通货膨胀的宏观经济影响因素分析

Analysis of Macroeconomic Influencing Factors to Inflation

本文首先利用贝叶斯向量自回归(BVAR)模型,分析了通货膨胀对宏观经济的冲击响应及其程度。然后,利用门限模型验证了通货膨胀在不同变量作为门限变量情况下的门限效应。结果表明:通货膨胀对六个因素冲击的反应程度各异,其中,对流动性过剩的反应程度最强,对股票价格、产出缺口和国际油价的反应适度,对实际有效汇率和房价的反应较弱;股票价格、汇率和国际油价具有明显的门限特征,它们分别将通货膨胀分为高低两种区制状态。以上结果有利于我们更好地认识通货膨胀的反应机制,采用合理的经济政策应对通货膨胀。

Firstly, we establish a Bayesian Vector Auto-regression （BVAR） model and analyze the impulse responses of inflation to macroeconomic factors and its intensity. In addition, we establish a Threshold model and analyze the threshold effects of inflation when different variables are used as threshold variables. Through the empirical researches, we find that the impulse responses of inflation to shocks from six factors are different. The temporary response to excess liquidity is the most strongest and those to stock price, output gap and oil price are moderate. Then the intensity responding to real exchange rate and house price are the weakest. The stock price, real exchange rate and oil price have obvious threshold characteristics, which can separately divide the inflation into high and low status. These findings help us understand and recognize the responding mechanism of inflation better. Thus we can take sound economic policies to deal with inflation.