基于随机时变参数模型的FDI对通货膨胀影响研究

A Research Based on SV-TVP-VAR Model of the Impact of FDI on Inflation

为了反映FDI对通货膨胀影响的时变和非线性特征,文章从货币效应、投资效应以及汇率效应三个方面探讨了FDI对通货膨胀的作用机制和路径,在此基础上引入随机波动模型和时变参数的VAR模型,构建基于SV-TVP-VAR脉冲响应模型。实证研究表明,FDI对通货膨胀的影响明显存在时变特征,冲击作用大小在不同滞后期存在显著性差异,且滞后期越长,作用越弱;此外,FDI流入对通货膨胀影响的敏感性在前9期更为显著,但在9期之后其影响基本上可以忽略。最后,稳健性检验表明,文章的研究结论是可靠的。

In order to reflect the time and non-linear characteristics of the impact of FDI on inflation, this paper discusses the mechanism and path of FDI on inflation from three aspects: monetary effect, investment effect and exchange rate effect. On this basis, we introduce random fluctuation model and time variation Parameter to the VAR model, and then build the SV-TVP-VAR impulse response model. The empirical study shows that the impact of FDI on inflation has obvious time-varying characteristics. The impact size has obvious difference in different lag periods, and the longer the lag is, the weaker the effect is, and the transmission mechanism of FDI inflow to inflation is becoming more and more flexible and more efficient, based on different points of time the impulse response intensity of inflation in the first 9 period are more significant, but after 9 period basically on the loss of inflation. At the same time the robustness test shows that the conclusion of the article is reliable.