通胀预期形成机理研究——基于SVAR模型的实证分析

A Study on the Determinants of Inflation Expectation——Based on a SVAR model

本文利用中国人民银行调查的1999年四季度以来的居民通胀预期季度数据,通过建立SVAR模型,对居民通胀预期的影响因素进行动态考察。研究表明,居民通胀预期具有自我实现的性质;以往的通胀经历、汇率波动、资产价格、国际油价对居民通胀预期的形成均有明显影响;货币供给对居民通胀预期的影响幅度不大但较为持久,产出缺口、工资水平、粮价对居民通胀预期的影响并不显著。

In this paper,we investigate the determinants of households＇ inflation expectation in China based on the data surveyed by PBOC.We estimate a SVAR model in which the seven endogenous variables are inflation expectation,CPI inflation,the monetary supply,the asset price,the output gap,the wage gap and the exchange rate,with energy price and food price being exogenous.Short-term restrictions are imposed taking account of simultaneous codependence between and among variables.We find that,first,inflation expectation may lead to real inflation and the self-fulfilling property is apparent.Second,the effects of changes in real CPI inflation,exchange rate,asset price and energy price on inflation expectation are relatively large.Third,the effect of changes in monetary supply on inflation expectation is relatively small but persistent,while the effect of changes in output gap and food price is not significant.