中国的通货膨胀：外部冲击抑或货币超发--基于贝叶斯向量自回归样本外预测模型的实证

Which Cause Inflation in China: External Shocks or Money Super-growth

本文运用贝叶斯向量自回归样本外预测模型分析了中国通货膨胀的诱发因素,发现本轮通货膨胀的最主要原因是近年来中国货币过度发行,而外部冲击则是次要原因。在外部冲击中,国际食品价格变化对中国通货膨胀的影响较大,国际石油价格变化影响较弱。Diebold-Mariano(D-M)检验也表明包含货币供应量的贝叶斯向量自回归样本外预测模型对通货膨胀的预测能力要高于其他模型,开放经济模型对中国通货膨胀分析有较好的适用性。

In this paper, the author used Bayesian VAR model as an out-of-sample forecasting tool to test the factors that caused inflation in China. It is found that money growth is the primary reason causing inflation in China, and external shocks was the secondary. In external shocks, international food price had greater impact on inflation in China than international oil price. Diebold-Mariano tests showed that models containing money supply had better forecast ability than other models. Open economic model also had good forecast ability in Chinese inflation forecasting.