Research On Dynamic Identification And Mixed Frequency Prediction Of China’s Core CPI

"Maintaining price stability and promoting economic growth" is not only the goal of monetary policies in other countries,but also the legal goal of China’s monetary policy.However,due to the lagging effect of monetary policy,it is particularly important to accurately capture the country’s core CPI figure.The reason is that the core CPI figure is the part that reflects the long-term trend of prices by stripping off the short-term and temporary impact of prices,which can minimize the misjudgment signal of the long-term trend of prices and is conducive to the formulation and implementation of the central bank’s monetary policy.At present,the world is facing the risk of inflation,while the CPI figure officially announced by China excluding food and energy has obvious disadvantages.The CPI construction requires cumbersome weight adjustment,and its reconstruction weight is opaque.China’s future price supervision task is heavy,and there are many problems and disputes about the identification method of core CPI.Therefore,this paper takes China’s core CPI as the research object based on the headline CPI from January 2001 to December 2021,successfully avoiding the weight adjustment of price classification items and revealing the typical facts of core CPI and non core CPI.Further this paper discusses the influencing factors of China’s core CPI based on quarterly and monthly index data,and uses this mathematical derivation to realize the mixed frequency prediction modeling of China’s core CPI.The research of this paper not only provides a reasonable,scientific and feasible realization idea and solution for the identification and prediction of China’s core CPI,but also provides achievement accumulation for improving the analysis system of China’s core CPI.It provides basis and experience reference for the anchoring of China’s monetary policy.The details are as follows:The first chapter is the introduction,which mainly introduces the research background and significance of China’s core CPI identification and prediction.Then it establishes the purpose and logical framework of this study,and summarizes the relevant literature at home and abroad.Then it summarizes the research content and states the possible innovations.The literature review part mainly discusses four aspects,including: the relationship between inflation and monetary policy,the construction and identification of core CPI,the influence mechanism of core CPI,and the prediction of inflation and core CPI.The second chapter is the basic problems and theoretical basis of core CPI identification.This paper discusses the existing problems from the definition of core CPI to the identification of core CPI,and comprehensively and systematically summarizes the evaluation problems of core CPI,such as unbiased,relatively low volatility,sustainability,inflation prediction,causality and so on.Then it expounds the necessity of monetary policy paying attention to core CPI and the economic theory of core CPI,so as to lay the foundation for follow-up research.The third chapter is the dynamic identification and evaluation of China’s core CPI.Firstly,this chapter constructs the dynamic identification model of random walk structure with abnormal events of core CPI.Then Bayesian estimation is used to dynamically identify the headline CPI year-on-year series of 21 years and 252 months from January 2001 to December2021.And then this chapter comprehensively evaluates the identified core CPI from five aspects: unbiased,relatively low volatility and sustainability,that is,the performance of continuously tracking trend inflation,the performance of predicting inflation and causality.Further this chapter compares with the performance of the only officially released CPI excluding food and energy.The fourth chapter is the dynamic characteristics of China’s core CPI and the time point analysis of the temporary impact of non core CPI.Firstly,it systematically analyzes the trend characteristics,time-varying fluctuation characteristics,the meaning of economic policies in key periods,and the correlation with headline CPI and elimination CPI.A Markov regime transformation model with time-varying transition probability is constructed to reveal the regime characteristics of core CPI.Finally,the typical facts of the temporary impact of non core CPI are analyzed.The fifth chapter is the analysis of the influencing factors of China’s core CPI,which lays the foundation for mixed frequency prediction modeling.It analyzes the impact of core CPI by taking quarterly GDP growth,money supply m2,nominal interest rate,nominal effective exchange rate and Shanghai Composite Index as domestic factors,and global oil price and global grain price as global factors.Meanwhile,the max test method is used to realize the mixed frequency Granger causality test,and further construct the dynamic distribution lag model of core CPI to analyze its influencing factors.Finally,a time-varying parameter mixed frequency vector autoregressive model with random fluctuation is constructed to study the time-varying effect of core CPI.The sixth chapter is the mixed frequency prediction of China’s core CPI.Firstly,based on the significant influencing factors of core CPI,taking the mixed frequency structure vector autoregression as the starting point,a quarterly and monthly mixed frequency core CPI prediction model is deduced and constructed,which is transformed into state space structure,and its parameter estimation and mixed frequency rolling prediction process and steps are given.Finally,the effect evaluation and robustness test are carried out from the rolling prediction of full sample,partial sample and out of sample,and the prediction effect is compared with the benchmark model.This chapter provides a new idea for the mixed frequency prediction of core CPI.The seventh chapter describes the main conclusions of this paper.It also puts forward some policy suggestions,such as the adoption and evaluation mechanism of core CPI,the dynamic identification mechanism of core CPI,the core CPI focusing mechanism of price based monetary policy,and the early warning and dynamic supervision mechanism of core CPI.Further prospects are made on the areas of core CPI to be further studied.