流动性过剩、通货膨胀与资产价格的时变关系研究

Time-varying Relationship Between Excess Liquidity,Inflation,and Asset Price in China

21世纪以来,我国出现了较为严重的流动性过剩现象。在流动性过剩持续加剧的背景下,缓慢上升的物价水平与过快增长的资产价格引起了人们的关注。运用TVP-SV-VAR模型,探讨了1995—2019年流动性过剩、通货膨胀与资产价格三者之间的时变关系。研究发现,高货币供给与低通货膨胀之间的矛盾,早期可以归因于货币化过程,中期主要是因为货币传导的滞后性,后期资本市场在与消费品市场的竞争中占据了吸收流动性的优势地位,挤压了消费品价格的上涨空间,造成了较低的通货膨胀率。为优化货币政策、减缓资产价格上涨,在制定货币政策时应充分考虑货币传导的滞后性,将稳定资产价格列入货币政策目标。同时,还应当全面促进消费,引导流动性从资本市场转向消费品市场。

Since the 21st century,there has been a serious phenomenon of excess liquidity in China.In the background of excess liquidity continued to aggravate,slow growth of inflation and rapidly rising asset prices have aroused people's concern and confusion.Using the TVP-SV-VAR model,this paper discusses the time-varying relationship among excess liquidity,inflation and asset prices from 1995 to 2019.It is found that the contradiction between high money supply and low inflation can be attributed to the process of monetization in the early stage,and the lag of monetary transmission in the middle stage.In the competition with the consumer goods market,the capital market occupies a dominant position to absorb liquidity,which squeezes the rising space of consumer goods prices and leads to low inflation.In order to optimize monetary policy and slow down the rise of asset prices,the lag of monetary transmission should be taken into full consideration,and the stability of asset prices should be included in the monetary policy target.Meanwhile,we should promote consumption in an all-round way and guide liquidity from the capital market to the consumer market.