非均衡条件下价格体系的动态分析

Dynamic Analysis of Price System under the Condition of Non-equilibrium

利用结构向量自回归模型(SVAR)研究中国资产价格、汇率、利率和通货膨胀率之间的关系,作为经济中最重要的价格体系,有必要研究清楚它们之间的相互作用及影响机制,尤其是现阶段中国存在外部的升值预期、内部的通货膨胀、资产价格不断上涨以及利率的长期低位运行,价格体系的长期非均衡影响着资源配置和中国经济的健康稳定发展,但国内外学者对这方面系统性的研究却并不多。计量结果表明:汇率升值预期、低利率和过高的通货膨胀都会促进资产价格上涨,可能产生资产泡沫,为适应升值预期而采取过度宽松的货币政策会使国内通货膨胀压力加大,资产价格上升,试图通过国内通货膨胀来调节实际汇率进而减轻升值压力的政策可能会适得其反。

The paper studies the relationships among asset price, exchange rate, interest rate and inflation rate in China by using SVAR model. As the most important price system of economy, it is necessary to study the interaction and influence mechanism among the variables, especially in such a period that RMB is expected to be appreciated internationally, inflation exists domestically, asset price continues to increase, and the interest rate remains at a low level. The long term non - equilibrium of the price system influences resource allocation and the healthy economic develop- ment of China. However, foreign scholars have little researches on the aspect. Quantitative re- search shows that exchange rate appreciation expectation, low interest rate and exorbitant inflation rate all promote the increase of asset price, which may lead to asset bubble. Ultra - loose monetar-y policy, which is used to accommodate appreciation expectation, will increase the inflation pres-sure of China. This will further lead to asset price increase. Therefore, the policy to adjust practi-cal exchange rate through domestic inflation and further decrease appreciation pressure may go into the reverse.