基于FAVAR模型通货膨胀的成因研究

发布时间：2018-01-07 08:21

本文关键词：基于FAVAR模型通货膨胀的成因研究　出处：《广东工业大学》2015年硕士论文　论文类型：学位论文

【摘要】：通货膨胀是我国宏观经济管理中的重要课题之一。关于通货膨胀的研究一直是学术界的热点,没有任何一个主题能够像通货膨胀一样被反复研究讨论。纵观国内外通货膨胀的研究成果,大多是从货币、需求、成本、输入性这几个影响因素出发,而且往往根据不同研究需求选取不同的经济指标,并没有一个统一的指标划分标准,因此得出的结论也会不同,另一方面我国通货膨胀发生原因是错综复杂的,并不是单一某个因素层面影响而成的。近几年来我国房地产市场、资本市场、对外贸易活动等非常活跃,对通货膨胀的影响也逐渐引起学者们的高度注意。因此选用货币、经济活动水平、房地产、资本市场和国际需求等层面来深入考察长期以来通货膨胀的动态规律及通货膨胀的成因,更符合现下的经济状况,更有现实意义,更能针对性地提出我国宏观经济管理的政策建议。在研究方法的选用上,大多数学者选择VAR或SVAR作为实证研究方法,本文在总结VAR和SVAR模型的局限性,以及分析了FAVAR模型的合理性与必要性的基础上,选用FAVAR(因子向量自回归)模型作为本文的研究方法,充分利用我国的宏观经济指标,将直接或间接影响通货膨胀变动的众多因素同时纳入到FAVAR模型的分析框架中,提炼出反映通货膨胀波动本质的综合因子,以期用更全的视角分析各方面对我国通货膨胀的影响。基于数据的可获得性,最终选用了44个经济指标,及其2000年1月至2014年12月共168期数据,对通货膨胀的成因进行检验和分析。主要得到以下研究结果：第一,在因子分析过程中,货币指标并没有形成一个统一的货币影响力量,而是分散到各个因子组里,这说明我国经济已经发展到由粗向细转换的阶段,货币政策的作用也更加细化,因此在宏观经济管理上,需要针对不同领域采用不同的货币调控政策。第二,2000年至2014年期间,房地产市场波动、国际需求、信贷规模、经济活动水平和资本市场均是我国通货膨胀的成因。其中房地产市场波动、国际需求、信贷规模和资本市场对通货膨胀有正向拉动作用,而经济活动水平在一定程度上可以抑制通货膨胀发生。第三,房地产市场因子、国际需求因子、信贷规模因子、经济活动水平因子、资本市场因子与通货膨胀因子均有长期均衡关系,且存在短期动态关系。上述分析可以揭示我国通货膨胀的原因,找出影响通货膨胀因素的影响途径和影响模式。从而有助于针对性进行宏观经济管理政策设计,解决通货膨胀对经济发展的不利影响。本文最后基于实证分析结论,提出了相应的宏观管理建议。
[Abstract]:Inflation is one of the important topics in macroeconomic management in China. The research on inflation has been a hot topic in academic circles, there is no a theme can like inflation has been repeatedly discussed. The research achievements of domestic and foreign inflation, mostly from currency, demand, cost, the influence factors of the input. And often according to different research needs select different economic indicators, there is no unified index classification standard, so the conclusion will be different, on the other hand the reason of China's inflation is perplexing, and not a single level and influence factors. The real estate market in China in recent years capital market, foreign trade activities are very active, the impact on inflation has gradually attracted high attention of scholars. Therefore the selection of monetary, economic activity level, real estate, To further examine the dynamic regularity and causes of inflation inflation since the long-term capital market and international demand levels, more in line with the current economic situation, more practical, more can put forward our country's macroeconomic management policy recommendations. In the selection of research methods, most scholars choose VAR or SVAR as the empirical research method in this paper, summing up the limitation of VAR and SVAR model, and analyses the rationality and necessity of the FAVAR model, using FAVAR (factor vector autoregression) model as the research methods, make full use of macroeconomic indicators in our country, many factors will directly or indirectly affect the inflation at the same time into analysis the framework of FAVAR model, extract the factor inflation volatility reflects the comprehensive nature, in order to use more comprehensive perspective analysis of various aspects of China's inflation Impact. The availability of data based on the final selection of the 44 economic indicators, and January 2000 to December 2014 a total of 168 data were used to verify and analyze the causes of inflation. The main results are as follows: first, the factor analysis in the process of monetary index has not formed a unified currency impact force, but distributed to each factor group, indicating that China's economy has developed to the stage of conversion by thick to fine, the role of monetary policy is more refined, so in macroeconomic management, the need for different areas using different monetary policy. In second, during the period from 2000 to 2014, the real estate market fluctuations, international demand. The credit scale, the level of economic activity and the capital market are the causes of inflation in China. The fluctuation of the real estate market, international demand, credit scale and capital market is on inflation To pull, and the level of economic activity in a certain extent can restrain inflation. Third, the real estate market factor, international demand factor, credit scale factor, the level of economic activity factor, have long-term equilibrium relationship between capital market factors and inflation factors, and short-term dynamic relationship. The analysis can reveal the inflation in China. To find out the influence factors of inflation path and effect model. Which helps to carry out macroeconomic management policy design, solve the adverse effects of inflation on economic development. Finally, based on the sound of the conclusions of empirical analysis, puts forward the macro management suggestions.

【学位授予单位】：广东工业大学
【学位级别】：硕士
【学位授予年份】：2015
【分类号】：F822.5

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