居民与专家通胀预期的比较及相互关系研究

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浙江财经学院硕士学位论文

摘要

通胀预期是指人们对于未来一段时间内的通货膨胀率的心理预期。它在

通货膨胀问题的研究中,在分析货币政策以及商业周期的过程中都起着非常

重要的作用。但现有的研究中，绝大部分都是以通胀预期的同质性为假设前提，

一个明显的问题被忽略了：并不是所有的经济主体都具有相同的预期(Mankiw，

2003)。近年来，通胀预期同质性的假设开始受到质疑和批判，国内外学者转

而开始研究通胀预期的异质性。

本文的研究正是以通胀预期的异质性为切入点，重点研究了我国居民通胀预

期与专家通胀预期的关系，并运用流行病学模型对我国居民通胀预期的形成机制

开展了实证检验。主要研究内容包括：(1)运用 Carlson-Parkin 概率法对中国人民

银行《居民储蓄问卷调查系统》中的数据进行转换及处理，作为我国居民通胀预

期的数据；(2) 通过偏差分析、格兰杰因果关系检验、理性预期检验和适应性预

期检验等方法，比较我国居民与专家通胀预期的偏差、形成机制以及与实际通胀

的关系；(3)对居民与专家通胀预期的关系进行理论分析和实证检验。在比较了

居民通胀预期和专家通胀预期的基础上，我们结合了 Carroll(2003)的流行病学模

型进一步研究了两者之间的关系。根据我国的实际情况，我们对流行病学模型进

行了调整，从而构成了研究我国居民通胀预期形成机制的基准模型。

本文的研究结果表明：(1) 居民与专家通胀预期与实际通胀的走势基本相

同，但专家通胀预期与实际通胀值之间的偏差相对较小。我国的居民和专家通胀

预期与通货膨胀在总体上均呈现出相互作用的因果关系。不同的是，专家通胀预

期对实际通胀值的作用时间相对较长，而居民通胀预期只在短期内对实际通胀值

具有推动作用。(2) 居民和专家通胀预期之间确实存在较为稳定的异质性。在通

胀预期性质的检验中，我们通过理性预期检验和适应性预期检验发现，由于专家

在信息获得成本与信息处理能力方面具有优势，其通胀预期更接近于理性预期；

相反，我国的居民通胀预期更加符合适应性预期的特征。(3) 通过格兰杰因果检

验，我们认为两类通胀预期间的因果关系方向是从专家到居民。进一步的实证检

验表明，经过调整的流行病学模型较好的呈现了我国通胀预期数据的动态性，与

欧美国家不同的是，我国居民通胀预期的形成是由同期的专家通胀预期、过去的

居民通胀预期和过去的实际通胀值共同决定的。

本文的创新之处在于：(1) 本文突破了以预期同质性为主的传统研究思路，

以通胀预期异质性理论和粘性信息理论为基础，研究居民和专家通胀预期的关

系，以期丰富现有的理论分析框架。(2) 本文根据人口统计特征和经济特征把我

浙江财经学院硕士学位论文

国的经济主体划分为居民和专家两类群体，目前国内还鲜有对这两类群体的通胀

预期关系开展专门的研究，本文是一次有益的尝试。(3) 由于我国的预期测度方

法以及预期形成机制与欧美国家存在差异，Carroll 的流行病学模型无法适用于我

国的通胀预期数据，必须对其进行优化与调整，从而提高模型的适用性。

本文的研究意义在于：(1) 通胀预期的异质性在很大程度上是由通胀预期的

形成机制不同所引起的。通过对不同群体通胀预期形成机制的检验及比较，可以

更好的解释我国通胀预期异质性及其产生原因。(2) 根据本文的实证结果，我们

得出了一些有关我国居民与专家通胀预期关系的结论，这对于我国央行更好的管

理通胀预期以及制定更加科学的货币政策具有借鉴意义。

关键词：居民通胀预期；专家通胀预期；异质性；流行病学模型

浙江财经学院硕士学位论文

III

ABSTRACT

Inflation expectations mean the people's psychological expectations of the

inflation rate for the next period of time. It plays a very important role in the study of

the problem of inflation, in the analysis of monetary policy and in the process of the

business cycle. However, in existing studies, the majority of the assumptions are

homogeneity of inflation expectations, one obvious question is ignored: Not everyone

has the same expectation (Mankiw,2003). In recent years, the homogeneity

assumption of the inflation expectations began to be questioned and criticized, and

then the domestic and foreign scholars began to study the heterogeneity of Inflation

expectations.

This paper studied inflation expectations heterogeneity as a starting point,

focused on the relationship between the Chinese residents’ inflation expectations and

experts’ inflation expectations, and carried out an empirical test on the formation

mechanism of our residents’ inflation expectations by using the epidemiological

models. The research contents include follows: First, we use the standard

Carlson-Parkin method to convert and process the data in Household Savings Survey

System which published by the People's Bank of China, We regard it as the data of

residents inflation expectations in China; Second, we use methods such as deviation

analysis, Granger causality test, the test of rational expectations and adaptive

expectations to compare the deviation, the formation mechanism of residents and

experts inflation expectations and their relationship with the actual inflation; Third,

we carried out theoretical analysis and empirical testing to the relationship between

inflation expectations of residents and experts. On the basis of the comparison

between the inflation expectations of residents and experts, we further studied their

relationship combined with Carroll’s (2003) epidemiological model. According to

China's actual situation, we adjusted the epidemiological models, thus constituting a

baseline model to study the formation mechanism of residents’ inflation expectations.

The results of this study show that: First, The basic trend of residents and

experts’ inflation expectations are the same with the actual inflation, but the deviation

of experts’ inflation expectations and actual inflation is relatively small. Generally, the

inflation expectations of residents and experts present interaction causality with the

浙江财经学院硕士学位论文

actual inflation. The difference is, the experts inflation expectations have a longer

duration of action to the actual inflation, while the residents’ inflation expectations

only in a short term. Second, between the inflation expectations of residents and

experts, it indeed exists a relatively stable heterogeneity. In the test of the nature of

inflation expectations, through the rational and adaptive expectation test, we found

that the experts have the advantages in the obtain cost and processing capabilities of

information, their inflation expectations are closer to rational expectations; on the

contrary, residents inflation expectations are more in line with the characteristics of

the adaptive expectations. Third, Through the Granger causality test, we believe that

the direction of the causal relationship of the two types of inflation expectations is

from the experts to the residents. Further empirical tests show that the adjusted

epidemiological model adequately captures the dynamics of residents’ inflation

expectations. Different from Europe and the United States, The formation of our

country’s residents’ inflation expectations are jointly determined by the experts’

inflation expectations in the same period, the residents’ inflation expectations and

actual inflation in the past .

The innovation of this paper is as follows: First, This paper broke through the

traditional research-based ideas of homogeneous expectations, Basing on the

heterogeneity of inflation expectations theory and sticky information theory to

research the relationship between the residents’ inflation expectations and experts’

inflation expectations, in order to enrich the existing theoretical analysis framework.

Second, this paper based on demographic characteristics and economic characteristics

to divide China's economic body into two groups of residents and experts. Currently,

there is rarely specialized research to the relationship of these two types of inflation

expectations in our country, and this paper is a useful attempt. Third, Because of the

estimating method of expectations and the formation mechanism of expectations is

difference with Europe and the United States, Carroll’s epidemiological model can’t

be applied to our country’s inflation expectations data, it must be optimized and

adjusted, so as to improve the model’s applicability.

The research significance of this paper is to: (1) To a large extent, the

heterogeneity of inflation expectations is caused by the formation mechanism of

inflation expectations. Through the examination and comparison of the expectations

formation mechanism of different groups, we can better explain the heterogeneity of

inflation expectations in China and its causes. (2) According to the empirical results,

浙江财经学院硕士学位论文

we have come to some conclusions about the relationship between inflation

expectations of residents and experts, it is of great significance to our central bank to

manage inflation expectations and make more scientific monetary policy.

Keywords: Residents’ Inflation Expectations; Experts’ Inflation Expectations;

Heterogeneity; Epidemiological Model

浙江财经学院硕士学位论文

第一章引言 ........................................................1

第一节选题背景及意义.............................................1

第二节国内外研究现状评述.........................................2

第三节研究方法和基本框架.........................................6

第四节本文的创新之处.............................................8

第二章居民与专家通胀预期关系的理论分析 ...........................10

第一节通胀预期形成机制理论......................................10

第二节居民与专家通胀预期关系的理论分析框架......................13

第三章居民通胀预期与专家通胀预期比较 .............................16

第一节通胀预期数据的来源及其处理................................16

第二节居民与专家通胀预期与实际通胀关系的比较....................20

第三节居民与专家通胀预期性质的比较..............................24

第四章居民与专家通胀预期关系的实证检验 ...........................32

第一节居民与专家通胀预期的格兰杰因果关系检验....................32

第二节流行病学模型及模型的调整..................................33

第三节基于流行病学模型的检验....................................35

第四节实证结果分析..............................................40

第五章结论及后续研究展望 .........................................42

第一节研究结论..................................................42

第二节后续研究展望..............................................45

参考文献 ..........................................................46

附录 ............................................................49

致谢 ............................................................51

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摘要：

浙江财经学院硕士学位论文I摘要通胀预期是指人们对于未来一段时间内的通货膨胀率的心理预期。它在通货膨胀问题的研究中,在分析货币政策以及商业周期的过程中都起着非常重要的作用。但现有的研究中，绝大部分都是以通胀预期的同质性为假设前提，一个明显的问题被忽略了：并不是所有的经济主体都具有相同的预期(Mankiw，2003)。近年来，通胀预期同质性的假设开始受到质疑和批判，国内外学者转而开始研究通胀预期的异质性。本文的研究正是以通胀预期的异质性为切入点，重点研究了我国居民通胀预期与专家通胀预期的关系，并运用流行病学模型对我国居民通胀预期的形成机制开展了实证检验。主要研究内容包括：(1)运用Carlson-...

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