基于VAR模型的中国物价波动与货币供应量关系的实证研究

An Empirical Study on the Relationship between Current Price Fluctuations and Money Supply Based on VAR Model

通过对比狭义货币供应量、广义货币供应量与国内生产总值的增长,可以发现中国广义货币供应量的增长快于国内生产总值的增长,过多的流动性带来通胀的预期。随后通过运用格兰杰因果检验得出了在18个月内,广义货币供应量对消费者价格指数有较大程度的正的影响。之后建立的VAR模型和脉冲响应函数,也得出了中国的物价波动较大程度上受到货币政策影响的结论。

The author firstly finds that M2 grows faster than GDP, and excess liquidity will bring about inflation expectations. Using Granger causality test, it＇s found that M2 has a positive effect on CPI in eighteen months. The analysis of VAR model and impulse response function also supports the positive effect of M2 on CPI.