资产价格影响中国通货膨胀的实证分析——兼论当前高物价的根源

Empirical Research on the Impacts of Asset Prices on China's Inflation

文章建立了一个包括通货膨胀率、货币供应量、产出缺口、利率、汇率、房产价格和股票价格在内的7变量VAR模型,通过脉冲反应函数和方差分解发现:通货膨胀率对自身以外的其余变量的冲击均存在一定时滞,中国通货膨胀率受M2的累计影响较大,但滞后期较长;房价对通货膨胀的影响效应明显大于股价对通货膨胀的影响,最后得出本轮通货膨胀的根源可能在于近年流动性过剩导致的过多货币供应量冲击带来的滞后效应。

The paper establishes a VAR model which comprises seven variables, such as inflation,monetary supply, output gap, interest rate, stock price and housing price. Through impulse response function and variance decomposition, it finds that the inflation rate has no rapid responses to these variables other than itself, and house price has more important impact on inflation than equity price, and then it puts forward corresponding policy implications.