资产价格具有通货膨胀指示作用吗——基于LT-TVP-VAR模型的实证研究

Do Asset Prices Help to Indicate inflation:A Empirical Study Based on LT-TVP-VAR Model

资产价格变动通过财富效应等渠道影响总需求进而通货膨胀的变动,但其影响方向、强度及时变性尚有待进一步研究。本文通过建立包含潜在门限的时变参数向量自回归模型,实证研究房地产价格和股票价格对通货膨胀影响的时变特征。实证结果表明,房地产和股票价格均对通货膨胀产生显著的同向影响,并且影响强度表现出顺周期的时变规律。在资产市场发展的"繁荣期",影响强度不断增强;而在"低迷期",其影响趋弱甚至无效。当股票市场和房地产市场运行出现周期错配时,其通货膨胀效应更趋复杂和不确定。

Asset price fluctuation will affect aggregate demand and inflation through different channels such as residents＇wealth. However, there needs further research of the impact direction, intensity and time- varying characteristics. This paper employed a time -varying parameters vector autoregressive model with latent threshold, empirically studied the time - varying characteristics of the impact of real estate price and stock price on inflation. The empirical results show that both real estate and stock asset price have significantly positive impact on inflation, and the changes of impact strength show pro - cyclical time- varying property. In ＂boom period＂ of the development of asset market, the impact strength increases; While in the ＂ downturn ＂, its influence weakens or even invalids. When the operation cycles of stock market and real estate market mismatch, the effect on inflation will be more complex and uncertain.