我国资产价格与通货膨胀关系研究.pdf

摘 要 在过去的 20 年里，各经济体在控制通货膨胀方面己经取得很大成效，但频 繁的资产价格波动，以及期间数次由于市场崩盘所引发的系统性金融危机和经济 衰退，使各国货币当局越来越重视资产价格波动所传达的信息及其应对之策。 通过比较分析关于资产价格与通货膨胀方面的研究成果，发现两者之间存在 密切的联系。本文在分析大量文献研究的基础上，首先通过理论分析，寻求资产 价格与通货膨胀之间相互作用的传导途径，然后运用一般统计分析方法得出资产 价格与通货膨胀之间的联系。协整检验表明我国股票价格指数、房地产价格指数 与通货膨胀之间存在长期的均衡关系，房地产价格指数对通货膨胀影响大于股票 价格指数对通货膨胀的影响。格兰杰因果检验表明股票价格指数和房地产价格指 数上涨都会引致消费者价格指数上升。 根据对我国货币政策治理历次通货膨胀的结果和我国货币政策资产价格传 导机制的有效性进行分析，发现随着金融市场的发展，我国治理通货膨胀的机制 更加复杂。同时我国股票市场和房产市场对货币政策传导效率较低，制约资产价 格传导货币政策效果的因素有流动性过剩、投机现象严重等。 文章最后结合理论分析与实证分析的结论，根据我国的实际情况，给出了中 央银行应对资产价格波动、完善货币政策框架的相关政策建议。 关键词：资产价格 通货膨胀 货币政策 价格协调 I Abstract In the past 20 years, the central banks have made great achievements in controlling the inflation of ordinary goods and services. But frequent fluctuation of asset prices, as well as several systemic financial crisis and economic depression caused by the collapse of asset markets, have forced the authority to pay more attention to the information conveyed by the asset prices’ fluctuation and the solution. We can find that asset price and inflation are closely related to each other after a comparative analysis of them. Based on a massive literature research, through theoretical analysis, it finds out the pathway of the interaction of asset prices and inflation. Then, this paper works out the interrelationship of asset prices and inflation by using the general method of statistical analysis. Positive results show that China’s asset prices and inflation are in a long-term balance and the assert price has bigger influence on inflation than stock price. Granger causality test shows that rising of stock price and estate price lead to the rising of