성련동효응대공업화국가적통화팽창솔파동적해석능력체도60%이상;대부분국가통화팽창솔적국제련동효응적강도교은건,단유사국가적통화팽창솔적국제련동효응강도재불동시간구간상변화교대,병능통과상관적역사사건가이해석。
The study on international co-movements in global inflation claims theoretical and practical significance as it can help predict changes in the global economy and propose ways to deal with the complex global inflation,and prepare China with a long-term planning for the future.In this paper,we apply a Bayesian Dynamic Latent Factor Model to investigate global co-movements and regional co-movements with inflation rate data of 63 countries.The research results indicate that the global co-movement and the regional co-movement account for an average 36% and 18%,respectively,of inflation rate fluctuations among individual countries,with heterogeneity of national inflation rate accounting for approximately half the fluctuations.The global co-movements alone can explain above 60% of the inflation rate variation in industrialized countries.While the intensity of international co-movements in most national inflations appears reasonably stable through the subsamples,a wildly fluctuating intensity is detected among inflation rates of some countries,which can be explained through historical events that are relevant.