我国资产价格与通货膨胀的关系研究——基于ARDL的技术分析

Research on the Dynamic Relationship between Asset Price and Inflation——An ARDL-based Empirical Analysis

随着资产市场投资品种日益丰富,居民参与资产投资的程度不断深入,资产通过财富效应和投资效应对经济的影响越来越大,资产价格对一般物价水平的影响不断增强,因此资产价格波动是否会影响通货膨胀率就成为当前理论和实务界关注的焦点。为了检验我国资产价格与通货膨胀的关系,本文选择股票、汇率、房地产价格以及其他影响通货膨胀的因素,运用ARDL模型对我国资产价格和通货膨胀的关系进行经验分析。经验分析结果表明:资产价格波动影响通货膨胀,但各因素对通货膨胀的影响差异较大,即房地产价格和汇率两个指标作用显著,股票作用较弱。

With the increasingly rich variety of asset markets, the extent of participation of residents in asset investment continues to deepen, and asset prices have become the focus for the community of both theory and practice. In order to test the relationship between asset prices and inflation, this paper selects stocks, exchange rates, real estate prices and other fac- tors that affect inflation and uses ARDL model to empirically explore the relationship. The empirical results show that asset price volatility will affect inflation, though the extents differ greatly, and factors such as real estate and exchange rates exert much more influence on inflation than stocks.