中国通货紧缩成因的实证研究——VAR方法

Empirical research on the causes of the deflation in China ——A VAR approach

运用向量自回归 ( vector auto- regression,VAR)方法研究了我国通货紧缩的成因 .实证结果表明 ,民间投资不足是引发我国通货紧缩的初始冲击力量 ,而使通货紧缩深化的主要因素在于居民消费需求的下降 ;偏紧的货币政策是导致民间投资出现最初负面冲击的主要原因 ,而居民消费需求急剧下降则主要是由预期因素造成的 ;民间投资的冲击对经济的影响程度较为剧烈 ,但影响周期较短 ,居民消费对经济的冲击影响较为缓和 ,但持续时间较长 .

This paper uses a vector autoregression (VAR) approach to identify the causes of the recent deflation in China. The main finding is that the recent deflation was precipitated primarily by shocks to private investment and deepened mainly by the sharp decline of consumption. Monetary factors can explain the most part of the initial shock to private investment, while the decline of consumption was mainly caused by expectational factors. The results of impulse response analysis show that the consumption shocks have a long lasting impact on GDP and this can explain the relatively long duration of the recovery.