摘要
通货膨胀,长期以来一直是学术界研究的热点,没有任何一个主题能够像通货膨胀一样被反复研究讨论。通货膨胀,表现为商品和服务的价格水平持续普遍的上涨,一般以年增长比率来度量。当通货膨胀上升时,消费者手中所持有的货币的购买力就会下降。马克思从货币的发行量的角度对于通货膨胀做出解释,认为通货膨胀是一种货币的贬值现象,是由于货币发行量超过商品流通中实际需要的货币量而导致的;从1976年诺贝尔经济学奖获得者米尔顿·弗里德曼教授对于通货膨胀的解释来看,通货膨胀永远、而且在任何地方都只是一种货币现象。弗里德曼在《自由选择》中说,通货膨胀是一种疾病,是一种危险的,有时是致命的疾病,如果不及时医治,它可毁掉一个社会。我国近年来把抑制通货膨胀摆在宏观调控工作的第一位。可见通货膨胀对宏观经济健康运行有着及其重要的影响。在理论界,通货膨胀复杂多变的经济现象和表现出来的价格变化的不确定性,吸引着众多学者的关注,在对其内在原因和变化特征等方面产生了大量的研究成果。对于政策制定者来说,结合这些研究成果来制定货币政策和财政政策,将会很大程度上提高通货膨胀的治理效果,有助于经济健康、稳定的运行。随着经济学的发展,不断出现新的对通货膨胀进行检验的计量方法,得到了更多的可以作为政策制定过程中的参考依据的成果。本文在如下几个方面对于我国通货膨胀的形成机理进行了分析,并且对于通货膨胀的传导机制进行了检验。
第一章,介绍了通货膨胀的定义、衡量指标、计算方法,并且辨析了通货膨胀的不同类型。之后对国内外通货膨胀理论的研究现状进行了文献综述,主要从通货膨胀的结构变异性、通货膨胀的区制划分、通货膨胀原因的形成、外部冲击对通货膨胀的影响、资产收益率与通货膨胀的关联性这几个方面入手进行文献综述。而后,介绍了本文的主要特点和创新点。
第二章,介绍了当今通货膨胀理论的派系,并且对适用于发展中国家的通货膨胀对经济增长的影响关系的理论观点进行了介绍分析,有“通货膨胀促进经济增长的理论”,这一观点从凯恩斯主义的观点出发进行介绍;有“通货膨胀对经济发展不利的影响”;还有从发展经济学的观点出发来论证通货膨胀对经济增长的影响。最后举出几个国际上的案例来分析通货膨胀与经济发展之间的关系。
第三章,使用1983年到2010年间我国通货膨胀率的数据,对于我国通货膨胀率的路径进行了变异性检验,并使用Markov区制转移模型进行了区制划分与检验。1988年1月为0.0533,在5%的显著性水平下,原假设被接受,但是在10%的显著性水平下,我们可以认为AR模型发生了结构突变;而对于1994年1月这一时点,为0.0404,落在了拒绝域,说明这一时点上我国的通货膨胀率过程发生结构性转变。检验出的两个结构突变点,即1988年开始施行的“包干”体制而引发需求型通货膨胀,以及1994年物价改革及汇率改革等多因素共同作用下导致的通货膨胀现象。除了上述与通胀相联系的结构转变点,Chow检验还检测出了与通货紧缩相关的结构转变时点。1997年1月对应着我国自1996年软着陆后的通货膨胀率下降时点。之所以能够检测出这一转变点,从数据的结构来看主要表现为通货膨胀序列在此之前出现了较高值而回落到较低水平所出现的模型结构变化。另一个转变点为1999年1月,相伴概率为0.0145,落在了拒绝域内,这一时点与亚洲金融危机的冲击相关。自亚洲金融危机之后,中国进入了由于内需不足导致的历经4年的通货紧缩期。综上所述,Chow检验对于我国通货膨胀率转变时点的识别与我国宏观经济运行的现实相关,可以认为是正确的。使用CUSUM检验和CUSUM平方检验的结果与CHOW检验结果基本相同。而后使用了滞后1阶的Markov区制转移模型对我国通货膨胀率的通货膨胀和通货紧缩区制进行了平滑概率的计算。结果表明在通货膨胀的高区制期,有明显的拉长趋势,可以作为我国货币政策制定的参考。结合当期的宏观货币政策进行分析通货膨胀率过程对其响应效果表明,不稳定的货币政策是造成通货膨胀率区制迁移变换的主要原因。货币政策和财政政策能够导致或影响通货膨胀的区制之间的转移,因此在政策方面,有效的运用政策工具,实行扩张或从紧的货币政策,可以有效的达到影响通货膨胀率路径的效果,从而促使我国经济可以达到平稳正常的运行水平。由此可知,通过这种拟合检验方式可以对各阶段经济政策的效果做出比较,从而总结出治理各通货膨胀区制行之有效的货币政策。
目前我国通货膨胀率处于高通胀区制,问题不仅仅存在于我国,所有在经济危机后经济继续增长的区域都出现了通货膨胀迹象。根据最新发布的数据显示,2010年巴西的物价上涨幅度为6%,俄罗斯接近10%。同样的,在中国以外的亚洲绝大部分地区:印度尼西亚为7%,印度为9.5%,新加坡为5.5%,香港为3.6%。而我国央行于2010年就敲响了谨防通货膨胀的警钟,先见之明令全世界惊叹。我国政府应及时采取适当从紧的货币政策来抑制通货膨胀,辅以调控并区别对待信贷规模这样的货币政策以促进我国经济稳定、健康的发展。
第四章,对于我国通货膨胀的实际成因和名义成因进行分析检验,名义原因是货币供给量的增加,使用1983年1月到2010年12月的数据对我国货币供给率与通货膨胀率进行协整检验,结果发现货币供给增长率和通货膨胀之间短期内不存在显著的协整关系。但消费需求增长率对通货膨胀率具有显著的Granger影响,这说明我国价格水平变化具有名义需求和实际需求的双重驱动迹象。因此,抑制通货膨胀时,控制名义因素效果比较明显,而治理通货紧缩时,实际因素的扩张作用则更为显著。金融危机复苏以后的中国经济和通货膨胀都出现了新一轮上升的趋势,很多学者认为该轮通货膨胀是“成本”推动型通货膨胀,而经历金融危机时期的宽松货币政策和人民币升值的压力,我国经济中的价格水平、利率水平和汇率等名义经济变量的波动程度有了大幅度增加,大大地增加了货币政策的作用,这种具有活力的名义经济使得我国经济顺利走出金融危机时期的阴影,但是持续的宽松货币政策使得经济复苏后的名义经济异常活跃,这从2010年M1和M2的增长率接近40%可以显著看出。再加上人们对经济复苏后的通货膨胀预期,以及实际生活中感知的物价上涨都相对比较明显,因此通货膨胀的名义成因正在逐渐增强。
第五章,从外部因素检验我国外汇储备对通货膨胀的影响。从卢卡斯总供给模型等微观经济基础出发,推导出外汇储备增长率对通货膨胀的时变影响关系方程。通过具体实证检验发现,我国外汇储备对通货膨胀有显著的影响。在当前我国外汇储备每增加1个基点,通货膨胀将提高0.1个基点的影响,通货膨胀中50%是由外汇储备增加所带来的。对时变参数检验发现,随着我国汇率改革的深入和外汇管理水平的提高,我国外汇储备对通货膨胀的影响有着先升后降的趋势。在当前日益严重的通货膨胀下我们应该从以下几个方面控制通货膨胀。第一,我们应该积极扩大内需市场,内需的扩大从直接上看可能会抬高物价,影响通货膨胀,但根据本文的研究我们发现对通货膨胀的最大影响因素是外汇储备的增加,而不是需求型通货膨胀。内需的扩大有利于产能调整,使得一部分出口贸易转为国内供给。第二,严格控制影响物价上涨的主要商品价格的上涨,特别是粮油电等关系国计民生的商品价格。第三,积极拓展以人民币方式进行对外贸易结算,减少由于对外出口贸易而增加的外汇储备。第四,积极的调整汇率变动机制。我国汇率应该更具有一定的弹性,即增加一定的不确定性和投资风险,在降低汇率的同时也避免热钱的过度涌入。
我国政府应该对现行的汇率和外汇储备的制度进行管理,进一步改革现行的汇率制度。2005年7月21日起实行的汇率改革,市场供求关系决定了了汇率的波动,结合管制下的浮动汇率制度,使得我国经济能够健康平稳的发展。另外可以仿效有些国家实行汇率目标区制度,围绕“中心汇率”设立一个汇率目标区,这样有利于约束汇率波动的范围,使得汇率变动维持在平稳的水平,并且有效打击了以汇率为目标进行牟利的国际热钱。
第六章,从市场因素利用小波多尺度方法对股票的名义收益率与通货膨胀率之间的关系进行检验。将名义收益率序列和通货膨胀率序列分解为以尺度为基础的序列。实证结论显示,在中间(4个月周期)和最长(64个月周期)的尺度范围内,股票收益率和通货膨胀率具有正相关关系。这表明在长期小波尺度内名义收益率支持风险资产的“费雪假说”,而在中间尺度内股票收益率不能充当通货膨胀的套期保值工具。可知检验的结果支持了“费雪假说”。通过小波分析解决和解释了股票收益率和通货膨胀率的相关性问题。由以上的检验,物价水平的波动是可以影响实际经济的运行的,因此当通胀水平较高时,应及时采取措施抑制通胀,以免造成实际经济运行的不确定性。
最后,本文从政策因素分析我国货币政策对通货膨胀的影响并进行实证分析。利用SVAR模型以及时变参数模型检验我国货币政策对通货膨胀的影响,结果发现积极的货币政策导致的信贷扩张和利率上调都不能显著的增加通货膨胀的压力。因此可以采用较为稳健的货币政策来抑制通货膨胀,并保证经济增长。
Inflation is always a hot topic in the academic field, not anything else can be always discussed like inflation. In the past few decades, the super inflation has happened three times, but the influence is limited mainly in certain countries and areas. In the 1970s, the inflation is a serious problem in western countries; Latin America is the most disaster area in the world in the 1980s among the places where the inflation happened, the average annual inflation rate rises to more than 80%. In Argentina, Brazil, Chile, Peru, Bolivia and Nicaragua even happened the hyperinflation of which the inflation rate reached up to three or four digits; in the 1990s, the inflation in the transition countries and developing countries is serious. Along with the economic globalization, the inflation affects not only a single country, infected channels become more and more. It always transmits through trade. The inflation in most countries is imported inflation besides the misleading of the money policy. The rising of the imported product’s price is the main reason of the rising of the domestic price level. Wen Jiabao, Premier of the People’s Republic of China, in the press conference of the Fourth session of the 11th National People’s Congress in the Mar. 14th, 2011, said“Inflation is like a tiger which can’t be shut in the cage again if let it out, curbing inflation will be the first macroscopic policy work in 2011”. So inflation has the most influence on the healthy running in the macro-economy. In theory, the uncertainty of the changes in price caused by the complication and the polytrope of inflation attracts many scholars, there are so many research achievements in the causes and characteristic. Associating with these achievements, the policy makers can make better monetary policy and financial policy to largely boost the management efficiency of inflation, keeping the economy healthy and steady. Along with the developing of the economics, there are many new metering methods to test inflation, which can be the reference of the policy makers.
Chapter one introduces the definition of inflation, measure gauge, calculation method and the different type of inflation. After that, introduce the literature review from the structural testing, the regime switching of inflation, the cause of inflation, external shocks, the relationship between the return on assets and the inflation rate. Last, introduce the characteristic and innovation of this dissertation.
Chapter two introduces the inflation theory factions. After that, introduce the analysis of the relationship under the condition of China’s economic environment between the inflation and the economic growth. There are theory of”inflation boost the economic growth”from the view of Keynes, and theory of“inflation harms the economic growth”from the view of development economics to discuss the relationship between inflation and the economic growth. At last, analyze the international case for the relationship between inflation and the economic growth.
Chapter three, with the data of inflation rate between the 1983 and 2010, makes the structural testing of China’s inflation path and uses the Markov-switching model to make the regime switching. This chapter uses the Chow statistic, CUSUM testing, CUSUM square testing to test the structural changes in the inflation path. The result is that, under the significance level of 5%, the concomitant probability of each time point is that, July 1988 is 0.106113, accepted by the null hypothesis, that means there is no structural change, August 1988, is 0.0169, refused by the null hypothesis, that means there happened the structural change, January 1994, it’s 0.063756, it’s accepted by the null hypothesis, there’s a structural change at this point; February 1994, it’s 0.025227, it’s refused by the null hypothesis, there is the structural change at this point. These two structural change points, of the former is demanding inflation caused by“Baogan”system in 1988 and the latter is inflation in 1994 caused by both the price reform and the exchange rate reform. This aligns with the results come from CUSUM testing and CUSUM square testing. And then, use the Markov-switching model with first-order lag to calculate the smoothed probability of China’s inflation and deflation regime of the inflation rate. It turns out that in the high inflation regime, it obviously has the trend to get longer which can be the reference of monetary policy making. Analyzing the inflation process’s influence on the current macro monetary policy, it turns out that unsteady monetary policy is the main reason for the inflation rate regime switching. It’s the monetary policy and financial policy that cause or influence the switching among the inflation regime, so effectively applying the policy instrument and carrying out easy or tight monetary policy can effectively achieve the influence the inflation path, so as to boost the steady running of China’s economy. From this we can compare the economic policy in every stage with this fitting test so as tosum up the effective monetary policy for managing every inflation regime.
Currently, China is in the high inflation regime, it not only happens in China, but all the areas whose economy keeps on growing after the economic crisis. According to the newest published data, prices in Brazil raise 6%, Russian 10%, similarly, most areas in Asian except China, Indonesia 7%, India 9.5%, Singapore 5.5% and Hong Kong 3.6%. China’s central bank’s alert to hedge against inflation in 2010 is incredibly predicable. Our government should apply the proper tight monetary policy to restrain inflation, associating with the discriminatory loan scale to boost our economy to steadily and healthily develop.
In Chapter Four, we analyze and test the real cause and the nominal cause of China’s inflation, the nominal cause is the augment in the money supply, using the cointegration test the money supplement rate and inflation rate with the data from Jan.1983 to Dec.2010, we find that there is no cointegration relationship between the growth rate of money supply and the inflation rate. But the consumer demand growth rate has obvious Granger influence on the inflation rate, this means that China’s price level change is driven by both the nominal demand and real demand. So, while retraining inflation it’s much more effective to control the nominal factor and while managing deflation it’s better to apply the real factor. After recovering from the financial crisis, China’s economy and inflation both have a new trend for growth. Many scholars believe the current inflation is cost-push inflation. Having experienced the easy monetary policy during the financial crisis and the upward pressure on the RMB, the fluctuation of the nominal economic variable such as price level, interest rate level and exchange rate raise largely, increasing the role of monetary policy. This active nominal economy makes China successfully get out of the shadow of the financial crisis, but the sustaining easy monetary policy makes the recovery nominal economy much more active, this can be seen from that the M1 and M2 of 2010 which has grown by 40%. With the people’s inflation expectation after the recovery of economy and the obviously relative raise in price level in life make the nominal cause of inflation gradually increasing.
Chapter five tests the influence that China’s foreign reserve on inflation from the external factor.Leverage an analytic framework to analysis foreign reserve how to affect inflation based on Lucas supply function and some microeconomic assumptions. Based on the chosen sample, we find that foreign reserve has a significant impact for inflation in China. If the current foreign exchange reserves are increased by 1 percentage point, inflation will increase the impact of 0.1 basis points. Therefore, the foreign exchange reserves contribute half of the increase of inflation. Time-varying parameters of the test find that with the reforming on foreign exchange management and improving management level foreign exchange reserves’impact factor on inflation in China will rise first and then decrease. Under the current condition that inflation is getting more serious, we should restrain inflation in the following aspects. First, actively expand the domestic market, although the increasing domestic demand will raise the price level and boost inflation, but based on this chapter’s research we find that the most influence factor is the increasing foreign reserve rather than the demand-pull inflation. The expanded domestic demand is good to the capacity adjustment and change part of the export trade into domestic supply. Second, strictly control the price of major commodities that affect the rising of the price level, especially the price of commodities that related to the people’s livelihood, such as the grain, oil and electricity, etc. Third, actively develop the foreign trade that settled in RMB, reduce increased foreign reserve caused by the foreign trade. Fourth, actively regulate the exchange rate adjustment mechanism. There should be certain flexibility for China’s exchange rate, namely increasing certain uncertainty and investment risk, avoiding the excessive hot money along with the reducing exchange rate.
China’s government should manage the current exchange rate and foreign reserve regime, further reform the current exchange rate system. The exchange rate reform since July 21th, 2005, the fluctuation of exchange rate determined by the relationship of market supply and demand, associating with the controlled floating exchange rate system makes our economy develop healthily and steadily. Besides that, we can follow some examples that apply the objective exchange rate mechanism to set up an exchange rate target zone around "center exchange rate", which is conducive to constraint the fluctuation scope of exchange rate, help maintain exchange rate at a stable level and effectively strike the hot money which is targeting exchange rate.
This paper presents a new perspective on the Fisher hypothesis, which states a positive relationship between nominal stock returns and inflation. The new approach is based on a wave let multiscaling method that decomposes a given time series on a scale-by-scale basis. Empirical results show that there is a positive relationship between stock returns and inflation at the middle scale (1-month period) and at the longest scale (64-month period). This indicates that the nominal return results support the Fisher hypothesis for risky assets in d3 and s6 of the wavelet domain, while the stock returns do not play a role as an inflation hedge at the intermediate scales. The key empirical results show that time-scale decomposition provides a valuable means of testing the Fisher hypothesis. From the test, the fluctuation of price level can eventually affect the running of the real economy, so we should take measures to restrain inflation when inflation level is high to avoid the uncertainty of the economy.
At last, we analyze the influence that the monetary policy on inflation from the policy factor and make the empirical analysis. We find that the augment of the loan and the rising of the interest rate that caused by positive monetary policy can not increase the pressure of inflation. Therefore, we can use more prudent monetary policy to curb inflation, and ensure the growth of the economy. ?
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