基于VAR模型通货膨胀影响因素的实证分析

Factors that Impact Inflation:An Empirical Analysis Based on VAR Model

分析了十年我国两次比较严重的通货膨胀的成因,使用2001年1月—2010年9月的季度数据,在构建稳定的VAR模型基础上,通过建立协整方程,运用格兰杰因果检验以及脉冲响应函数的方法,对其进行分析。结果表明:经济增长、广义货币供给量、房地产销售价格指数、外汇储备与CPI之间存在长期的协整关系;长期内以房地产为代表的资产价格对CPI的冲击较大,短期内外汇储备推高CPI的效果最为显著。

With the quarterly data from 2001 to September 2010,the authors analyze the causes of the two relatively serious inflations in China in the last decade.On the basis of constructing stable vector autoregressive（VAR） model,through establishing co-integration equation,Granger causality tests,the impulse response function were applied.The research findings show that economic growth,broad money supply,real estate sales price index,foreign reserve and CPI have long-term equilibrium relationship.In the long-term,real estate sales price has the most obvious pull effect on CPI and in the short-term,foreign reserve has strong promoting action to CPI.