本文選題：通貨膨脹預期 + SVAR�。� 參考：《南京大學》2013年碩士論文

【摘要】：通貨膨脹預期在經(jīng)濟發(fā)展中具有重要地位,近幾年來我國出現(xiàn)了幾次較大規(guī)模的通貨膨脹周期,對經(jīng)濟的平穩(wěn)發(fā)展造成了巨大的影響。經(jīng)濟主體的預期能夠改變其現(xiàn)實中的行為,從而對經(jīng)濟產(chǎn)生影響。管理通貨膨脹預期對于穩(wěn)定通脹具有重要的意義,對通脹預期的研究有利于政策的制定和經(jīng)濟的平穩(wěn)發(fā)展。 本文在對通貨膨脹預期性質(zhì)及運行機理的研究基礎(chǔ)上,運用定性的中國人民銀行城鎮(zhèn)儲戶問卷調(diào)查數(shù)據(jù),通過差額法與改進的概率法計算得出了我國通貨膨脹預期的具體大小。與實際通貨膨脹的比較,發(fā)現(xiàn)這一通貨膨脹預期能夠很好的表示實際通貨膨脹發(fā)展的趨勢與變化水平。在此數(shù)據(jù)基礎(chǔ)上,通過建立結(jié)構(gòu)向量自回歸模型(SVAR),對影響通貨膨脹預期的因素進行了分析。在變量的選擇上,本文從宏觀經(jīng)濟政策、資產(chǎn)價格以及成本推動三個方面選取了產(chǎn)出缺口、實際通貨膨脹率、貨幣增長率、房地產(chǎn)價格、工資缺口以及石油價格等六個變量,通過Granger因果檢驗、脈沖響應函數(shù)以及方差分解,得出了有益的結(jié)論。 本文研究表明,在影響通貨膨脹預期的因素中,以產(chǎn)出缺口為代表的經(jīng)濟周期對預期影響最大；貨幣增長率對于預期影響時間最長；在長短期內(nèi),對于影響預期因素的重要程度是不同的；石油價格對于預期的重要性要遠遠超過人們的想象；房地產(chǎn)價格是推動人們對未來物價預期走高的原因之一,但是預期卻不能有效的改變房地產(chǎn)價格,這一結(jié)論能夠被政策性干預房價進行有效解釋。同時,預期具有自我實現(xiàn)的性質(zhì),上一期的預期對于本期的預期具有重大的影響。這些結(jié)論為宏觀當局政策的制定提供了有效的事實基礎(chǔ),具有重要的現(xiàn)實意義。
[Abstract]:Inflation expectation plays an important role in economic development. In recent years, there have been several large-scale inflation cycles in our country, which have a great impact on the steady development of economy. The expectation of the economic subject can change its behavior in reality, thus having an impact on the economy. The management of inflation expectation is of great significance for stabilizing inflation, and the study of inflation expectation is beneficial to the formulation of policy and the smooth development of economy. Based on the study of the nature and operation mechanism of inflation expectation, this paper uses the qualitative questionnaire data of urban depositors of the people's Bank of China to calculate the specific size of inflation expectations by using the difference method and the improved probability method. Compared with the actual inflation, it is found that this inflation expectation can well indicate the trend and the changing level of the real inflation. On the basis of these data, the factors influencing inflation expectation are analyzed by establishing the structural vector autoregressive model (SVARA). In the choice of variables, this paper selects six variables, including macroeconomic policy, asset price and cost promotion, such as output gap, real inflation rate, monetary growth rate, real estate price, wage gap and oil price. By Granger causality test, impulse response function and variance decomposition, some useful conclusions are obtained. The study shows that, among the factors influencing inflation expectations, the economic cycle, represented by the output gap, has the greatest impact on expectations; the monetary growth rate has the longest effect on expectations; and in the long and short term, The importance of factors affecting expectations is different; the importance of oil prices to expectations is far greater than people think; and real estate prices are one of the reasons that push people's expectations higher for the future. But the expectation can not change the real estate price effectively, this conclusion can be effectively explained by the policy intervention. At the same time, expectations are self-fulfilling, and the expectations of the previous period have a significant impact on the expectations of the current period. These conclusions provide an effective factual basis for the formulation of macro-authority policy and have important practical significance.
【學位授予單位】：南京大學
【學位級別】：碩士
【學位授予年份】：2013
【分類號】：F822.5;F224

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本文編號：1858539