我国通货膨胀的惯性特征与货币政策调整

发布时间：2018-05-24 23:25

本文选题：通货膨胀 + 惯性系数　；参考：《南京财经大学》2014年硕士论文

【摘要】：通货膨胀是反映宏观经济运行状况的重要指标,关乎整个国民经济的稳定和国民生活水平的状况,如何管理和治理好通货膨胀,引导物价合理波动,一直以来都是货币当局的一大难题。对通货膨胀动态特性及货币政策效果的研究也一直是学术界关注的焦点,其中不可或缺的一方面就是对通货膨胀惯性的研究。通货膨胀惯性会对货币政策的调控效果产生重要影响,直接关系到中央银行反通货膨胀政策社会成本的大小。本文从通货膨胀惯性的来源角度创新性的将通货膨胀惯性的形成机制划分为：基于工资和价格决定机制的内在通货膨胀惯性、基于通货膨胀预期的预期通货膨胀惯性、基于宏观经济环境影响的外在通货膨胀惯性；通过回顾通货膨胀的核心理论——菲利普斯曲线的发展历程,确定将混合新凯恩斯菲利普斯曲线作为通货膨胀惯性分析的理论基础；介绍通胀惯性的各种度量方法及各自的优缺点；从货币数量论的发展、货币政策的传导机制等方面分析通货膨胀惯性与货币政策的关系,并确定将产出水平和货币供给作为影响通货膨胀惯性与货币政策调整的重要中间变量,也是实证部分分析产出和货币供给对通货膨胀影响的理论基础。利用动态自回归模型(AR)对样本区间内(1996年——2013年)我国通货膨胀惯性进行估计,利用滚动区间的样本估计法分析了整个样本区间内通货膨胀惯性的动态变化,并结合Quandt-Andrews未知断点检验和邹检验的方法分析模型的结构变化,进一步研究通货膨胀惯性在断点前后的变化特点；利用VAR模型分析产出、货币供给对通货膨胀的冲击,从脉冲响应的强度和时间方面分析经济增长与货币供给增长对通货膨胀惯性的影响,并将实际产出缺口与通货膨胀历史数据对比分析,给出货币政策调整时机的参考。通过实证分析得出：我国通货膨胀惯性一直以来处于高水平；通货膨胀惯性在2003年末发生结构变化,近年来通胀惯性明显下降,得益于我国价格机制的市场化和货币政策透明度的提高；货币供给对通货膨胀较为的冲击较为明显,且会产生持续两年以上的滞后效应,冲击的最大效应出现在滞后一年时,说明通过改变货币供给的货币政策能有效控制通胀,但货币政策应该提前一年以上时间实施,才能起到理想的抑制通货膨胀的效果；经济增长对通货膨胀的冲击产生的效应相对较弱,影响可持续一年以上经济增长速度加快会对物价产生一定程度的影响,但不一定会带来严重的通货膨胀；在确定调整货币政策时,应当综合考虑产出缺口与通货膨胀的历史数据,以确保经济增长与物价稳定双重目标的实现。
[Abstract]:Inflation is an important indicator to reflect the state of macroeconomic operation and relates to the stability of the whole national economy and the condition of the national standard of living. How to manage and manage inflation well and guide the reasonable fluctuation of prices, It has always been a big problem for the monetary authorities. The research on the dynamic characteristics of inflation and the effect of monetary policy has also been the focus of academic attention, one of which is the study of inflation inertia. Inflation inertia has an important influence on the effect of monetary policy regulation and control, which is directly related to the social cost of the central bank's anti-inflation policy. This paper innovatively divides the formation mechanism of inflation inertia from the angle of the origin of inflation inertia: the intrinsic inflation inertia based on the mechanism of wage and price determination, and the expected inflation inertia based on inflation expectation. Based on the external inflation inertia influenced by the macroeconomic environment, by reviewing the development course of the Phillips curve, the core theory of inflation, Taking the mixed new Keynesian Phillips curve as the theoretical basis of inflation inertia analysis; introducing the various measures of inflation inertia and their advantages and disadvantages; from the development of monetary quantity theory, This paper analyzes the relationship between inflation inertia and monetary policy from the transmission mechanism of monetary policy, and determines that the output level and money supply are the important intermediate variables influencing inflation inertia and monetary policy adjustment. It is also the theoretical basis of the empirical analysis of the impact of output and money supply on inflation. The dynamic autoregressive model (ARM) is used to estimate the inflation inertia in the sample interval (1996-2013), and the dynamic variation of the inflation inertia in the whole sample interval is analyzed by using the sample estimation method of the rolling interval. Combining the methods of Quandt-Andrews unknown breakpoint test and Zou test to analyze the structural changes of the model, to further study the change characteristics of inflation inertia before and after breakpoint, to use VAR model to analyze the impact of output and money supply on inflation. This paper analyzes the influence of economic growth and money supply growth on inflation inertia from the aspect of intensity and time of impulse response, and compares the actual output gap with inflation historical data, and gives the reference of the timing of monetary policy adjustment. Through empirical analysis, it is concluded that inflation inertia has always been at a high level in China, and inflation inertia has changed in structure at the end of 2003, and has decreased obviously in recent years. Thanks to the marketization of China's price mechanism and the improvement of the transparency of monetary policy, the impact of money supply on inflation is relatively obvious, and it will produce a lag effect lasting for more than two years. It shows that the monetary policy can effectively control inflation by changing the money supply, but the monetary policy should be implemented more than one year ahead of schedule, in order to achieve an ideal effect of restraining inflation; The impact of economic growth on inflation is relatively weak, the impact of economic growth rate can last more than one year will have a certain degree of impact on prices, but not necessarily bring serious inflation; The historical data of output gap and inflation should be taken into account in determining the adjustment of monetary policy in order to ensure the realization of the double goals of economic growth and price stability.
【学位授予单位】：南京财经大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F822.5

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