基于时变参数状态空间模型的我国通货膨胀动态影响因素研究

发布时间：2018-10-05 12:37

【摘要】：通货膨胀是我国宏观经济管理的重要课题之一。对通货膨胀的研究,始终是学术界的热点研究问题之一。通过广泛查阅国内外对于通货膨胀影响因素研究的相关文献,发现大多数都是从货币、需求、成本、输入性因素等分别进行研究的,也有综合多个因素进行研究,但指标选取的全面性值得商榷。基于此,本文选取涵盖货币、经济产出、成本、国际资源品价格、农产品价格、金融市场与房地产市场等层面的多个因素,采用时变参数状态空间模型,动态地研究在各轮通货膨胀周期中对通货膨胀有显著影响的因素,同时分析了各个因素在样本期内对通货膨胀影响程度的动态变化情况,这比常用的VAR、SVAR等静态模型更具有合理性,这更符合现实经济情况,对政府等有关部门进行宏观经济管理更具有参考价值。基于数据的可获得性,本文收集整理研究了我国2000年1月至2016年12月以上各层面因素对我国通货膨胀的动态影响,通过对模型反复地试验修改,并选取了模型结果相对平稳的时期进行分析,最终得出以下主要研究结果:(1)2003-2005年,通货膨胀主要是受到GDP、农产品价格、房地产市场等因素的动态影响,GDP对通货膨胀的影响最大,表现为需求拉动型通货膨胀。2006-2009年通货膨胀主要是受到汇率、农产品价格、国际农产品价格等因素的动态影响,其中汇率因素对通货膨胀的影响程度最大,表现为输入型通货膨胀。2010-2012年通货膨胀主要是受到农产品价格、汇率、国际农产品价格等因素的影响,其中受农产品价格的影响程度最大,表现为结构性通货膨胀。2013-2016年通货膨胀主要是受到农产品价格、GDP、汇率等因素的影响,其中农产品价格的影响程度最大,表现为结构性通货膨胀。(2)总体而言,2003-2016年,汇率因素、农产品价格、GDP、房地产市场因素、国际农产品价格与国际能源价格对通货膨胀有非常显著的正向动态影响,其中农产品价格的影响最大,汇率因素的影响程度次之。货币供应量在较长的时期内对通货膨胀没有直接正向动态影响,通货膨胀可能还与货币供应量的流动方向有关。工资成本因素对通货膨胀的动态影响并不明显。国际非能源价格对我国通货膨胀具有抑制作用。股票市场对通货膨胀的动态影响比较微弱,居民的财富效应并不明显。近期内农产品价格、GDP、房地产市场、国际农产品价格与汇率因素对通货膨胀的动态影响都有增大趋势。最后,本文基于时变参数状态空间模型的实证分析结论,提出了相应的宏观经济管理建议。
[Abstract]:Inflation is one of the important subjects of macroeconomic management in China. The study of inflation has always been one of the hot topics in academic circles. Through extensive reference to domestic and foreign literature on the influence factors of inflation, it is found that most of them are studied separately from money, demand, cost, input factors and so on, and there are also a number of comprehensive factors to study. However, the comprehensive selection of indicators is open to question. Based on this, this paper selects several factors including currency, economic output, cost, international resource price, agricultural product price, financial market and real estate market, and adopts time-varying parameter state space model. This paper studies the factors that have significant influence on inflation in each cycle of inflation, and analyzes the dynamic changes of the degree of influence of each factor on inflation in the sample period. This model is more reasonable than the static model such as VAR,SVAR, which is more in line with the actual economic situation, and has more reference value for the government and other relevant departments to carry out macroeconomic management. Based on the availability of data, this paper collects and studies the dynamic effects of various factors on inflation in China from January 2000 to December 2016. The main results are as follows: (1) from 2003 to 2005, inflation was mainly affected by the price of GDP, agricultural products, real estate market and other factors. Demand-driven inflation .2006-2009 inflation is mainly affected by the exchange rate, the price of agricultural products, the international price of agricultural products and other factors, among which the exchange rate factors have the greatest impact on inflation. The inflation in 2010-2012 is mainly affected by the price of agricultural products, the exchange rate, the international price of agricultural products, and so on, among which the price of agricultural products is the most affected. This is manifested in structural inflation. In 2013-2016, inflation was mainly affected by agricultural product prices, GDP, exchange rates and other factors, among which the price of agricultural products had the greatest impact, as shown by structural inflation. (2) overall, from 2003-2016, the exchange rate factor, The price of agricultural products (GDP), real estate market factors, international agricultural product prices and international energy prices have a very significant positive dynamic impact on inflation, among which the agricultural product price has the greatest influence, followed by the exchange rate factor. Money supply has no direct positive dynamic effect on inflation for a long time, and inflation may also be related to the flow direction of money supply. The effect of wage cost on inflation is not obvious. The international non-energy price has the suppression function to our country inflation. The dynamic effect of stock market on inflation is weak, and the wealth effect of residents is not obvious. In the near future, the price of agricultural products (GDP), real estate market, international agricultural product prices and exchange rate factors all have an increasing trend on the dynamic impact of inflation. Finally, based on the empirical analysis results of the time-varying parameter state space model, the corresponding macroeconomic management suggestions are put forward.
【学位授予单位】：广东工业大学
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：F822.5;F224

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