【作者】 张明；

【导师】 王宇伟；

【作者基本信息】 南京大学 ， 国民经济学， 2014， 硕士

【摘要】 通货膨胀惯性在通货膨胀动态机制研究中正受到越米越多的关注,目前普遍接受的一种观点为：通货膨胀惯性越高,货币政策的滞后过程一般也更长。正是因为通货膨胀惯性直接影响着货币政策的调控效果,货币当局只有深入理解和把握通货膨胀在受到各种冲击后的调整速度,才有可能制定和实施最优的货币政策。另一方面,在影响货币政策实施效果的同时,通货膨胀惯性本身也受到各种宏观经济因素的影响。通过观察通货膨胀惯性系数与通胀率、通胀预期和M1增长率之间的关系,能够明显看出这几个变量序列的波动有着近乎同步的趋势。那么,我国的通货膨胀惯性到底处于什么样的水平?哪些因素影响着我国的通货膨胀惯性?影响通货膨胀惯性的这些因素分别对通胀惯性起到多大的推动作用?这些因素各自对通货膨胀惯性作用的反应快慢、持续时间又是怎样?我国的通货膨胀惯性动态特征对制定前瞻性的货币政策决策和实施有效的货币政策有什么样的借鉴意义?带着这一系列疑问,本文以通货膨胀惯性系数的估计为起点研究了其与通胀水平、通胀预期和货币政策之间的影响关系,不仅包含理论分析,也进行了实证检验。本文先是回顾并归纳已有的相关研究,分析了我国通货膨胀惯性的研究现状。阐述了通胀惯性的含义和特征,在此基础上,通过一定理论分析,尝试着论述通胀惯性受到通胀水平、通胀预期和货币政策影响的机制。为了验证它们之间的互动关系,本文又进行了实证检验,先是应用状态空间变参数模型动态的估计了我国通货膨胀惯性系数,其次,采用VAR模型、脉冲响应和方差分解等手段来分析我国通货膨胀惯性的影响机制和动态特征。检验结果表明,首先,我国的通胀惯性水平一直较高；其次,通胀惯性受到通胀水平、通胀预期和货币政策的影响和冲击,且这三者对通胀惯性影响的大小、反应快慢、持续时间各有不同。具体来讲,通胀率对当期通货膨胀惯性的影响最大,通胀预期和货币政策对通胀惯性的影响存在一定滞后性,它们对当期通胀惯性影响相对较小但是对后期的影响不容小视。在以上分析的基础上,结合我国的通胀水平和通货膨胀动态机制的现状,本文提出了一些相关的政策建议,希望能对该领域的研究及通货膨胀调控政策的制定和实施有所贡献。更多还原

【Abstract】 Inflation inertia in inflation dynamics mechanism has been paid more and more attention. It is generally recognized that the higher inflation inertia, the longer lag time needed to monetary policy. The inertia of inflation directly affects the control effect of monetary policy, therefore, a profound understanding of the speed of inflation adjustment in response to such shocks is of crucial importance for a central bank who aims at implementing the optimal monetary policy.On the other hand, various macroeconomic shocks will affect inflation inertia. By observing the relationship between inflation rate and inflation inertia, inflation expectations and the growth rate of M1, we can find the synchronous change tendency of them.So, what is the level of China’s inflation inertia? What factors influence the inflation inertia? What is the difference between the effects on inflation inertia of these factors? What inspiration do the studies on the dynamic characteristics of inflation inertia can bring to monetary authorities?With this series of questions, this paper measure the inertia in the change of the CPI of China, then, studies the relationship between the inertia and inflation rate, inflation expectations and monetary policy by using a model which explicitly models the various components influence inflation inertia.This paper reviews and summarizes the relevant literature, analysis of the research status of inflation inertia. Describes the meaning and characteristics of inflation inertia, on this basis, this paper trying to discuss the correlations between the inflation inertia and various macroeconomic shocks including inflation rate, inflation expectations and monetary policy. An empirical analysis has been conducted by the paper so as to check the relationships between them and to gain a clear idea of the mechanism and dynamic characteristics of inflation inertia.Test results showed that, firstly, the level of inflation inertia is really high, the lag effect of monetary policy is significant. Secondly, inflation rate, inflation expectations and monetary policy influence inflation inertia, and there are different effects among these three factors. Specifically, inflation rate is the most influencing factor of inflation inertia.There’s a lag time, however, impact of monetary policy and inflation expectations on inflation inertia can’t be overlooked.Based on the above analysis, combined with the current situation of dynamic mechanism of China’s inflation, the paper brings innovation to the inflation dynamic, and scientific basis to monetary policy which making forward-looking decision, therefore has important practical implications.更多还原