通胀及通胀预期冲击的动态特征分析[Study on Dynamics of Inflation and Inflation Expectation Shocks in China]

Current and future inflation in China are both dominated by inflation expectation and inertia, but dramatic instability of inflation expectation put directly negative impact on effects from inflation management policies. This paper, by applying ARMA and GARCH models, studies dynamics of shocks from inflation and its expectation, and the empirical results indicate that: (1) rational expectation and inertia are separate factors influencing inflation, and disturbance on inflation shows persistent, cyclical and cyclical lag characteristics; (2) shocks from inflation expectation show persistence, and disturbance on inflation strengthens expectation oscillation; (3) the shocks exist asymmetry, which implies that people’s expectation is more sensitive to undervaluation of expectation instability. Policies suggestion from empirical results root that expectation leads are the limited approach for realizing inflation targets and inflation management policies must be prudent.