货币超发还是输入通胀?——基于MS-VAR模型的视角

Super Currency Issue or Imported Inflation?——Analysis Based on the Perspective of MS-VAR Model

通货膨胀及其影响因素之间固有的内生性使得采用单方程分析不可避免会产生偏差。本文运用MS—VAR模型并利用2001年1月～2011年12月月度数据对我国通胀及其影响因素进行了实证分析。结果表明：（1）高通胀水平下货币供应量、石油价格波动以及国内需求和通胀预期对价格水平均会产生正向冲击，而人民币汇率波动对于价格水平的累计冲击响应效应为负；（2）相对而言，货币供应量变动对于通胀水平影响最大。（3）货币供应量上升太快是我国2007年下半年来物价居高不下的主要原因，与汇率变动以及国际石油价格波动等外部冲击因素关系不大。

Endogenous problem between inflation and its influence factors will result in deviations by using single equation in analyzing the derivation rules of inflation. The paper takes the method of Markov-Switching Vector Auto Regression to exam- ine China＇s inflation and its influence factors by taking the data from 1 st month ＇2001 to 12th month＇2011. The result shows that ：（ 1 ） monetary supply,oil prices ,domestic demand and inflation expectations have positive impact on the price level ;（2） the effect of exchange rate fluctuations on the impact response of aggregate price level is negative ; （ 3 ） the monetary supply changes has the greatest impact on inflation. Therefore, excessive currency issue is the main reason for China＇s inflation since the second half of 2007.