摘要
在市场经济中,市场调节作为社会资源配置方式,在实现资源优化配置中起着基础性作用。市场调节是通过市场机制实现的,价格机制是市场机制的核心内容,也是市场机制中最敏感、最有效的调节机制,因此物价波动对整个经济系统运行有重要影响。同时物价总水平也是宏观经济运行状况的重要指标之一,保持物价总体稳定是各国政府公认的宏观调控四大目标之一。我国改革开放30多年来,已经逐渐完成了从计划经济向市场经济的转轨,各个领域的物价也逐渐放开,价格机制成为引导市场资源配置的主要方式。并且随着全球经济一体化进程加快,我国经济受外部影响日趋加深,复杂的国内外经济环境形成了我国物价波动的独有的特征。我们要从考察物价本身的历史波动周期当中,总结和认识其波动特征规律,以有利于发现新特征并对物价波动未来走势进行把握和预测。
本文在阅读大量有关物价波动的中外文献基础上,收集相关材料和数据,利用数量经济学和其他相关学科的前沿理论和成果,对我国物价波动特征和预测进行研究和探索,并提出相关政策建议,主要工作如下：
一、用全局经验模态分解方法(Ensemble Empirical Mode Decomposition,简称EEMD)对我国1983年以来的物价水平波动进行了分解,并在分析总结分解得到的各个频段物价波动的周期特征后,对我国物价波动历程特征进行定性描述。EEMD分解的结果具有丰富的经济学内涵：高频成分反映了短期供求和不规则因素对我国物价波动的影响；中频成分表明我国物价波动具有周期为1年左右的频率成分,这说明季节性因素对我国物价波动影响明显；低频成分反映了每次通货膨胀的发生对物价波动造成的冲击；同时分解剩余的趋势成分表明了我国物价总水平具有价格刚性以及上涨回落的非对称性等特征。接着按照一定的方法和规则划分出了我国物价波动的同比月度通胀率周期,并参考EEMD分解出的定基比通胀率的低频成分,对1978年来我国物价波动的历程特征进行了定性分析和总结。
二、运用具有持续期依赖特征的Markov转换DDMS (Duration Dependence Markov-Switching,简称DDMS)模型和Gibbs抽样方法,研究了我国物价波动(环比月度消费价格指数为测度指标)区制转移和持续期依赖特征。持续依赖性是经济周期波动中的重要动态特征,虽然传统上对通货膨胀持续性研究较多,但对物价波动周期持续依赖性研究的文献还很少见。文中首先利用DDMS模型估计出的区制平滑转移概率,识别和确定了我国环比月度CPI(Consumer Price Index)"高水平(高通胀)区制”与“低水平(低通胀)区制”的转折点及其区间,同时发现高通胀区制向低通胀区制的转折点一般领先于通常的同比CPI下降的拐点,这对同比CPI拐点的预测有一定参考价值。再根据模型估计结果发现通胀率在“低水平区制”具有明显的正持续期依赖特征,即我国由“低通胀区制”转入“高通胀区制”的概率会随着区制持续时间的延长而明显增大,而通胀率在“高水平区制”的正持续期依赖性不太明显。研究结果对我国物价波动监测及通货膨胀的预警有重要实践意义,并对我国货币政策的制定有重要参考意义。
三、基于非线性动力系统模型对我国物价波动和汇率波动的非线性关系特征进行了实证和经验分析。非线性动力系统模型是以广义Lotka-Volterra模型为基础发展而来的,广泛用于数学、生态学中,近年来在经济领域的运用取得了不少有意义的成果。在本章中建立了物价指数CPI和汇率指数NEERI(Nominal Effective Exchange Rate Index)的非线性动力系统模型(CPI-NEERI Non-linear Dynamical System,简称C-NNLDS)对我国物价波动和汇率波动的动态关系特征进行了实证研究和经验分析。研究发现我国物价波动和汇率波动存在着相互影响的非线性动态机制关系特征,也就是汇率的上升对我国物价的持续上升有抑制作用,并且高通胀率的时候这种抑制效果较明显。同时我国物价的上升一般不会形成汇率的下降而往往会使汇率上升(即本币的对内贬值对外升值现象),但在较高通胀率和较低汇率时容易形成物价持续上升和本币持续贬值的双恶化,这是要尽力避免的。文中在估计出物价指数和汇率指数的非线性关系模型后,利用数学方法对系统模型的平稳性、相位图、以及冲击反应图进行了分析,比较准确地刻画反映了我国物价波动和汇率波动的相互影响机制和动态轨迹走向。这对我们认识我国物价波动和汇率波动的内在关系以及未来物价指数和汇率指数走势的预测及风险控制都具有很重要的参考价值。
四、对我国月度消费价格指数的预测方法做了总结和探索研究。在总结目前CPI预测方法研究进展的基础上,本文利用时间序列的BP神经网络(Back Propagation Neural Network)-半参数模型对我国月度CPI的短期预测进行了研究和探索,研究结果表明该模型能利用BP神经网络非线性拟合和预测的优点,同时结合非参部分提高了BP神经网络拟合和预测的精度。另外本文还对CPI走势拐点的预测方法进行了探索,通过建立影响物价波动因素的Probit模型,能够根据影响物价波动的因素指标计算出未来CPI走势向上(向下)拐点出现的概率,这对CPI拐点出现的时间确认和预测有重要意义。在实践应用中表明,两种方法互相补充对我国CPI走势和具体值预测具有较高的准确度,具有较大的实践应用价值。
当我们关注到物价出现变动时,往往已经丧失了最佳的治理时期(吴敬涟,2003)。所以我们应当加深对物价波动规律和特征的认识和分析,加强对物价波动预测研究力度,以致在实践中能够尽早判定出物价未来走势,增强宏观调控的前瞻性、针对性和灵活性,即防止较高的通货膨胀发生、也防止持续的通货紧缩的出现,以达到防患于未然,把市场经济运行中不利因素消灭在萌芽状态。本文从多角度用多方法对我国物价波动特征和预测进行了分析研究,对于进行宏观经济分析和制定正确的货币、财政等经济调控政策,对于提高人民生活水平以及维护社会稳定和谐都具有重要的理论和现实意义。
In the market economy, the market plays a fundamental role in achieving the optimal allocation of socal resources through the market mechanism. The price mechanism is the core and the most sensitive and effective adjustment of the market mechanism.Price fluctuation has an important impact on the operation of the entire economic system, price fluctuation is also one of the important macroeconomic indicators. Overall, maintaining price stability is one of the four main objectives of macroeconomic regulation recognized by the Governments. China has gradually completed the transition from a planned economy to a market economy since1978from which China began reform and opening-up policy. At the same time, the price of commodities in various fields gradually were decided by the market, the price mechanism has become the main way to guide the market allocation of resources today. With the speeding up of global economic integration, China's economy is increasingly influenced by external factors; the unique characteristics of price fluctuation in China are formed by the complex domestic and international economic environment. We should summarize the characteristics and grasp the inherent law from the historical volatility of the price cycle, only so we can realize the new characteristics and forecast the future trend of price fluctuation.
Through studying on a mass of literatures on the price fluctuation home and abroad, collecting materials and data, this paper research on the characteristics and forecast of price fluctuation by frontier theories and empirical methods of quantitative economics and other related disciplines, at last related policy suggestions are put forward. The main works are as follows:
Firstly, Frice fluctuation data (1983.1-2012.8) in china are decompositioned by EEMD (Ensemble Empirical Mode Decomposition) method. After analyzing and summarizing the cycle characteristics of the decomposition of various frequency cycles of price fluctuation, this paper introduces the price fluctuation characteristics of China in different time since1978. The different frenquency cycles decomposed by EEMD have plentiful contents of economics:the high-frequency components reflect the short-term supply-demand and irregular factors that affect price fluctuation; in the middle-frequency components of Price Fluctuation in China have a period of about1year, indicating that the seasonal factors influence price fluctuation in China; the low-frequency components reflect the impulse to price fluctuation caused by inflation. The trend of decomposition show that the general price level in China has the characteristics of price rigidity and asymmetry when price rising and falling. From the low-frequency cycle in price fluctuationand decomposed by EEMD and the CPI cycles, the phase characteristics of Price Fluctuation in China are introduced in accordance with the time period analyzed and summarized since1978.
Secondly, in this paper, we study the duration dependence characteristic of price fluctuation in China based on DDMS(Duration Dependence Markov-Switching) model and Gibbs sampling. Duration dependence characteristic is one of important characteristics of business cycles, but there is plent of literature on inflation persistence,few on duration dependence characteristic of inflation rate in China. In this paper the smoothed probabilities of high(low) regime to low(high) regime inflation based on the DDMS model are estimated, and the critical points and the time ranges of each regime zone are identefied through1/2criteria,and the turning points from which high inflation zones to low inflation are in general ahead of downward turning points of the usual CPI cycle,so it is helpful and valuable to forecast downward turnpoints of the CPI cycle. It is also found that inflation rates in the low inflation lever regime have a significantly positive duration dependence characteristic from the results of model estimation, the probability of the regim into other regim significantly increased, while the inflation rates in the high inflation lever regim has positive duration dependence characteristic too,but it is less obvious. The results of the study have important significance for monitoring and early warning of inflation on the price fluctuation and an important reference for making monetary policy in China.
Thirdly, based on the nonlinear dynamic system model, nonlinear relationship between price fluctuation and exchange rate fluctuation of China are analysed on evidence and experience. Nonlinear dynamic system model are evolved from generalized Lotka-Volterra model, widely used in math and ecology. In recent years it is used in the economic field and obtain meaningful results.In the paper, a CPI-NEERI Nonlinear Dynamical System model (C-NNLDS) is constructed and estimated.Study show the relationship characteristics between price fluctuation and exchange rate fluctuation is mutual influence of nonlinear dynamic mechanism, obviously the rise in the exchange rate is effective in anti-inflation from the model, but this effect is more obvious in the high inflation rate, and China's rising prices generally don't form a decline in the exchange rate (ie, the devaluation of the domestic currency). It is easy to form deteriorations(prices rise constantly, domestic currency depreciate constantly) when high inflation and low exchange rate,which government should try to avoid.After nonlinear relationship model being estimated,with mathematical methods the stability of the system model, the phase diagram and the impulse response are analysised, which accurately portray the price fluctuation and exchange rate fluctuation dynamic traces toward mutual influence. In this paper inherent relationship characteristics between price fluctuation and exchange rate fluctuation of china are recognized through the model, it have very important reference value and strong practical significance for the future trend forecast of the CPI and the exchange rate,for the risk control of economy system.
Fourthly, this paper summarizes and studies on the forecasting of China's CPI. In this paper, the BP Neural Network-Semi-Parametric model is constructed on the basis of summing up the current research progress on forecasting of CPI.The results of study show that the model can combin the nonlinear BP neural network and non-parametric to improve fitting and forecasting accuracy. In addition, this paper also studies on the confirming and forecasting of CPI trend turnpoint through the establishment of Probit model based on the factor indicators influnecing the price fluctuation. In practical applications,the two methods complement each other,which showing high forecasting accuracy of China's CPI future trend and value.
When being concerned about the price change, we often lost their best period of dealing with it (Jing Lian-Wu,2003).So we should deepen the understanding and analysis of inherent laws and characteristics of the price fluctuation, strengthen efforts to forecast price trend, as soon as possible know the future price trend to make macro-control policies good predictability, flexibility and nichetargeting, and take preventive measures to avoid high inflation and continuous deflation to make the unfavorable factors in the market economy nipped in the bud. This paper studies on price fluctuation characteristics and forecasting from multiple perspectives and with multiple methods,which is meaningful for improving the people's living standards, maintaining social stability, and analysising of macroeconomic.It have important theoretical and practical significance to form the right monetary, fiscal and other macroeconomic policies.
引文
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