我国外汇储备与通货膨胀关系的协整分析

Cointegration Analysis on Foreign Exchange Reserves and Inflation of China

本文利用2003-2007年CPI和外汇储备的月度数据进行协整分析,通过构建误差修正模型对二者的关系进行了实证检验。实证结果说明:无论长短期通货膨胀对外汇储备都具有GRANGER因果关系;在短期外汇储备对通货膨胀具有GRANGER因果关系。

This paper used the data of CPI and foreign exchange reserves from 2003 to 2007 to make cointegration analysis and built Error Correction Model to empirically verify their relationships. The empirical results showed that no matter in the long run or in the short run,inflation is the Granger cause of foreign exchange reserves,which proves the hypothesis that inflation impacts foreign exchange reserves through altering the expectation of the participants of foreign exchange market. The results also showed that foreign exchange reserves are the Granger causes of inflation in the short run but not in the long run.