中国通货膨胀成因分解研究

Causes Decomposition of China's Infalation Based on SVAR Model

现实中观测到的价格变动往往是技术进步、货币供给、需求变动与成本变动等多种因素的共同作用的结果。为了准确把握我国价格波动的规律,本文使用1996年1季度至2010年1季度的国内生产总值(GDP)、货币供给M2、居民消费价格指数(CPI)与食品价格指数四个变量,建立结构向量自回归(SVAR)模型对影响中国价格变化的各种因素进行结构分解,分解出技术冲击、货币冲击、需求冲击与食品价格冲击并分析这四种冲击对价格变动的影响效果。结果表明,需求冲击导致的价格变动的滞后期明显小于货币冲击,预测两个季度后价格变动只需考虑需求冲击,而预测六个季度后价格变动需同时考虑货币冲击与需求冲击。

The observed price volatility is normally caused by several different factors, such as technology, monetary supply, demand and cost. In order to master the character of price volatility, this paper establishes a Structural Vector Autoregressive （SVAR） model consisting of the four variables of output, money supply, Consumer Price Index （CPI） and food price index using the data from 1996Q1 to 2010Q1. Based on the structural decomposition, the paper obtains the technology shock, monetary shock, demand shock and food price shock, and analyzes the effects of the four shocks to price volatility. The results show that the lag of response of price volatility to the demand shock is obviously shorter than that of monestary shock, and when forecasting the price volatility in two quarters the main reason considered is demand shock, however in six quarters both the monetary shock and the demand shock need to be considered.