价格预期与宏观经济的相关性研究——基于中、美、南非三国数据的实证检验

The Correlation Between Price Expectation and Macro-Economy——Based on the Empirical Test of China,America and South Africa

价格预期与宏观经济的相关性是货币政策能否通过引导预期提高政策有效性的关键问题。利用Granger因果检验方法对中国、美国和南非三个国家价格预期和宏观经济的相关性进行了实证检验,结果表明美国价格预期与宏观经济变量的相关性不强,南非则具有较强的相关性。中国价格预期与宏观经济各变量存在着显著的相关性,其中价格预期与产出、消费和物价存在显著的双向影响,投资对价格预期存在单向影响,价格预期对货币供应量存在单向影响。

The correlation between the price expectation and the macroeconomic variables is the key to the question that whether the monetary policy can improve policy effectiveness through leading public expectations. By using the method of the Granger Causality Test, the paper empirically tests the correlation between the price expectation and the macroeconomic variables among three countries——China, America and South Africa. The results show that： in America, the correlation is not strong, while in South Africa the correlation is rather strong. In China, the correlation between the price expectation and the macroeconomic variables is significant. Bidi-rectional influence exists between price expectation and output, as well as consumption and price. In addition, unidirectional influence exists in the variables of investment over price expectation and price expectation over money supply.