基于STR模型的CPI波动与货币供应量关系的实证分析

The Empirical Study of the Relationship between the Fluctuation of CPI and the Monetary Supply Based on STR Model

针对居民消费价格指数(CPI)的波动与货币供应量之间的关系,若用线性回归来研究,将会忽略这样两个问题:1)此函数关系是否一成不变;2)它们之间的影响是否存在对称性。本文以非线性STR模型技术来分析两者之间的非线性、非对称关系。研究发现,以logistic函数作为过渡函数的STR模型能很好地描述CPI波动与货币供应量的非线性动态关系。模型表明,在1993年1月到2010年12月期间,中国CPI波动与货币供应之间存在明显的非对称性,具有很强的非线性特征,两者之间存在机制转换动态特征。紧缩的货币政策机制下,CPI波动加剧;从宽的货币政策机制下,CPI波动主要由市场经济自我调控。

If the relationship between fluctuation of CPI and monetary supply is based on the linear regression to study, and it will ignore two questions： 1） the functional relationship is immutable; 2） the effects are symmetry or not. In this paper, we used the non--linear STR model to analyze the nonlinear and asymmetric relationship. This study found that, using logistic function as excessive function of the STR model could well describe the nonlinear and dynamic relationship between CPI fluctu- ations and the monetary supply. The STR model shows that, during the period from January 1993 to December 2010, between CPI and the monetary supply in China there is a significant asymmetry, with highly non--linear characteristics. Between them lies the dynamics of regime switching. In the regime of tight monetary policy, the fluctuation of CPI is intensified in the re- gime of loose monetary policy, the fluctuation of CPI is dominated by market economy.