本文選題：VECM模型　切入點：CPI　出處：《復(fù)旦大學(xué)》2013年碩士論文

【摘要】：近年來我國的廣義貨幣供應(yīng)量M2一直以高于GDP的速度增長,截止2013年2月28日,廣義貨幣M2余額99.86萬億元,目前已破百萬億元人民幣。與此同時,我們看到的是我國房地產(chǎn)價格的持續(xù)攀升、居民消費價格水平的逐步走高以及股市的劇烈波動。 與國際水平相比較,我們明顯發(fā)現(xiàn)目前中國的M2/GDP是全世界最高的,因此我們認(rèn)為中國的房地產(chǎn)價格和居民消費價格存在一定的“貨幣現(xiàn)象”,中國的貨幣存在著嚴(yán)重的超發(fā)現(xiàn)象。 考慮到目前拉動中國經(jīng)濟(jì)三駕馬車之一的內(nèi)需持續(xù)不振以及高企的房價,我們有理由認(rèn)為高企的房價一定程度上抑制了消費,也就是說在中國房地產(chǎn)仍然存在著強烈的剛性需求,且購房支出在居民收入中的占比較大,人們需要在基本消費和購房消費兩者中做出一定的選擇。 我們還觀察到作為貨幣流向之一的中國股市,其漲跌與貨幣供應(yīng)量關(guān)聯(lián)度較小,因此有必要探究股市在廣義貨幣供應(yīng)量不斷增長背景下的自身波動特點。 本文選取2005年7月至2013年2月的月度數(shù)據(jù),基于VECM模型,對貨幣供應(yīng)量M2、居民消費價格指數(shù)CPI、70個大中城市新建住宅價格指數(shù)和上證綜合指數(shù)進(jìn)行VECM估計、脈沖響應(yīng)和方差分解。我們發(fā)現(xiàn)上述四個變量之間存在長期穩(wěn)定的均衡狀態(tài),貨幣供應(yīng)量長期偏離均衡狀態(tài),居民消費價格指數(shù)和房地產(chǎn)價格確實存在一定的“貨幣現(xiàn)象”,而股市不存在“貨幣現(xiàn)象”。另外我們發(fā)現(xiàn),房地產(chǎn)兼具剛性消費屬性和投資屬性,因此與居民基本消費品和股市投資之間均存在著替代關(guān)系,其價格波動成為影響后兩者價格波動的重要影響因素。而股市存在過度調(diào)整現(xiàn)象,且股市對其他三個變量的影響并不顯著,說明股市賺錢效應(yīng)較低,其劇烈的波動已經(jīng)使得資金降低對其投資興趣。根據(jù)我們發(fā)現(xiàn)的現(xiàn)象和原因,我們針對性地提出了相應(yīng)的政策建議。
[Abstract]:In recent years, the M2 of broad money supply in China has been increasing at a rate higher than that of GDP. As of February 28, 2013, the balance of M2 in broad money has reached 99.86 trillion yuan, which has now exceeded 100 trillion yuan. At the same time, What we see is the rising of real estate price, the rising of consumer price and the sharp fluctuation of stock market. Compared with the international level, we clearly find that China's current M2/GDP is the highest in the world. Therefore, we believe that there is a "monetary phenomenon" in real estate prices and consumer prices in China, and that there is a serious phenomenon of superdiscovery in Chinese currency. Given that domestic demand, one of the three main drivers of the Chinese economy, continues to be depressed and high house prices are high, we have reason to believe that high housing prices have to some extent dampened consumption. In other words, there is still a strong rigid demand for real estate in China, and the expenditure on housing purchase is relatively large in the income of residents, people need to make a certain choice between the basic consumption and the consumption of housing. We also observe that Chinese stock market, as one of the money flows, has less correlation with the money supply, so it is necessary to explore the fluctuation characteristics of the stock market in the context of the growing broad money supply. Based on the monthly data from July 2005 to February 2013, based on the VECM model, this paper estimates the money supply M2, the consumer price index (CPI), the newly built housing price index of 70 large and medium-sized cities and the composite index of Shanghai Stock Exchange. Pulse response and variance decomposition. We find that there is a long-term stable equilibrium state between the four variables, and the money supply deviates from the equilibrium state for a long time. The consumer price index and the real estate price of residents do exist certain "monetary phenomena", while the stock market does not have "monetary phenomena." in addition, we find that real estate has both rigid consumption and investment attributes. Therefore, there is a substitute relationship with the basic consumer goods and stock market investment, and the price fluctuation becomes an important factor affecting the latter two price fluctuations, while the stock market has the phenomenon of excessive adjustment. And the impact of the stock market on the other three variables is not significant, indicating that the stock market has a low profit effect, and its violent fluctuations have led to a decrease in the interest of funds in its investment. According to the phenomena and reasons we have found, We have put forward the corresponding policy suggestion pertinently.
【學(xué)位授予單位】：復(fù)旦大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2013
【分類號】：F224;F726;F299.23;F822.2;F832.51

【參考文獻(xiàn)】

相關(guān)期刊論文 前2條

1 劉忱;;基于VAR模型下的中國居民儲蓄與房地產(chǎn)價格關(guān)系分析[J];消費導(dǎo)刊;2010年05期

2 胡冉;;我國貨幣供給量變動對房價的動態(tài)影響分析[J];統(tǒng)計與決策;2009年23期

，

本文編號：1663446