我国资产价格波动与通货膨胀关系的理论研究与实证分析

The Dynamic Analysis of Assets Price Fluctuation Affecting Inflation Against the Backdrop of Financial Crisis

随着次贷危机引发全球性金融危机,学术界对于货币政策是否以及如何对资产价格做出反应的争议再起。本文根据协整分析技术、Granger因果检验方法和误差修正模型,利用1998-2008年中国的季度数据,对资产价格与通货膨胀之间的关系进行了实证研究。实证研究表明:第一,我国资产价格与通货膨胀之间确实存在长期的均衡关系,其中房价变动对通货膨胀的影响大于股价变动对通货膨胀的影响;第二,我国资产价格与通货膨胀之间存在着单向的因果关系,即股票价格与房价上涨是通货膨胀的原因。

With the second loan crisis sparked a global financial crisis, the academic community on whether and how monetary policy on asset prices respond to the resurgence of the controversy. Use quarterly data from 1998 to 2008 and analyze the relationship between China＇s assets price and inflation by Co-integration ＆ error correction model and Granger causal- ity test. The empirical results show that there does exist long-term equilibrium relationship between assets price and inflation and the influence of real estate price fluctuation is more than that of stock price fluctuation. Granger causality test shows that assets prices and inflation in our country exit unidirectional causality relationship： the real estate price and stock price ascension is the causality of inflation.