统计研究
統計研究
통계연구
Statistical Research
2012年
12期
69~76
,共null页
通货膨胀 市场冲击 BVAR模型 门限模型
通貨膨脹 市場遲擊 BVAR模型 門限模型
통화팽창 시장충격 BVAR모형 문한모형
Inflation; Impulse Response; BVAR model; Threshold Model
本文首先利用贝叶斯向量自回归（BVAR）模型，分析了通货膨胀对宏观经济的冲击响应及其程度。然后，利用门限模型验证了通货膨胀在不同变量作为门限变量情况下的门限效应。结果表明：通货膨胀对六个因素冲击的反应程度各异，其中，对流动性过剩的反应程度最强，对股票价格、产出缺口和国际油价的反应适度，对实际有效汇率和房价的反应较弱；股票价格、汇率和国际油价具有明显的门限特征，它们分别将通货膨胀分为高低两种区制状态。以上结果有利于我们更好地认识通货膨胀的反应机制，采用合理的经济政策应对通货膨胀。
本文首先利用貝葉斯嚮量自迴歸（BVAR）模型，分析瞭通貨膨脹對宏觀經濟的遲擊響應及其程度。然後，利用門限模型驗證瞭通貨膨脹在不同變量作為門限變量情況下的門限效應。結果錶明：通貨膨脹對六箇因素遲擊的反應程度各異，其中，對流動性過剩的反應程度最彊，對股票價格、產齣缺口和國際油價的反應適度，對實際有效彙率和房價的反應較弱；股票價格、彙率和國際油價具有明顯的門限特徵，它們分彆將通貨膨脹分為高低兩種區製狀態。以上結果有利于我們更好地認識通貨膨脹的反應機製，採用閤理的經濟政策應對通貨膨脹。
본문수선이용패협사향량자회귀（BVAR）모형，분석료통화팽창대굉관경제적충격향응급기정도。연후，이용문한모형험증료통화팽창재불동변량작위문한변량정황하적문한효응。결과표명：통화팽창대륙개인소충격적반응정도각이，기중，대류동성과잉적반응정도최강，대고표개격、산출결구화국제유개적반응괄도，대실제유효회솔화방개적반응교약；고표개격、회솔화국제유개구유명현적문한특정，타문분별장통화팽창분위고저량충구제상태。이상결과유리우아문경호지인식통화팽창적반응궤제，채용합리적경제정책응대통화팽창。
Firstly, we establish a Bayesian Vector Auto-regression （BVAR） model and analyze the impulse responses of inflation to macroeconomic factors and its intensity. In addition, we establish a Threshold model and analyze the threshold effects of inflation when different variables are used as threshold variables. Through the empirical researches, we find that the impulse responses of inflation to shocks from six factors are different. The temporary response to excess liquidity is the most strongest and those to stock price, output gap and oil price are moderate. Then the intensity responding to real exchange rate and house price are the weakest. The stock price, real exchange rate and oil price have obvious threshold characteristics, which can separately divide the inflation into high and low status. These findings help us understand and recognize the responding mechanism of inflation better. Thus we can take sound economic policies to deal with inflation.
