我国外汇储备与通货膨胀关系研究

Study on the Relationship between Foreign Exchange Reserves and Inflation in China

从外汇储备的角度进行研究,选取1995年12月至2017年1月的外汇储备与CPI以及广义货币供应量的月度数据构建向量自回归模型,通过协整检验和格兰杰因果检验分析发现三者之间存在一个长期的稳定关系并且存在因果关系,其中外汇储备与消费者物价指数以及外汇储备与广义货币之间均存在明显的双向因果关系,而消费者物价指数与外汇储备之间则是单向因果关系,从而可以看出广义货币在外汇储备与通货膨胀之间发挥着一个间接作用。进一步通过脉冲响应及方差分析研究三者间的相互作用,结果表明物价变动受到外汇储备变化的冲击影响不大,而广义货币供应的变动对物价波动有一个最初的正向影响,且这种影响逐渐减小并趋于零。

This article conducts the research from the angle of foreign exchange reserves. Structuring vector autoregressive model based on the monthly data from December 1995 to January 2017 of foreign exchange reserves and the CPI as well as the broad money supply. The conclusion shows that there is a long-term stable relationship between them after conducting the cointegration test and Granger test. Among them, the foreign exchange reserve and the consumer price index and the foreign exchange reserves and the broad money have obvious two-way causality. And the consumer price index and foreign exchange reserves is a one-way relationship, which means that the broad money plays an indirect role between foreign exchange reserves and inflation. Further analyze and study relationships between the three factor by impulse response and variance analysis. Result shows that price changes by the impact of changes reserves while the impact is not big. Besides that, the general changes in money supply on the initial price fluctuations, and this effect decreases gradually and tends to zero.