中国货币供应量与通货膨胀的实证关系研究——基于格兰杰与GARCH模型的分析

An empirical study on the relationship between Chinese money supply and inflation——Based on the Granger causality test and GARCH model

基于2007～2013年中国的CPI和M2数据，使用格兰杰分析法分析两者关系，并使用GARCH模型验证波动效应，以考察不同计量方法对金融数据的刻画能力。格兰杰结果为：M2是引起CPI变化的格兰杰原因；GARCH验证结果为：CPI存在波动溢出的ARCH效应，CPI的波动会对M2造成冲击，格兰杰关系不成立。考察结果为：金融数据的选取会严重影响到模型的结果，M2是引起CPI变化的原因。

In this paper, the granger causality test is employed to examine the relationship between Chinese CPI and M2 data during 2007 -2013. The multivariate GARCH model is utilized to capture the interactions between CPI, M2, and fluctuation effect. The results of Granger causality test show the evidence of unidirectional causality from M2 to CPI. In contrast, the results from GARCH model show significant bidirectional causality between CPI and M2. The final conclusion is that financial data selection has a remarkable impact on the results of mathematical model and that M2 is believed to cause the change of CPI.