流动性过剩与中国通货膨胀关系的实证分析

Empirical Research on the Cointegration between Excess Liquidity and Inflation in China

本文首先从理论上分析了流动性过剩的各种度量方法和影响通货膨胀的重要变量,然后采用中国季度数据,在多变量VAR模型的基础上,运用协整分析和ECM等方法发现,在长期内流动性每提高1%,会带来通货膨胀上涨0.79%。脉冲响应函数和方差分解表明流动性过剩和经济过热冲击对我国通胀有持久的正向影响,而国外通胀冲击对我国外溢效应甚微。

We analyze systematically the various measurements of excess liquidity and the factors influen- cing inflation.We try to test the positive relationship between liquidity and inflation,using VAR model,based on Chinese quarterly data.We find that 1% increase in liquidity can result in 0.79% increase in CPI in the long run.Impulse response function and variance decomposition show that the impact of excess liquidity and o- verheated economy on inflation is persistent,while foreign inflation spillover effect is insignificant.