国际金融研究
國際金融研究
국제금융연구
Studies of International Finance
2012年
11期
23~29
,共null页
资产价格 通货膨胀 状态空间模型
資產價格 通貨膨脹 狀態空間模型
자산개격 통화팽창 상태공간모형
Asset Price; Inflation; State Space Model
资产价格变动会通过消费等渠道来影响CPI，但资产价格波动信息的解读水平有待提高．有必要进一步研究和确定资产价格对通货膨胀的影响力度和影响方向。本文回顾了已有文献．通过一个理论模型论述资产价格影响通货膨胀的机理，并在此基础上运用状态空间模型实证分析资产价格对通货膨胀的影响。结果表明，房价对通货膨胀存在显著影响．但没有证据表明股价影响到物价水平。
資產價格變動會通過消費等渠道來影響CPI，但資產價格波動信息的解讀水平有待提高．有必要進一步研究和確定資產價格對通貨膨脹的影響力度和影響方嚮。本文迴顧瞭已有文獻．通過一箇理論模型論述資產價格影響通貨膨脹的機理，併在此基礎上運用狀態空間模型實證分析資產價格對通貨膨脹的影響。結果錶明，房價對通貨膨脹存在顯著影響．但沒有證據錶明股價影響到物價水平。
자산개격변동회통과소비등거도래영향CPI，단자산개격파동신식적해독수평유대제고．유필요진일보연구화학정자산개격대통화팽창적영향력도화영향방향。본문회고료이유문헌．통과일개이론모형논술자산개격영향통화팽창적궤리，병재차기출상운용상태공간모형실증분석자산개격대통화팽창적영향。결과표명，방개대통화팽창존재현저영향．단몰유증거표명고개영향도물개수평。
Asset price fluctuation may affect CPI through different channels such as consumption. However, nowadays there is still huge room for people to better explain the information related to asset price fluctuation, making it necessary to further study and identify the extent and direction of the impact exerted by asset price on inflation. This paper, building on existed literature, adopts a theory model to elaborate on the mechanism of asset price affecting inflation. Based on this, it also uses State Space Model to empirically analyze the impact of asset price changes on inflation. The results show that the impact of house price on inflation is significant while no evidence shows that the stock price may affect the inflation data.
