中国资产价格对通货膨胀的影响：理论与实证研究

发布时间：2018-05-15 09:44

本文选题：资产价格波动 + 通货膨胀　；参考：《首都经济贸易大学》2014年硕士论文

【摘要】：资产价格波动对宏观经济影响的程度日益增加，同时，资产价格的过度波动对以实物价格稳定为目标的货币政策提出了挑战。因此，分析资产价格波动对通货膨胀的影响，，可以为制定有效的货币政策提供依据。基于此本文对资产价格影响通货膨胀的传导机制进行研究，通过对国内外研究成果的整理发现，目前普遍认为资产价格波动主要是通过需求渠道对通货膨胀产生影响，即资产价格波动对消费和投资产生影响，进而影响总需求，通过需求拉动引发通货膨胀。这一影响的主要传导渠道是财富效应，托宾Q效应，预期效应和信贷渠道等。对于上述渠道在中国是否能够实现存在一定的争论，而且鲜有学者从通货膨胀成因入手进行分析。因此，本文首先分析了通货膨胀形成的根本原因，认为需求拉动是影响通货膨胀的根本原因，资产价格主要是通过各种渠道影响总需求，进而对通货膨胀产生影响，基于此本文建立资产价格影响通货膨胀的理论分析框架。之后根据这一理论分析框架，采取协整关系分析，格兰杰因果分析，VAR模型等方法进行实证分析，发现从长期看，房地产价格和股票价格与消费和投资存在协整关系，并且资产价格对通货膨胀具有一定的指示作用，这说明资产价格波动可以引起总需求的变化，进而对通货膨胀产生影响。最后根据中国的具体情况提出相应的政策建议。
[Abstract]:The impact of asset price fluctuation on macroeconomic is increasing day by day. At the same time, the excessive volatility of asset price challenges the monetary policy aiming at the stability of real price. Therefore, analyzing the effect of asset price fluctuation on inflation can provide basis for effective monetary policy. Based on this, this paper studies the transmission mechanism of asset price influencing inflation, and finds out through the collation of domestic and foreign research results, it is generally believed that asset price fluctuations mainly affect inflation through demand channels. That is, the fluctuation of asset price affects consumption and investment, and then affects aggregate demand, which leads to inflation through demand. The main transmission channels of this influence are wealth effect, Tobin Q effect, expectation effect and credit channel. There is some debate about whether these channels can be realized in China, and few scholars analyze the causes of inflation. Therefore, this paper first analyzes the root cause of the formation of inflation, thinks that demand-pull is the fundamental reason that affects inflation, asset prices mainly influence aggregate demand through various channels, and then influence inflation. Based on this, a theoretical analysis framework of asset price influencing inflation is established. Then according to this theoretical analysis framework, using cointegration analysis, Granger causality analysis and VAR model, it is found that real estate price and stock price have cointegration relationship with consumption and investment in the long run. And the asset price has a certain indicative effect on inflation, which shows that the fluctuation of asset price can cause the change of aggregate demand, and then affect the inflation. Finally, according to the specific situation of China put forward the corresponding policy recommendations.
【学位授予单位】：首都经济贸易大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F832.51;F822.5

【引证文献】