美国货币政策对中国通货膨胀影响的实证研究——基于FAVAR模型的分析  

An Empirical Study of U.S. monetary policy impact on China's Inflation——Based on FAVAR Model

作　　者：安辉[1] 高宇翔[1] 李明[2] 

机构地区：[1]大连理工大学管理与经济学部,辽宁大连116024 [2]建设银行大连市分行营业部,辽宁大连116000

出　　处：《科学．经济．社会》2017年第2期64-72,共9页Science Economy Society

基　　金：教育部人文社科一般项目(16YJA790001);辽宁省经济社会发展课题(2016Lslktjijjx-08)

摘　　要：本文基于2001年1月至2015年12月相关月度时间序列数据,采用因素增强的向量自回归模型(FAVAR),通过成本推动渠道、资金输入渠道以及货币扩张渠道分析美国货币政策对我国通过膨胀的影响。研究结果表明:美国货币政策与我国通货膨胀水平总体呈正相关变动关系;与成本推动渠道中的相关变量包括国内外大宗农产品、能源和矿产品价格表现为正相关变动关系;与资金输入渠道变量中的银行间同业拆借利率、一年期定期存款之间的关系不明确,但与上证综合指数、商品房销售价格以及外商直接投资也体现出较强的正相关关系;同时与货币扩张渠道变量中的人民币无本金交割远期呈现负相关关系,但其与中国货币供应量之间的关系则正好相反。Based on monthly panel data from January 2001 to December 2015, we establish FAVAR model to analysis the influence of US monetary policy change on the imported inflation in China through the channels of cost-push, capital input and monetary expansion. The results show that： there is the positive relationship between US monetary policy change and the inflation in China as well as the commodity prices in the channel of cost-push. Apart from that, the relationship between US monetary policy and the chibor as well as one year fixed deposit in channel of capital input is not obvious, but this relation- ship remains positive in Shanghai composite index, Commercial housing sales price and FDI. Finally, in channel of mone- tary expansion , US monetary policy is positively correlated with M2 in China, while being negatively correlated with NDF.

关 键 词：美国货币政策变动 输入性通货膨胀 FAVAR模型 

分 类 号：F403[经济管理—产业经济]