金融状况指数与CPI、经济增长间关系的实证研究

发布时间：2018-02-27 15:15

本文关键词： 金融状况指数货币因素 CPI 经济增长　出处：《重庆师范大学》2014年硕士论文　论文类型：学位论文

【摘要】：传统的货币数量论认为：在既定的产出水平和货币流通速度下,货币供应量是物价水平的唯一决定因素。但是随着资本市场的不断发展,这个结论不再准确。当增发的货币较多地流入虚拟经济而较少的流入实体经济时,在短期内可能会出现通货膨胀率较低但货币增长率较高的情况,而且与此同时资产价格将停留在较高的水平并有继续上涨的可能。2005年到2007年期间,中国的外汇储备不断高速积累,中央银行因此释放出大量的外汇占款,但这些外汇占款并没有立即进入实体经济,造成物价水平的上升,而是进入了楼市和股市,使得以房价和股价为代表的资产价格快速上涨。而2007年到2008年间,资金开始向实体经济转移,结果造成物价水平的快速上升,CPI同比一度达到了超过8%的水平。由此可见中央银行在实施货币政策的时候,货币政策传导途径中的各种因素会对货币政策的效果施加影响。因此构建金融状况指数对我国货币政策的制定有十分重要的意义。本文选取了实际有效利率、实际有效汇率、房地产价格指数,股权价格指数,以及两种不同的货币因素货币供应量和实际信贷余额作为变量,通过SVAR脉冲响应方法估计出每个变量对CPI的影响,进而测算出每个变量的权重,并以此构建出我国的金融状况指数FCI1和FCI2。然后,对比分析所得的两种金融状况指数与CPI和经济增长之间的关系。为了分析的需要,本文采用了线性图形分析、格兰杰因果检验分析、脉冲响应分析、预测分析四种分析方法。通过实证分析发现：第一,实际有效利率,股权价格指数,货币因素对CPI的影响比较显著,在金融状况指数FCI中所占的权重较高。这说明货币政策传导渠道中利率、货币供应量和实际信贷余额发挥着较大的作用,而股市作为投融资渠道在货币政策的传导过程正发挥着越来越重要的作用；第二,我国的金融状况指数可以提前5期预测CPI的变化,能够解释40%以上的CPI的变化。而且相比较而言以实际信贷余额作为货币因素构建的FCI2有更好的预测效果,这说明金融状况指数具有货币政策指示器的作用,能够成为央行制定货币政策的参考量；第三,我国的金融状况指数可以提前1期预测经济增长率的变化,只能够解释15%左右的经济增长率的变化,而且以实际信贷余额作为货币因素构建的FCI2预测效果较好。这说明GDP统计涵盖的因素更加丰富,因而金融状况指数不能有较好的预测效果。
[Abstract]:The traditional theory of monetary quantity holds that money supply is the only determinant of price level under the fixed output level and the velocity of money circulation. However, with the development of the capital market, This conclusion is no longer accurate. When additional money flows more into the virtual economy and less into the real economy, there may be lower inflation but higher monetary growth rates in the short term. At the same time, asset prices will remain at a relatively high level and there is a possibility that they will continue to rise. Between 2005 and 2007, China's foreign exchange reserves continued to accumulate at a high speed, resulting in the Central Bank releasing a large amount of foreign exchange holdings. But instead of immediately entering the real economy, these foreign exchange hikes have led to rising prices in the housing and stock markets, which have led to a rapid rise in asset prices, as represented by house prices and stock prices. And between 2007 and 2008, The capital began to move to the real economy, resulting in a rapid rise in the price level, which reached a level of more than 8% year-on-year. Thus, it can be seen that when the Central Bank implemented monetary policy, All kinds of factors in the transmission of monetary policy will influence the effect of monetary policy, so it is very important to construct the index of financial condition for the formulation of monetary policy in China. This paper selects real effective interest rate, real effective exchange rate, real estate price index, equity price index, and two different monetary factors money supply and actual credit balance as variables. The influence of each variable on CPI is estimated by SVAR impulse response method, and then the weight of each variable is calculated, and the index of financial condition FCI1 and FCI 2 are constructed. Then, In order to analyze the relationship between the two kinds of financial condition index and CPI and economic growth, this paper adopts four analysis methods: linear graphic analysis, Granger causality test, impulse response analysis and prediction analysis. The empirical analysis shows that: first, the real effective interest rate, equity price index and monetary factors have a significant impact on CPI, and account for a high weight in the financial condition index FCI, which indicates that the interest rate in the transmission channel of monetary policy is higher than that in the monetary policy transmission channel. Money supply and actual credit balance play a greater role, and the stock market as a channel of investment and financing is playing a more and more important role in the transmission process of monetary policy. The financial condition index of our country can predict the change of CPI in five periods ahead of time, and can explain the change of CPI over 40%. Moreover, compared with the FCI2 constructed with the actual credit balance as the monetary factor, it has better forecasting effect. This shows that the financial condition index has the function of a monetary policy indicator and can be used as a reference for the central bank to formulate monetary policy. Thirdly, the financial condition index of our country can predict the change of economic growth rate in one period in advance. It can only explain the change of the economic growth rate of about 15%, and the FCI2 forecast based on the real credit balance as monetary factor is more effective. This shows that the GDP statistics cover more factors. Therefore the financial condition index cannot have the good forecast effect.
【学位授予单位】：重庆师范大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F832;F726;F124

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