我国货币流动性与通货膨胀的定量研究--基于时变参数模型的实证

The Research on Monetary Liquidity and Inflation in China

货币流动性是影响通货膨胀的重要因素。本文从货币的变现能力和经济货币化程度两个方面衡量货币流动性,利用状态空间模型方法建立时变参数模型,研究货币流动性变化对物价的影响,并用状态变量衡量流动性以外的因素对物价的综合影响。结果显示,货币流动性越大,消费价格指数越高;货币的变现能力对消费价格指数的影响在紧缩性货币政策时期强于扩张性货币政策时期;影响消费价格指数的综合变量与预期变量的调查数据相关性较强。

Monetary liquidity is an important influencing factor of inflation. In order to study how the changes in monetary liquidity impact on prices, and meas- ure the combined effects on prices except monetary liquidity, this paper measures the monetary liquidity with the cashability of money and capitalization process of the economy, and uses state- space model approach to establish time - varying pa- rameter model. The result shows that the higher the monetary liquidity, the higher the Consumer Price Index （CPI）~ during the period of restrictive monetary policy, the impacts of cashability of money on the CPI are stronger than the impacts during the period of expansionary monetary policy~ the aggregate variable affected the CPI has a strong correlation with the survey data of the expectation.