金融资产价格波动对我国通货膨胀的影响研究

发布时间：2018-04-03 08:05

本文选题：金融资产价格　切入点：通货膨胀　出处：《安徽财经大学》2013年硕士论文

【摘要】：近年来,随着金融市场的不断发展和成熟,居民资产中金融资产的比重不断提升,且金融资产的结构趋向多元化发展,银行存款占比趋于下降,其他金融资产投资比重日益提高。金融资产比重的提升及结构的日趋多元化,使得金融资产价格的波动对居民生活和宏观经济的影响不断加大。同时,实体经济在运行中会不断受到通货膨胀的困扰,在此背景下,研究金融资产价格波动如何影响通货膨胀,是一个非常具有现实意义的重要命题。文章在借鉴大量文献的基础上,阐述了金融资产价格波动的原因以及通货膨胀的相关理论,总结出金融资产价格波动影响通货膨胀的传导机制。然后,文章选用2002年10月至2012年4月间的月度数据对四大金融资产价格指标以及通货膨胀指数的变动情况进行了历史性描述。为建立VAR模型,文章对选取的数据进行了平稳性检验,之后通过脉冲响应和方差分解分析了金融资产价格波动对通货膨胀的影响。实证检验结果表明：第一,金价、股价、汇率、利率的变动对通货膨胀均存在影响,其中利率的影响最为显著；第二,汇率与通货膨胀之间的变动关系存在不稳定性,偶尔会出现反向变动,而金价、股价、利率则与通货膨胀呈正向变动关系；第三,金融资产价格的波动对通胀的影响存在滞后性。最后,文章基于实证检验结果,提出通过调节金融资产价格来抑制通货膨胀的相关政策建议：货币政策应适度考虑金融资产价格的波动；加强长短利率的调节,推动利率市场化改革；抑制过度投机,减少资本市场中的虚假成分；灵活运用汇率工具,稳定人民币升值预期；完善黄金交易市场,注重风险防范。
[Abstract]:In recent years, with the continuous development and maturity of the financial market, the proportion of financial assets in residents' assets is increasing, and the structure of financial assets tends to diversify, and the proportion of bank deposits tends to decline.The proportion of other financial assets investment is increasing day by day.With the increase of the proportion of financial assets and the increasing diversification of structure, the fluctuation of financial asset prices has a growing impact on the residents' lives and macro economy.At the same time, the real economy will be constantly troubled by inflation in its operation. Under this background, it is an important proposition with practical significance to study how the fluctuation of financial asset price affects inflation.Based on a large number of literatures, this paper expounds the causes of financial asset price fluctuation and the related theories of inflation, and summarizes the transmission mechanism of financial asset price fluctuation affecting inflation.Then, the paper uses the monthly data from October 2002 to April 2012 to make a historical description of the changes of the four major financial asset price indicators and inflation indices.In order to establish the VAR model, this paper tests the smoothness of the selected data, and then analyzes the effect of financial asset price fluctuation on inflation by impulse response and variance decomposition.The empirical results show that: first, the changes of gold price, stock price, exchange rate and interest rate all have an impact on inflation, among which the influence of interest rate is the most significant; second, the relationship between exchange rate and inflation is unstable.Occasionally reverse movements occur, while gold, stock prices and interest rates are positively correlated with inflation; third, the impact of volatility in financial asset prices on inflation is lagging.Finally, based on the empirical results, the paper puts forward some policy suggestions on how to control inflation by adjusting the price of financial assets: monetary policy should consider the fluctuation of the price of financial assets, and the adjustment of interest rate should be strengthened.Promote the reform of interest rate marketization; restrain excessive speculation and reduce the false elements in the capital market; use flexible exchange rate tools to stabilize the expectation of RMB appreciation; perfect the gold trading market and pay attention to risk prevention.
【学位授予单位】：安徽财经大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.5;F822.0

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