资产价格、通货膨胀及货币政策互动机制的实证研究

利用楼市指数、股市指数、CPI以及市场基准利率的月度数据对资产价格、通货膨胀以及货币政策之间的相关性及相互作用机制进行了系统定量分析,结论表明：资产价格过快膨胀会导致通货膨胀;而通货膨胀又促使更多资金流入资本市场,加重资本市场的过热现象;并进而强化了政府的流动性过剩预期,促使政府通过收紧货币政策来平抑资产价格的过快膨胀,以消除通货膨胀。此外,本文通过向量误差修正模型量化阐释了三者之间的长期均衡关系和对于系统不均衡的调整规律。

An Empirical Study on the Interaction Mechanism Among Asset Prices, Inflation and Monetary Policy

Using the data of Shanghai composite index,Shenzhen component index,the property index,CPI and the benchmark interest rate,a systematic quantitative analysis is given on the interaction mechanism among asset prices,inflation and monetary policy,which indicates that a sharp increase in asset prices causes inflation,driving more money into the capital market in return and making the overheat in the market even worse and further strengthening the expectation of excess liquidity of the government.As a result,a ...