中文摘要：

本文利用我国CPI分类数据,基于多层因子模型构建了一种新的核心通货膨胀指标。通过与单层因子模型方法的对比研究发现：单层因子模型会高估核心通货膨胀的波动性,原因在于其无法识别仅影响大类价格变化的局部因子,并将局部因子的大部分作用归于具有普遍性影响的全局因子。而多层因子模型不仅能够识别局部因子,并且利用分离局部因子之后的全局因子构造的核心通货膨胀指标具有更小的波动性,且更符合核心通货膨胀的内涵。

英文摘要：

We use China ＇s CPI data to construct a new core inflation index based on multi-level factor model.Compared with the single-level factor model,we find that： single-level factor model could overestimate the volatility of core inflation,because it is unable to identify regional factors that only affect sector price,thus it attributes the bulk of impact of regional factors to global factor which has pervasive influence. While the multi-level factor model could identify regional factors,and the core inflation which is constructed by the global factor has smaller volatility,and is consistent with the concept of core inflation.