资产价格变动是否会引起通货膨胀——基于VECM模型的实证研究

Effect of Changes in Asset Prices on Inflation:An Empirical Study Based on VECM Model

本文采用2001年1月至2012年12月的月度数据,使用协整和误差修正模型,实证研究资产价格变动对通货膨胀是否会产生影响以及不同变量对通货膨胀的影响程度。同时,研究了在金融危机背景下,资产价格的变动对通货膨胀的影响有无显著变化。实证研究结果表明:房地产销售价格指数、人民币名义有效汇率、股票价格指数、货币供应量、工业增加值等变量的变动都会对通货膨胀产生一定程度的影响,但是在金融危机的背景下,房地产销售价格指数变动对通货膨胀的影响显著放大,股票价格指数的变动对通货膨胀的影响也有所提高。因此,政府在使用货币政策调控物价水平时,需要密切关注资产价格变化,完善货币政策体系。

Drawing on monthly data from January 2001 to December 2012, this paper uses co-integration and error correction models to conduct an empirical study on whether changes in asset prices have an impact on inflation and the impact of different variables on the degree of inflation. Also, this paper studies the changes in the effect of asset prices on inflations. The empirical results show that changes in variables like real estate sales price index, nominal effective exchange rate, stock price index, money supply and increase in industrial production will have a certain degree of impact on inflation, while in the context of the financial crisis, the effect of changes in real estate sales price index on inflation is significantly magnified, and the effect of stock price index changes on inflation is also enlarged. Therefore, the government needs to pay close attention to changes in asset prices and endeavors to improve the monetary policy system when using monetary policies to adjust price levels.