金融形势指数冲击通货膨胀的实证研究

发布时间：2018-05-27 15:15

本文选题：金融形势指数 + 通货膨胀　；参考：《山西大学》2014年硕士论文

【摘要】：从20世纪30年代开始,通货膨胀已成为全世界普遍关注的核心经济问题。改革开放30多年,我国共经历过四次较为严重的通货膨胀,纵观历次通胀产生的原因,发现通胀现象都呈现出典型的时代特征,特别是21世纪,金融体制改革的不断深化,金融市场的不断发展,使得货币金融因素成为影响通胀率高低的主要因素之一。但是在现实生活中不同的金融因素对通货膨胀有着不同程度的影响,影响方向甚至完全相反。因此使用一个包含多个金融变量的综合指标研究其对通货膨胀的影响将显得很有必要。本文以2000年1月至2012年12月为样本区间,基于VAR的广义脉冲响应函数方法测度了包括贷款余额、利率、汇率、房价和股价等多个金融变量的综合指标金融形势指数FCI。在对FCI与通货膨胀进行相关性分析的基础上,将FCI纳入菲利普斯曲线模型,使用广义矩估计方法对模型参数进行估计,并进一步比较FCI与产出缺口等因素同时对通胀的冲击大小。考虑到金融危机的背景环境,分析了金融危机前后不同时期的FCI对通胀的冲击效果的差异性。随后考虑到区域发展的不平衡性,各区域经济开放度、金融发展水平的差异性,我们将全国分为东中西区域、经济开放度高低区域、金融发展水平高低区域,使用省际面板数据对金融形势指数冲击通胀做进一步的稳健性检验。实证结果表明：(1)滞后半年的FCI与通胀相关性最强,对通胀影响最大,FCI能准确反映货币金融形势,包含了未来通胀的有用信息,能有效预测未来通货膨胀。(2)在全国整体的关系分析中,发现FCI对当期通胀有显著影响,与产出缺口相比,其影响较大,但相比通胀惯性,影响较小；在分析FCI的滞后效应时,发现滞后半年的FCI对通胀冲击最明显,滞后一年的FCI对当期通胀具有反转效应。(3)分别检验金融危机前后不同时期的样本,发现金融危机后的产出缺口与滞后半年的FCI对通胀的影响比金融危机前更显著。金融危机后货币金融因素是通胀率变动的主要原因。(4)滞后半年的FCI对通胀的影响具有区域效应。滞后半年的FCI对东部地区的通胀冲击小于中西部地区,对经济开放度高的地区的通胀冲击小于经济开放度低的地区,对金融发展水平高的地区的通胀冲击小于金融发展水平低的地区。所以经济发展水平、经济开放度、金融发展水平也是通货膨胀的影响因素。
[Abstract]:Since the 1930 s, inflation has become the core economic problem that the whole world pays close attention to. After more than 30 years of reform and opening up, China has experienced four times of relatively serious inflation. Looking at the causes of each inflation, it is found that the phenomenon of inflation shows typical characteristics of the times, especially in the 21st century, with the continuous deepening of the reform of the financial system. With the continuous development of financial markets, monetary and financial factors have become one of the main factors affecting the inflation rate. However, in real life, different financial factors have different effects on inflation, even in the opposite direction. Therefore, it is necessary to use a comprehensive index with multiple financial variables to study its impact on inflation. This paper takes January 2000 to December 2012 as the sample interval, and measures the financial situation index based on the generalized impulse response function method of VAR, which includes loan balance, interest rate, exchange rate, house price and stock price. Based on the analysis of the correlation between FCI and inflation, FCI is incorporated into the Phillips curve model, and the parameters of the model are estimated by the generalized moment estimation method. And further compare the impact of FCI and output gap on inflation at the same time. Considering the background environment of the financial crisis, this paper analyzes the difference of the impact effect of FCI on inflation in different periods before and after the financial crisis. Then, considering the imbalance of regional development, the degree of economic openness and the difference of financial development levels in various regions, we divide the whole country into East, West and West regions, high and low regions with economic openness, and regions with high and low levels of financial development. Using interprovincial panel data to test the impact of financial situation index on inflation. The empirical results show that FCI with half a year lag has the strongest correlation with inflation, and it can accurately reflect the monetary and financial situation and contain useful information on future inflation. In the analysis of the relationship between FCI and current inflation, it is found that FCI has a significant effect on the current inflation, compared with the output gap, its influence is greater, but the impact is less than the inflation inertia. In the analysis of the lag effect of FCI, It is found that the FCI with a lag of half a year has the most obvious impact on inflation, and that the FCI with a lag of one year has a reverse effect on inflation in the current period. (3) the samples of different periods before and after the financial crisis are tested respectively. It is found that the impact of the output gap and FCI after the financial crisis on inflation is more significant than that before the financial crisis. After the financial crisis, monetary and financial factors are the main reason for inflation change. (4) the effect of FCI with half a year lag on inflation has a regional effect. The impact of FCI on inflation in the eastern region is smaller than that in the central and western regions, and in the areas with high economic openness is smaller than that in the regions with low economic openness. The impact of inflation on areas with high levels of financial development is smaller than areas with low levels of financial development. Therefore, the level of economic development, economic openness, financial development is also the impact of inflation factors.
【学位授予单位】：山西大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F822.5;F832

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