金融元素的变动对通货膨胀影响的实证研究

Demonstration research of financial factor fluctuation's influence on inflation

本文主要研究货币供应量(M2)、外汇储备、汇率、国际石油价格变动对通货膨胀的影响。构建VAR模型和向量误差修正模型,通过脉冲响应函数和方差分解分析了金融元素对CPI的影响。实证结果表明:货币供给量、外汇储备、汇率和CPI之间存在一种长期的稳定关系,外汇储备和汇率的变动对通货膨胀的影响皆较小。CPI与实际有效汇率间存在负相关关系。国际石油价格变动对通货膨胀的影响较大,汇率变动对通货膨胀的影响较小,说明汇率对价格传递的不完全性。

This paper studies the impact on inflation from the money supply（M2）, foreign exchange reserves,the exchange rate, the international oil price changes. By building the VAR model and VECM, it analysis the financial elements impact on the CPI through the impulse response function and variance decomposition. The empirical results show that： there is a longterm stable relationship within this financial factors, and impact that changes of foreign exchange reserves and exchange rate to inflation are small. There exists negative correlation between CPI and the real effective exchange rate. the change of international oil price exerts greater impact on inflation, while the change of exchange rate changes to inflation is small,which indicates the transfer from exchange rate to price is incomplete.