当前金融因素对我国通货膨胀风险影响的实证研究

Empirical Study on Financial Factors on Risk of Chinas Inflation

运用状态空间模型和VEC模型,本文就利率、货币供应量、人民币汇率和股票交易额对我国通货膨胀风险的影响进行了实证研究。结论表明:人民币汇率变化对通货膨胀风险的影响最为显著,其次是货币供应量的影响,股票交易额和利率的影响相对较小。通过实证研究我们也发现,2007年人民币汇率升值对通货膨胀风险的影响完全被货币供给量的增加所抵消。

Using state space form model and vector error correction model,this paper makes a quantitative analysis of the effects of financial factors on risk of inflation.The conclusion is as follows:the most significant element is exchange rate,M_2 plays a secondary role in inflation,the effects of stock turnover and interest rate are relatively weak.Through empirical study,the paper also finds out that the impact of exchange appreciation to inflation has been totally offset by augment of money supply.