通货膨胀预期及其影响因素的分析

发布时间：2018-05-07 21:31

本文选题：通货膨胀预期 + SVAR　；参考：《南京大学》2013年硕士论文

【摘要】：通货膨胀预期在经济发展中具有重要地位,近几年来我国出现了几次较大规模的通货膨胀周期,对经济的平稳发展造成了巨大的影响。经济主体的预期能够改变其现实中的行为,从而对经济产生影响。管理通货膨胀预期对于稳定通胀具有重要的意义,对通胀预期的研究有利于政策的制定和经济的平稳发展。本文在对通货膨胀预期性质及运行机理的研究基础上,运用定性的中国人民银行城镇储户问卷调查数据,通过差额法与改进的概率法计算得出了我国通货膨胀预期的具体大小。与实际通货膨胀的比较,发现这一通货膨胀预期能够很好的表示实际通货膨胀发展的趋势与变化水平。在此数据基础上,通过建立结构向量自回归模型(SVAR),对影响通货膨胀预期的因素进行了分析。在变量的选择上,本文从宏观经济政策、资产价格以及成本推动三个方面选取了产出缺口、实际通货膨胀率、货币增长率、房地产价格、工资缺口以及石油价格等六个变量,通过Granger因果检验、脉冲响应函数以及方差分解,得出了有益的结论。本文研究表明,在影响通货膨胀预期的因素中,以产出缺口为代表的经济周期对预期影响最大；货币增长率对于预期影响时间最长；在长短期内,对于影响预期因素的重要程度是不同的；石油价格对于预期的重要性要远远超过人们的想象；房地产价格是推动人们对未来物价预期走高的原因之一,但是预期却不能有效的改变房地产价格,这一结论能够被政策性干预房价进行有效解释。同时,预期具有自我实现的性质,上一期的预期对于本期的预期具有重大的影响。这些结论为宏观当局政策的制定提供了有效的事实基础,具有重要的现实意义。
[Abstract]:Inflation expectation plays an important role in economic development. In recent years, there have been several large-scale inflation cycles in our country, which have a great impact on the steady development of economy. The expectation of the economic subject can change its behavior in reality, thus having an impact on the economy. The management of inflation expectation is of great significance for stabilizing inflation, and the study of inflation expectation is beneficial to the formulation of policy and the smooth development of economy. Based on the study of the nature and operation mechanism of inflation expectation, this paper uses the qualitative questionnaire data of urban depositors of the people's Bank of China to calculate the specific size of inflation expectations by using the difference method and the improved probability method. Compared with the actual inflation, it is found that this inflation expectation can well indicate the trend and the changing level of the real inflation. On the basis of these data, the factors influencing inflation expectation are analyzed by establishing the structural vector autoregressive model (SVARA). In the choice of variables, this paper selects six variables, including macroeconomic policy, asset price and cost promotion, such as output gap, real inflation rate, monetary growth rate, real estate price, wage gap and oil price. By Granger causality test, impulse response function and variance decomposition, some useful conclusions are obtained. The study shows that, among the factors influencing inflation expectations, the economic cycle, represented by the output gap, has the greatest impact on expectations; the monetary growth rate has the longest effect on expectations; and in the long and short term, The importance of factors affecting expectations is different; the importance of oil prices to expectations is far greater than people think; and real estate prices are one of the reasons that push people's expectations higher for the future. But the expectation can not change the real estate price effectively, this conclusion can be effectively explained by the policy intervention. At the same time, expectations are self-fulfilling, and the expectations of the previous period have a significant impact on the expectations of the current period. These conclusions provide an effective factual basis for the formulation of macro-authority policy and have important practical significance.
【学位授予单位】：南京大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F822.5;F224

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