中国通货膨胀成因与结构动态的经验分析  

An Empirical Analysis on the Causes and Dynamic Structure of Inflation in China

作　　者：张敏[1] 

机构地区：[1]湖南商学院经济与贸易学院,湖南长沙410205

出　　处：《湖南商学院学报》2016年第1期89-96,共8页Journal of Hunan Business College

基　　金：湖南省哲学社会基金项目"资产价格波动对居民财产性收入分配影响的实证研究"(项目号:09YBA086);湖南省高等学校科学研究项目"防止资产价格过快上涨和抑制资产泡沫问题研究"(项目号:09C587)

摘　　要：选取CPI作为通货膨胀的衡量指标,以人民币存款利率、资产价格波动、人民币有效汇率、流动性和产出缺口作为解释变量,运用VAR模型、格兰杰因果检验、脉冲响应和方差分解等方法,对1994～2014年中国通货膨胀的结构动态及其成因展开了实证分析。结果表明,中国通货膨胀呈现出阶段性的结构动态特征。同时,通货膨胀具有明显的惯性作用;产品缺口对物价水平的影响是长期的,在短期内使物价水平剧烈震荡;货币供应量对于物价的影响是波浪式的;人民币有效汇率对CPI有负向冲击作用且具有减弱趋势,在一定程度上可以缓解输入型通货膨胀;资产价格和存款利率的上升会导致物价水平的上升,但对通货膨胀的长期作用并不明显。从方差分解的结果来看,CPI受自身新息冲击的影响较大,产出缺口对CPI的贡献最高达到17%,流动性过剩对CPI的贡献最高达到7.41%,人民币汇率和资产价格对通货膨胀的影响较弱,但两者的累积贡献超过5%,可以认为上述几个因素是影响中国通货膨胀形成最主要的因素。This paper selects CPI as the measure of inflation, and takes the RMB deposit interest rates, asset prices volatility,the RMB effective exchange rate, liquidity, and the output gap as explanatory variables, using the methods of VAR model, Granger causality test, impulse response analysis and variance decomposition to analyze the structural dynamics and causes of inflation in China from 1994 to 2014 empirically. The results of the research show that： China＇s inflation is indeed showing periodic structure dynamic characteristics. RMB effective exchange rate, asset prices and rising interest rates of deposits will lead to rising price level,while the rise in CPI in turn leads to an increase money supply to expand the output gap. CPI is affected by the impact of innovation on its own. Commodities have a long-term impact on the price level. Output gap affects CPI significantly and the impact of interest rates and the RMB effective exchange rate on prices is not significant in the long term. From the results of variance decomposition,inflation has significant inertia tendency. The maximum contribution of output gap on CPI is up to 17% and the maximum contribution of the excess liquidity on CPI is up to 7.41%., while the influence of exchange rate of RMB and assets value on inflation is the weakest. But if the contribution of the two factors excesses 5%, it can be regarded as the most important cause of the formation of inflation in China.

关 键 词：通货膨胀 结构动态 VAR模型 脉冲响应函数 

分 类 号：F822.5[经济管理—财政学]