摘要
本文基于菲利普斯曲线的非线性扩展形式,研究了开放条件下我国通货膨胀的影响因素。本文首先从产出、国外价格、汇率和货币政策冲击角度选取变量,构建了马氏域变实证模型,测算了各变量在不同时期所处状态的概率;然后从状态转移特征的比较中得到各变量与通胀率状态周期的相关关系;进一步地,本文利用马氏域变向量自回归模型,研究了宏观经济环境因素波动对通胀率造成的冲击,以及货币政策因素与通胀率之间的动态影响关系。研究发现各宏观经济变量对通胀的影响具有非线性特征;国际大宗商品价格对我国通胀的影响在不断增强;货币政策因素对我国通胀水平的影响存在动态变化;低通胀状态下汇率对通胀率呈负向影响,高通胀状态下影响则不显著。
Based on the non - linear Phillips Curve model, we investigate the influence factors of inflation in China under the open economy condition. Firstly, Using Markov Switching Vector Autoregression Model and by calculating the probabilities of the states of the factors, we study the dynamic effects of several macroeconomic factors on inflation, including factors reflecting domestic output, monetary and international price. Secondly, we compare the cycle of the influence factor and the inflation rate. Thirdly, with Markov Switching Vector Au- toregression Model, we investigate the impulse of the volatility of the influence factors to influence rate, and the dynamic correlation between monetary policies and inflation rate. The empirical results show that, the macroeconomic factors studied in this paper indeed have non - linear influence to inflation rate ; the price of commodity price has the increasingly influence to domestic price of China; Monetary policy factor has dynamic influence to the level of inflation; exchange rate shows negative effect on inflation in low inflation state while shows limit effect in high inflation state.
出处
《金融研究》
CSSCI
北大核心
2014年第4期30-46,共17页
Journal of Financial Research
基金
国家自然科学基金青年项目(31702156、31703016)
教育部人文社科青年项目(10YJC790196)
北京市教委青年英才计划
中央专项基本科研业务费项目(NKZXB10033)的资助
关键词
通货膨胀
马氏域变向量自回归模型
影响因素
Inflation, Markov Switching Vector Autoregression Model, Influence factor
