我国金融压抑与通货膨胀关系研究——基于MSVAR模型的分析  

The Relationship between Financial Repression and Inflation in China——An Analysis Based on the MSVAR Model

作　　者：张富祥[1] 

机构地区：[1]西安交通大学金禾经济研究中心,陕西西安710049

出　　处：《华东经济管理》2014年第12期50-53,共4页East China Economic Management

基　　金：国家社会科学基金项目(13XJY001)

摘　　要：文章运用MSVAR模型对我国金融压抑程度与通货膨胀的关系进行了研究,发现我国通货膨胀率存在明显的高通胀区域和低通胀区域特征。在高通胀区域,价格高位持续时间较短,波动幅度大,金融压抑对通货膨胀具有显著的负向效应;而在低通胀区域,价格低位持续时间较长,波动幅度小,金融压抑对通胀水平的效应是正向的。两者的非线性特征对货币政策实施和金融自由化策略有着重要的政策含义。The paper makes a study on the relationship between financial repression and inflation rate in China by applyingMarkov switching vector autoregression （MSVAR） model. It finds that China’s inflation rate has obvious characteristics ofhigh inflation regions and low inflation regions. In the regions of high inflation,high price sustains a shorter time but bigfluctuations,and financial repression has a significant negative effect on inflation. However,in the regions of low infla.tion,low price lasts a longer time but small fluctuations,and the effect of financial repression on inflation is positive. Thenonlinear features between the two have important implications to the formulation and implementation of monetary policyand financial liberalization.

关 键 词：金融压抑 通货膨胀 MSVAR模型 

分 类 号：F124.8[经济管理—世界经济]