宏观政策对居民通货膨胀预期的影响探析

发布时间：2018-02-05 00:17

本文关键词： 通货膨胀预期货币政策财政政策 VAR模型预期管理　出处：《南京大学》2014年硕士论文　论文类型：学位论文

【摘要】：未预期到的通货膨胀或通货膨胀预期的不稳定性会加大货币政策的持行成本,造成经济的大幅波动和社会福利的损失。2009年我国首次提出了“要管理好通胀预期”,并将预期管理列为了国务院工作的重点内容。宏观政策在我国经济运行中扮演着重要的角色,研究其对通胀预期的影响对预期管理具有极强的现实意义和参考价值。对此,本文一共研究了三个问题：一是如何准确度量和跟踪公众的通货膨胀预期；二是找出影响通胀预期的关键变量；三是结合影响通胀预期的关键变量分析宏观政策立场对通胀预期的动态影响,并进一步分析宏观政策对通胀预期的影响机制。文章介绍了三类测算通胀预期的方法,对专家和居民的预期模式进行了检验和分析,在居民通胀预期序列的基础上建立OLS模型研究了一系列可能影响通胀预期的因素,并用逐步回归法和GMM估计法对结果进行了稳健性检验。在OLS回归结果的基础上,文章建立了包含货币政策、财政政策、实际通胀、通胀预期4变量的VAR模型,并利用DAG技术和经济学原理对VAR模型的结构矩阵进行了限制,对模型进行了脉冲响应和方差分解,并进一步对宏观政策影响通胀预期的机制进行了探析。研究结果表明专家预期更倾向于理性预期,但并非完全理性预期,居民预期更倾向于适应预期。OLS模型结果显示我国居民通胀预期的主要影响因素为实际通胀、货币政策和财政政策。VAR分析结果表明居民的通胀预期不但具有自我实现的特征还具有较强的惯性,财政政策对通胀预期的短期影响较大、时效性强,货币政策的短期影响较小但长期是不断增强的。研究还发现,我国的货币政策在一定程度上从属于财政政策,相较于货币政策,财政政策对实际通胀波动的影响更大,佐证了财政政策的价格决定现象在我国的存在性。文章进一步对货币政策和财政政策影响居民通胀预期的机制进行讨论,推测出财政赤字是通过财富效应和货币政策两条途径影响居民的通胀预期。最后文章从稳定实际通胀、货币政策与财政政策的搭配以及货币政策的前瞻性方面对预期管理提出了有益的建议。
[Abstract]:Unexpected inflation or the instability of inflation expectations increase the cost of holding monetary policy. In 2009, China put forward for the first time "to manage inflation expectations" for the first time. And the expected management has been listed as the key content of the work of the State Council. Macro policy plays an important role in the economic operation of our country. It is of great practical significance and reference value to study its impact on inflation expectation management. In this paper, three problems are studied: first, how to accurately measure and track the inflation expectations of the public; The second is to find out the key variables that affect inflation expectations; The third is to analyze the dynamic impact of macro-policy position on inflation expectations by combining the key variables that affect inflation expectations. The article introduces three kinds of methods to measure inflation expectation, and tests and analyzes the expectation model of experts and residents. On the basis of inflation expectation sequence, OLS model is established to study a series of factors that may affect inflation expectation. The results are tested by stepwise regression method and GMM estimation method. Based on the results of OLS regression, this paper establishes a method that includes monetary policy, fiscal policy and actual inflation. The VAR model with four variables of inflation expectation is used to limit the structure matrix of VAR model by using DAG technique and economic principle. The impulse response and variance decomposition of the model are carried out. The results show that the expert expectations tend to be more rational expectations, but not completely rational expectations. The result of OLS model shows that the main influencing factor of inflation expectation is real inflation. The result of monetary policy and fiscal policy. VAR analysis shows that the inflation expectation of residents not only has the characteristics of self-realization, but also has strong inertia. The short-term impact of fiscal policy on inflation expectations is greater, and the timeliness is strong. The short-term impact of monetary policy is small but the long-term is increasing. The study also found that China's monetary policy is subordinate to fiscal policy to a certain extent, compared with monetary policy. Fiscal policy has more influence on real inflation fluctuation, which proves the existence of price-determining phenomenon of fiscal policy in China. This paper further discusses the mechanism of monetary policy and fiscal policy affecting residents' inflation expectations. It is inferred that the fiscal deficit affects residents' inflation expectations through both the wealth effect and monetary policy. Finally, the article starts with the stabilization of real inflation. The combination of monetary policy and fiscal policy, as well as the forward-looking aspects of monetary policy, provide useful suggestions for prospective management.
【学位授予单位】：南京大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F123.16;F822.5

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