利率冲击、通货膨胀和经济产出的动态效应研究

发布时间：2018-03-23 12:46

本文选题：利率冲击　切入点：通货膨胀　出处：《西北大学》2017年硕士论文

【摘要】：我国经济发展正经历着经济增长速度换挡期、结构调整阵痛期、前期刺激政策消化期的“三期叠加阶段”,需要关注各种因素的波动对产出所带来的影响。伴随着利率市场化的进程,利率对经济产出的影响,值得我们重点关注。除此之外,同时也需要关注影响人民生活质量的通货膨胀是如何变动的。本文首先介绍研究背景、研究意义、研究内容,进而总结归纳利率冲击、通货膨胀以及经济产出的国内外相关文献。在此基础上,对我国经济产出、通货膨胀和利率变动进行简要的回顾,并运用相关理论分析利率冲击、通货膨胀和经济产出三者的内在逻辑关系,得出相应假设。为此,本文尝试将陕西省2006年到2015年的季度数据,运用包含随机波动率的时变参数向量自回归(SV-TVP-VAR)模型,对利率冲击和通货膨胀影响经济产出的机制进行计量分析。最后得出结论并提出相应的政策建议。结果显示:经济产出对于利率冲击的响应在长期和短期波动趋势一致,存在实际利率下降将增加经济产出,实际利率上升将使经济产出减少;通货膨胀对经济产出的影响,在短期变化幅度较小,长期变化幅度较大,即对于陕西省来说,存在托宾效应。
[Abstract]:China's economic development is going through a period of shift of economic growth rate and painful period of structural adjustment. The "three superposition stages" of the previous stimulus policy digestion period need to pay attention to the impact of fluctuation of various factors on output. With the process of interest rate liberalization, the impact of interest rate on economic output deserves our attention. At the same time, we also need to pay attention to how the inflation that affects people's quality of life changes. This paper first introduces the research background, research significance, research content, and then summarizes the impact of interest rate. On the basis of this, this paper briefly reviews the changes of economic output, inflation and interest rate in China, and analyzes the impact of interest rate on the basis of relevant theories. This paper tries to use the quarterly data of Shaanxi Province from 2006 to 2015 to use the time-varying parameter vector autoregressive SV-TVP-VARmodel, which includes random volatility. This paper makes an econometric analysis on the mechanism of interest rate shock and inflation affecting economic output. Finally, it draws a conclusion and puts forward corresponding policy recommendations. The results show that the response of economic output to interest rate shock is consistent in the long and short term. If there is a decline in real interest rates, economic output will increase, and the real interest rate will increase and economic output will decrease. The impact of inflation on economic output will change slightly in the short term and in the long run, that is, for Shaanxi Province, There is a Tobin effect.
【学位授予单位】：西北大学
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：F822.5;F832.5;F124

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