基于向量自回归模型货币超发视角的中国物价成因研究

发布时间：2018-03-29 17:08

本文选题：货币超发　切入点：GDP　出处：《上海师范大学》2014年硕士论文

【摘要】：2013年4月12日,据中国人民银行官方的统计,中国广义货币量(M2)的余额正式突破了100万亿元大关。这一消息似乎把近年来被经济学界热议的“货币超发”问题推向了高潮。相比M2的高速增长,GDP的增长似乎有些脱节,相比于过去几年GDP的高速发展,目前GDP的增速似乎有所放缓。人们不禁发出这样的疑问：中国目前到底有没有“货币超发”的现象,如果有的话,影响“货币超发”因素有哪些,“货币超发”将会产生什么样的后果。虽然“货币超发”这一现象属于宏观经济学范畴,实则与每个人的生活息息相关。因为“货币超发”最常见的后果就是通货膨胀,而老百姓最直观的感受无疑就是物价的上涨,生活成本的提高。因此,研究“货币超发”的成因和后果,找到货币超发的根源,为有关部门提出相关的建议,保障老百姓的切身利益就变得十分重要。带着这样的目的,本文从理论和建模角度出发,全面系统的分析中国“货币超发”的问题。本文首先通过对我国M2/GDP的纵向比较,并且结合通货膨胀率和一年期存款的实际利率等因素,综合分析和比较后得出了我国目前确实是存在“货币超发”的现象的结论。在得出存在货币超发现象的结论后,利用曼昆《宏观经济学》中的货币需求函数以及我国实际的货币供应量制定政策对导致我国货币超发的原因进行分析。通过格兰杰因果检验发现,我国货币需求量的增长除了受到GDP和CPI的影响以外,还受外汇占款过高和房价过高因素的影响。找出了导致我国货币超发的原因后,利用广义货币量M2增长率代替实际货币增长速度,食品,烟酒,医疗,居住,设备,交通,衣着,娱乐等八大价格指数2001年1月至2013年12月的月度数据,通过平稳性检验,格兰杰因果检验,协整检验,模型阶数的确定后,建立计量经济学中的VAR模型来研究他们之间的相互关系,并通过VAR模型中的脉冲响应函数和方差分析发现：货币超发对食品，医疗和居住价格指数的影响最大，同样的食品，医疗和居住价格的上涨也在一定程度上影响着我国货币超发的情况。本文最后也提出了一些建议，要抑制货币超发必须提高单位货币的利用率，使单位货币创造出更多的GDP远远比单纯的控制货币发行量，提高银行法定存款准备金率和法定基准利率要有用的多，此外提高外汇储备使用范围，出台更多房地产调控政策也可以在一定程度上缓解货币超发的压力。另一方面，物价部门也需要密切注意食品，医疗和居住的价格波动，，严格控制好这三类价格的走势，不仅能够保障老百姓的切身利益，同时对货币超发也有一定的预防作用。
[Abstract]:On April 12, 2013, according to official statistics of the people's Bank of China, The balance of China's broad money volume has officially broken through the 100 trillion yuan mark. This news seems to have pushed the issue of "currency overshoot", which has been hotly discussed by economists in recent years, to a climax. Compared with the rapid growth of M2, it seems that the growth of gross domestic product is somewhat disjointed. Compared with the rapid development of GDP in the past few years, the current growth rate of GDP seems to be slowing down. People can't help but ask whether or not China has a "currency overshoot" phenomenon, if any. What are the factors that affect the "currency overshoot" and what kind of consequences the "currency overshoot" will have? although the phenomenon of "currency overshoot" belongs to the scope of macroeconomics, In fact, it is closely related to everyone's life. Because the most common consequence of "currency overshoot" is inflation, and the most intuitive feeling of the common people is undoubtedly the rise in prices and the increase in the cost of living. It is very important to study the causes and consequences of "currency overshoot", to find out the root cause of currency overshoot, to put forward relevant suggestions for relevant departments, and to protect the vital interests of the common people. With this purpose in mind, this paper sets out from the angle of theory and modeling. A comprehensive and systematic analysis of China's "currency overshoot" problem. In this paper, first of all, through the longitudinal comparison of China's M2/GDP, and combined with the inflation rate and the real interest rate of one-year deposits and other factors, After comprehensive analysis and comparison, it is concluded that the phenomenon of "currency overcirculation" does exist in our country at present. By using the money demand function and the actual money supply policy in Mancun, this paper analyzes the causes of the overcirculation of money in China, and finds out by Granger causality test, In addition to the influence of GDP and CPI, the growth of monetary demand in China is also affected by the excessive foreign exchange and housing prices. After finding out the reasons for the overcirculation of money in our country, we use the M2 growth rate of broad money to replace the real money growth rate, food, alcohol and tobacco, medical treatment, housing, equipment, transportation, clothing, The monthly data of eight major price indices, such as entertainment, from January 2001 to December 2013, passed the stability test, the Granger causality test, the cointegration test, and the determination of the model order. The VAR model in econometrics is established to study their interrelation. Through the impulse response function and variance analysis in VAR model, we find that the currency overshoot has the greatest influence on food, medical and residential price index, the same food. The rise in medical and housing prices has also affected our currency overshoot to a certain extent. At the end of this paper, some suggestions are put forward. In order to restrain the over-issuance of currency, we must improve the utilization rate of unit currency, and make the unit currency create more GDP than simply controlling the amount of currency circulation. It is much more useful to raise the bank's statutory reserve requirement ratio and statutory benchmark interest rate. In addition, increasing the scope of use of foreign exchange reserves and introducing more real estate regulation policies can also alleviate the pressure of currency overissuance to some extent. Price departments also need to pay close attention to food, medical and residential price fluctuations, strictly control the trend of these three prices, not only to protect the vital interests of the common people, but also to a certain extent to prevent currency overissuance.
【学位授予单位】：上海师范大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F822.2;F726;F224

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