我国居民通胀预期的测度:基于银行间债券市场数据的方法
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财经研究 2012 年 第 38 卷第 04 期, 页码：70 - 80
摘要
参考文献
摘要
通胀预期测度是通胀预期管理的前提。文章基于通货膨胀持久性特征,在无套利假设下,将实际通胀率这一宏观变量纳入传统的因子模型中,并运用银行间债券市场收益率数据对我国居民通胀预期进行了估计,结果显示我国居民通胀预期并不完全满足理性预期假设,而是与实际通胀之间存在有规律的系统性偏差,短期实际利率的变动是造成偏差的主要原因。文章认为通过强化货币政策前瞻性可以消除这种偏差,从而抑制实际通货膨胀水平。
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[3]李永宁,赵钧,黄明皓.经济学家的通货膨胀预期:理论与实证[J].经济理论与经济管理,2010,(4):25-32.
[4]郭涛,宋德勇.中国利率期限结构的货币政策含义[J].经济研究,2008,(3):39-47.
[5]肖争艳,陈彦斌.中国通货膨胀预期研究:调查数据方法[J].金融研究,2004,(11):1-18.
[6]肖争艳,唐寿宁,石冬.中国通货膨胀预期异质性研究[J].金融研究,2005,(9):51-62.
[7]肖争艳,姚一旻,唐诗磊.我国通货膨胀预期的微观基础研究[J].统计研究,2011,(3):8-14.
[8]姚余栋,谭海鸣.中国金融市场通胀预期——基于利率期限结构的量度[J].金融研究,2011,(6):61-70.
[9]张蓓.我国居民通货膨胀预期的性质及对通货膨胀的影响[J].金融研究,2009,(9):40-54.
[10]Ang A,Bekaert G,Wei M.The term structure of real rates and expected inflation[J].Journal of Finance,2008,63(2):797-849.
[11]Ang A,Piazzesi M.A non-arbitrage vector autoregression of term structure dynamicswith macroeconomic and latent variables[J].Journal of Monetary Economics,2003,50(4):745-787.
[12]Bernanke B.The economic outlook and monetary policy[Z].Speech at the Bond Mar-ket Association Annual Meeting,New York,2004.
[13]Dai Q,Singleton K.Specification analysis of affine term structure models[J].Journal ofFinance,2000,55(5):1943-1978.
[14]Forsells M,Kenny G.The rationality of consumers’inflation expectations:Survey-based evidence for the Euro area[R].Working Paper 163,European Central Bank,2002.
[15]Friedman M.The role of monetary policy[J].American Economic Review,1968,58(1):1-17.
[16]Fuhrer J,Moore G.Inflation persistence[J].Quarterly Journal of Economics,1995,110(1):127-159.
[17]GalíJ,Gertler M.Inflation dynamics:A structural econometric analysis[J].Journal ofMonetary Economics,1999,44(2):195-222.
[18]Kozicki S,Tinsley P.Survey-based estimates of the term structure of expected U.S.inflation[R].Working Paper 46,Bank of Canada,2006.
[19]Mishkin F.What does the term structure tell us about future inflation?[J].Journal ofMonetary Economics,1990,25(1):77-95...
[20]Pennacchi G.Identifying the dynamics of real interest rates and inflation:Evidenceusing survey data[J].Review of Financial Studies,1991,4(1):53-86.
[21]Phelps E.Phillips curves,expectations of inflation and optimal unemployment overtime[J].Economica,1967,34:254-281.
[22]Roberts J M.New Keynesian economics and the Phillips curve[J].Journal of Money,Credit and Banking,1995,27(4):975-984.
[23]Stock J,Watson M.Forecasting output and inflation:The role of asset prices[J].Journal of Economic Literature,2003,41(3):788-829.
引用本文
李春琦, 翁毅. 我国居民通胀预期的测度:基于银行间债券市场数据的方法[J]. 财经研究, 2012, 38(4): 70–80.
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