货币供应量与通货膨胀的关联性:基于时间和频率双视角

The comovement of money supply and inflation:From the perspectives of time and frequency

利用小波分析.从时间和频率双领域分别对中国城市和农村总体通货膨胀和八大类商品通货膨胀与货币供应量变动之间的关联性进行实证研究.结果表明:无论是在城市还是农村,货币供应量变动对各类通货膨胀的正向调节作用主要集中在短期,尤其是在周期小于3个月时,而在长期中正向调节效果微弱,负向调节占主导:根据货币供应量变动与各部门通货膨胀的时频关联性特征,可将八个商品部门划分为三大类:一类是与总体通货膨胀紧密一致靠拢,一类是按照特定规律变化,还有一类是不规则波动性变化;且城市和农村对应部门的通货膨胀和货币供应量变动的时频特征存在差异性.这为中国实施差异化货币政策以保证经济的持续快速发展提供了实证依据.

The wavelet analysis is applied to investigate the relationship between China＇s money supply and inflation rate of urban and rural areas in the aspects of time and frequency, using the monthly data of China＇s money supply and inflation rate of overall and eight different sectors. The results show that for urban and rural areas, the positive influence of money supply operations is significant on both overall and sectional inflation rate in the short term, especially when the operation cycle is less than three months, while in the long term, the positive influence is relatively weak, which turns into the negative effect. According to the time-frequency characteristics of the correlation of every sectional inflation rate and money supply, the eight sectors can be divided into three classes： the first class is highly consistent with the overall inflation rate; the second has its own specific fluctuation rules, and the third shows random volatility. Besides, there are differences in the time-frequency characteristics between urban and rural areas. These findings provide theoretical basis for China＇s differentiated monetary policy.