本文選題：貨幣沖擊 + 糧價(jià)超調(diào)模型��； 參考：《南京大學(xué)》2014年碩士論文

【摘要】：農(nóng)業(yè)是國民經(jīng)濟(jì)的基礎(chǔ),農(nóng)產(chǎn)品價(jià)格的波動(dòng)關(guān)乎經(jīng)濟(jì)全局,如何穩(wěn)定農(nóng)產(chǎn)品價(jià)格是關(guān)乎到我國經(jīng)濟(jì)發(fā)展大局的重要課題。本文首先回顧我國貨幣供給和農(nóng)產(chǎn)品價(jià)格的歷史情況,發(fā)現(xiàn)同一貨幣沖擊下的農(nóng)產(chǎn)品價(jià)格比工業(yè)品價(jià)格反應(yīng)更迅速且波動(dòng)更為劇烈。其次以農(nóng)產(chǎn)品價(jià)格粘性為前提,建立貨幣供給沖擊下的糧價(jià)超調(diào)模型,來解釋農(nóng)產(chǎn)品價(jià)格超調(diào)的動(dòng)態(tài)路徑。然后,根據(jù)我國貨幣供應(yīng)量和農(nóng)產(chǎn)品價(jià)格數(shù)據(jù),通過統(tǒng)計(jì)模型科學(xué)定量地研究貨幣沖擊下的糧價(jià)超調(diào)現(xiàn)象。研究表明：從長期來看,貨幣供給增加1%會(huì)導(dǎo)致農(nóng)產(chǎn)品價(jià)格提升0.23%,工業(yè)品價(jià)格提升0.11%,長期的貨幣中性不成立；從短期來看,同一貨幣沖擊下農(nóng)產(chǎn)品價(jià)格呈現(xiàn)出比工業(yè)品價(jià)格波動(dòng)更劇烈的“超調(diào)”特征,但貨幣沖擊對(duì)農(nóng)產(chǎn)品價(jià)格波動(dòng)的解釋程度只有8%,表明貨幣沖擊不是直接引起我國農(nóng)產(chǎn)品價(jià)格上漲的主要原因。在文章的后半部分,結(jié)合糧價(jià)超調(diào)模型中提出的兩條傳導(dǎo)路徑,通過DAG方法分析變量間的同期因果關(guān)系,深入探討農(nóng)產(chǎn)品價(jià)格的超調(diào)機(jī)制。研究發(fā)現(xiàn)：貨幣供應(yīng)量短期內(nèi)不會(huì)有太頻繁的變動(dòng),而且由于時(shí)滯、貨幣沖擊對(duì)農(nóng)產(chǎn)品價(jià)格的直接影響未來得及顯現(xiàn),貨幣沖擊主要以通過預(yù)期進(jìn)而影響農(nóng)產(chǎn)品價(jià)格的間接路徑為傳導(dǎo),此時(shí)通過合理引導(dǎo)預(yù)期是穩(wěn)定農(nóng)產(chǎn)品價(jià)格的有效途徑。研究結(jié)論的意義在于：由于農(nóng)產(chǎn)品價(jià)格長期貨幣非中性和短期超調(diào),一方面可以更有效率地制定貨幣政策,使貨幣政策更多地傾向于農(nóng)產(chǎn)品價(jià)格,合理控制我國貨幣規(guī)模；另一方面,考慮到通脹預(yù)期的傳導(dǎo)作用,貨幣當(dāng)局應(yīng)合理引導(dǎo)公眾預(yù)期,同時(shí)規(guī)范農(nóng)產(chǎn)品市場(chǎng),減少對(duì)價(jià)格的沖擊。
[Abstract]:Agriculture is the foundation of national economy, the fluctuation of agricultural product price is related to the overall situation of economy, and how to stabilize the price of agricultural product is an important subject related to the overall situation of economic development of our country. This paper first reviews the historical situation of money supply and agricultural product price in China, and finds that the price of agricultural product under the same currency shock is more rapid and volatile than that of industrial product price. Secondly, based on the price stickiness of agricultural products, a food price overshoot model under the impact of money supply is established to explain the dynamic path of agricultural product price overshoot. Then, according to the data of money supply and agricultural product price in China, the phenomenon of food price overshoot under currency shock is studied quantitatively by statistical model. The study shows that, in the long run, an increase of 1% in the money supply will lead to a rise of 0.23% in the price of agricultural products, 0.11% in the price of industrial products, and no long-term monetary neutrality; in the short run, Under the same currency shock, the price of agricultural products shows a more drastic "overshoot" characteristic than the price fluctuation of industrial products. But the explanation of monetary shock to agricultural product price fluctuation is only 8, which indicates that monetary shock is not the main cause of agricultural product price rise in China. In the second half of the paper, combining the two conduction paths proposed in the food price overshoot model, the paper analyzes the cause and effect relationship between variables by DAG method, and probes into the overshoot mechanism of agricultural product price. The study found that the money supply does not change too frequently in the short term, and because of the delay, the direct impact of monetary shocks on the prices of agricultural products does not appear in time. The main transmission of monetary shock is the indirect path of influencing agricultural product price through expectation, and at this time, it is an effective way to stabilize agricultural product price by reasonably guiding expectation. The significance of the study lies in: because the price of agricultural products is non-neutral and short-term overshoot, on the one hand, monetary policy can be formulated more efficiently, so that monetary policy can be more inclined to agricultural product price, and the monetary scale of our country can be controlled reasonably; On the other hand, considering the transmission effect of inflation expectations, monetary authorities should reasonably guide public expectations, regulate the agricultural product market and reduce the impact on prices.
【學(xué)位授予單位】：南京大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2014
【分類號(hào)】：F323.7;F822

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本文編號(hào)：1821315