我国货币流动性与通货膨胀的定量研究_基于时变参数模型的实证（数量经济与技术经济研究.2010.08李占风;陈妤;129-138）.pdfVIP

我国货币流动性与通货膨胀的定量研究 ∀ 129 ∀ 我国货币流动性与通货膨胀的定量研究 基于时变参数模型的实证 李占风 陈 妤 ( 中南财经政法大学统计系) ! 货币流动性是影响通货膨胀的重要因 本文从货币的变现能力和经 济货币化程度两 个方面衡量货币流动性, 利用状态空间模型方法建立时变参数模 型, 研究货币流动性变化对物价的影响, 并用状态变量衡量流动性以外的因 对物 价的综合影响结果显示, 货币流动性越大, 消费价格指数越高; 货币的变现能力 对消费价格指数的影响在紧缩性货币政策时期强于扩张性货币政策时期; 影响消费 价格指数的综合变量与预期变量的调查数据相关性较强 通货膨胀 货币流动性 预期因 状态空间模型 F04551 A The Research on Monetary Liquidity and Inflation in China Abstract: Monetary liquidity is an important influencing factor of inflationIn order to study ho the changes in monetary liquidity impact on prices, and meas ure the combined effects on prices except monetary liquidity, this paper measures the monetary liquidity ith the cashability of money and capitalization process of the economy, and uses statespace model approach to establish timevarying param eter modelT he result sho s that the higher the monetary liquidity, the higher the Consumer Price Index ( CPI) ; during the period of restrictive monetary policy, the impacts of cashability of money on the CPI are stronger than the impacts during the period of expansionary monetary policy; the aggregate variable affected the CPI has a strong correlation ith the survey data of the expectation Key words: Inflation; Monetary Liquidity; Expectation; Statespace Model 2010 112 05 , 2008 , 4 2009 , , , ∀ 130 ∀ #数量经济技术经济研究∃ 2010 年第8 期 (CPI) 15% , 2009 2 16% , PPI 45%, CPI 11% , PPI 65%, , , , , , , 2009 , , , , , 2009 5 , PPI , CPI 7 , PPI 11 CPI , 06%; PPI 37 21%, , , , , , , , , , , , , , , , , , , , , , , , , , , , , , , ,