摘要
本文提供了一个对中国居民消费价格指数(CPI)的系统分析,包括CPI的动态结构和可预测性,以及中美CPI的量化比较。尽管中美CPI的构成和动态结构有所不同,但二者都可由S-ARIMAX模型很好地刻画,此模型能够准确量化中国CPI的春节效应以及其他突发事件对中美CPI的影响。我们发现中国CPI有显著的季节性和春节效应,且比美国CPI有更强的可预测性。此外,中国CPI的短期预测可以通过扩散指数(Diffusion Index)方法得到进一步提高。
This paper provides a thorough analysis on the dynamic structures and predictability of Chinese Consumer Price Index(CPI),with a comparison to those of the United States.Despite the differences in the two leading economies,both series can be well modeled by a class of S-ARIMAX models,which can well capture the Spring Festival effects on Chinese CPI and the influences of one-off events on the CPI series.The Chinese CPI series possess regular patterns of dynamics with stable annual cycles and strong Spring Festival effects,with fitting and forecasting errors largely comparable to their US counterparts.Finally,for Chinese CPI,the Diffusion Index(DI)approach offers improved predictions than the S-ARIMAX models.
作者
王振中
陈松蹊
涂云东
WANG Zhen-zhong;CHEN Song-xi;TU Yun-dong(Iowa State University,Iowa 50011,USA;Guanghua School of Management,Peking University,Beijing 100871,China;Center for Statistical Science,Peking University,Beijing 100871,China)
出处
《数理统计与管理》
CSSCI
北大核心
2023年第1期109-126,共18页
Journal of Applied Statistics and Management
基金
自然科学基金项目(92046021,12071013,12026607,71671002,71973005,72073002)
北京大学统计科学中心和数量经济与数理金融教育部重点实验室(LMEQF)。
