An Empirical Study On Chinese Adaptive Learning Inflation Expectation

Modern macroeconomic theory considers that the difference in essence between economics and natural science lies in prospective decision made by economists.Among every aspect of economic operation,expectation plays an essential role.Public expectations on inflation will affect inflation.When guiding and managing the expectation of market inflation has become important means to regulate the economy and improve monetary policy for developed countries,Chinese government also adapts the working method to local conditions and promotes its measures for inflation expectation management.The key to the effectiveness of inflation expectation management is to know and uphold the dynamic reaction path between inflation expectation and real inflation.The expectation consists in static,extrapolation,adaptive and rational expectation.The first three expectations view expectation as exogenous variable of economic system and they don't have solid theoretical basis on economics.However,rational expectation is a balanced concept.Suppose that the public knows every econometric model,then any time could make an unbiased estimate to economic system.Nevertheless,rational expectation has drawbacks as followings:firstly,the public has complete cognition to the real economic structure,and information acquisition and processing ability can be strong enough to achieve unbiased results with real economy,which is apparently not in conformity with the fact;secondly,there is no specific description on mechanisms of formation for public expectation,but rational expectation just pays attention to a series of regulation on results of expectation;finally,most rational expectation model has multiple equilibria,so in the end,there will be arbitrary.Learning-oriented expectation lower a series of strict conditions among rational expectation hypothesis.And it believes the mechanisms of formation for public expectation is mapping procedure from perpetual operation model to real operation model,which can avoid the problem about multiple equilibria in the rational expectation model.Therefore,the paper illustrates adaptive learning expectancy theory at three levels(multiple equilibrium solution to rational expectation,machanism of formation on learning-oriented expectation and steady-state condition and learning rules),and infers China's learning-oriented inflation expectations and analyzes and makes an empirical test on the characteristics of learning-oriented inflation expectation.During the process of empirical analysis,the paper needs to calculate the steady-state value of learning rules from model building thought and by constructing state space model in view of smoothing tendency of the central bank monetary policy and lag phase of inflation,and deducing learning rules of public inflation expectation with Kalman Filter combing the Vieta theorem.From learning the three characters,which are unbiasedness for the satisfaction of rational expectation hypothesis,validity and zero cognitive bias and nonautocorrelation,we can test the near rational characteristics of learning-oriented inflation expectation by setting different significant levels.