基于金融压力视角下我国信贷规模与通货膨胀关系的实证分析
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摘要
基于金融压力视角深入分析信贷规模和通货膨胀之间的关系,从短期和长期两个层面探析我国信贷规模与通货膨胀之间的动态关系。选取2008-2017年的信贷规模、M1、M2、物价指数四个变量的月度数据,构建用M1、M2作为中间影响变量的协整模型和误差校正模型,对其动态关系和影响机制进行计量分析。计量分析显示信贷规模对通货膨胀有正向显著影响,滞后一期效果最强。
Based on the perspective of financial pressure, this paper deeply analyzes the relationship between credit scale and inflation, and probes into the dynamic relationship between credit scale and inflation in China from both short-term and long-term perspectives. Monthly data of four variables including credit scale, M1, M2 and price index from 2008 to 2017 were selected to construct the co-integration model and error correction model with M1 and M2 as the intermediate influencing variables, and conduct quantitative analysis on their dynamic relationship and influencing mechanism. Econometric analysis shows that the credit scale has a positive and significant impact on inflation, and the effect of the first phase lag is the strongest.
Based on the perspective of financial pressure, this paper deeply analyzes the relationship between credit scale and inflation, and probes into the dynamic relationship between credit scale and inflation in China from both short-term and long-term perspectives. Monthly data of four variables including credit scale, M1, M2 and price index from 2008 to 2017 were selected to construct the co-integration model and error correction model with M1 and M2 as the intermediate influencing variables, and conduct quantitative analysis on their dynamic relationship and influencing mechanism. Econometric analysis shows that the credit scale has a positive and significant impact on inflation, and the effect of the first phase lag is the strongest.
引文
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[2]JIRANYAKUL,TOMAˇS HAVRANEKA. Debt-deflation, financial market stress and regime change–Evidence from Europe using MRVAR[J]. Journal of Economic Dynamics and Control, Volume 81,2010(81):115-139.
[3]REINHART, ROGOFF. Spreading crisis:Evidence of financial stress spillovers in the Asian financial markets[J]. International Review of Economics&Finance,2010(43):542-551.
[4]MALLICK S K, SOUSA R M. The real effects of financial stress in the Eurozone[J]. International Review of Financial Analysis, 2013(30):1-17.
[5]GILLES D, KARINE G, FREDIA M. Causal data science for financial stress testing[J]. Journal of Computational Science,2016(26):294-304.
[6]ABOURA S, ROYE B V. Financial Stress and Economic Dynamics:The case of France[J]. International Economics, 2016:149.
[7]张孜仪,史朝阳,关玉.信贷规模、CPI上涨和资产价格上涨[J].财政研究,2012(7):41-45.
[8]王曼怡.货币供应量、信贷规模与我国通货膨胀的关联性[J].金融与经济,2011(4):23-26.
[9]王腾飞,蔡岩兵.基于VAR法的中国货币供应量影响因素实证分析[J].山东工商学院学报,2013(6):101-108.
[10]陈晓燕.汇率变动下通货膨胀的影响因素及其传导机制研究[D].南京:南京航空航天大学,2016.
[11]孙玉奎.中国货币高增长及其与通货膨胀的关联性研究[D].北京:中央财经大学,2016.
[12]刘鹏.通货膨胀、资产价格波动与货币激活效应[J].财经科学,2014(6):12-21.
[13]王一鸣.改革开放以来我国宏观经济政策的演进与创新[J].管理世界,2018,34(3):1-10.