资产价格影响通货膨胀了吗?——基于中国月度数据的实证分析  

Does Asset Price Affect Inflation?——Empirical Research based on Monthly data in China

作　　者：纪敏[1] 周源[2] 彭恒文[2] 

机构地区：[1]中国人民银行研究局 [2]中国人民银行南京分行

出　　处：《国际金融研究》2012年第11期23-29,共7页Studies of International Finance

基　　金：国家自然科学基金项目"国内通胀走势与应对策略研究"资助;项目主持人张健华;项目批准号71141007

摘　　要：资产价格变动会通过消费等渠道来影响CPI,但资产价格波动信息的解读水平有待提高,有必要进一步研究和确定资产价格对通货膨胀的影响力度和影响方向。本文回顾了已有文献,通过一个理论模型论述资产价格影响通货膨胀的机理,并在此基础上运用状态空间模型实证分析资产价格对通货膨胀的影响。结果表明,房价对通货膨胀存在显著影响,但没有证据表明股价影响到物价水平。Asset price fluctuation may affect CPI through different channels such as consumption. However, nowadays there is still huge room for people to better explain the information related to asset price fluctuation, making it necessary to further study and identify the extent and direction of the impact exerted by asset price on inflation. This paper, building on existed literature, adopts a theory model to elaborate on the mechanism of asset price affecting inflation. Based on this, it also uses State Space Model to empirically analyze the impact of asset price changes on inflation. The results show that the impact of house price on inflation is significant while no evidence shows that the stock price may affect the inflation data.

关 键 词：资产价格 通货膨胀 状态空间模型 

分 类 号：F831[经济管理—金融学]