金融状况、通胀预期与通货膨胀动态传导机制

Financial Conditions,Inflation Expectations and Dynamic Transmission Mechanism of Inflation

本文基于TVP-VAR模型构建动态金融状况指数,测算居民通胀预期,探讨金融状况、通胀预期与通货膨胀之间的关系。研究结果表明:(1)在金融状况指数的构成变量中,实际短期利率缺口权重最大,实际货币供应量缺口和实际股票价格缺口权重次之,实际有效汇率缺口和实际房地产价格缺口权重较小。从权重变化趋势来看,各金融变量缺口对通货膨胀的影响存在交替现象。(2)Granger因果分析和时变脉冲响应分析,从定性和定量两个角度验证“金融状况—通胀预期—通货膨胀”这一动态传导机制,且这一传导机制较为稳定,不会随着经济形势的变化而改变。

Based on the TVP-VAR model,this paper constructs a dynamic financial conditions index to measure resident's inflation expectation and explores the relationship among financial conditions,inflation expectations and inflation in China.The results show that:(1) Among the constituent variables of the financial conditions index,the real short-term interest rate gap has the largest weight,followed by the real money supply gap and the real stock price gap.The real effective exchange rate gap and the real housing price gap have smaller weights.From the perspective of the weight change trend,the impact of various financial variable gaps on inflation has alternating phenomena.(2) Granger causality analysis and time-varying impulse response analysis verify the dynamic transmission mechanism of “financial conditions-inflation expectations-inflation”from qualitative and quantitative perspectives respectively.Moreover,this transmission mechanism is relatively stable and does not change with economic conditions.