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  本文關(guān)鍵詞： 通貨膨脹預期 貨幣政策 財政政策 VAR模型 預期管理　出處：《南京大學》2014年碩士論文　論文類型：學位論文

【摘要】：未預期到的通貨膨脹或通貨膨脹預期的不穩(wěn)定性會加大貨幣政策的持行成本,造成經(jīng)濟的大幅波動和社會福利的損失。2009年我國首次提出了“要管理好通脹預期”,并將預期管理列為了國務(wù)院工作的重點內(nèi)容。宏觀政策在我國經(jīng)濟運行中扮演著重要的角色,研究其對通脹預期的影響對預期管理具有極強的現(xiàn)實意義和參考價值。對此,本文一共研究了三個問題：一是如何準確度量和跟蹤公眾的通貨膨脹預期；二是找出影響通脹預期的關(guān)鍵變量；三是結(jié)合影響通脹預期的關(guān)鍵變量分析宏觀政策立場對通脹預期的動態(tài)影響,并進一步分析宏觀政策對通脹預期的影響機制。文章介紹了三類測算通脹預期的方法,對專家和居民的預期模式進行了檢驗和分析,在居民通脹預期序列的基礎(chǔ)上建立OLS模型研究了一系列可能影響通脹預期的因素,并用逐步回歸法和GMM估計法對結(jié)果進行了穩(wěn)健性檢驗。在OLS回歸結(jié)果的基礎(chǔ)上,文章建立了包含貨幣政策、財政政策、實際通脹、通脹預期4變量的VAR模型,并利用DAG技術(shù)和經(jīng)濟學原理對VAR模型的結(jié)構(gòu)矩陣進行了限制,對模型進行了脈沖響應(yīng)和方差分解,并進一步對宏觀政策影響通脹預期的機制進行了探析。研究結(jié)果表明專家預期更傾向于理性預期,但并非完全理性預期,居民預期更傾向于適應(yīng)預期。OLS模型結(jié)果顯示我國居民通脹預期的主要影響因素為實際通脹、貨幣政策和財政政策。VAR分析結(jié)果表明居民的通脹預期不但具有自我實現(xiàn)的特征還具有較強的慣性,財政政策對通脹預期的短期影響較大、時效性強,貨幣政策的短期影響較小但長期是不斷增強的。研究還發(fā)現(xiàn),我國的貨幣政策在一定程度上從屬于財政政策,相較于貨幣政策,財政政策對實際通脹波動的影響更大,佐證了財政政策的價格決定現(xiàn)象在我國的存在性。文章進一步對貨幣政策和財政政策影響居民通脹預期的機制進行討論,推測出財政赤字是通過財富效應(yīng)和貨幣政策兩條途徑影響居民的通脹預期。最后文章從穩(wěn)定實際通脹、貨幣政策與財政政策的搭配以及貨幣政策的前瞻性方面對預期管理提出了有益的建議。
[Abstract]:Unexpected inflation or the instability of inflation expectations increase the cost of holding monetary policy. In 2009, China put forward for the first time "to manage inflation expectations" for the first time. And the expected management has been listed as the key content of the work of the State Council. Macro policy plays an important role in the economic operation of our country. It is of great practical significance and reference value to study its impact on inflation expectation management. In this paper, three problems are studied: first, how to accurately measure and track the inflation expectations of the public; The second is to find out the key variables that affect inflation expectations; The third is to analyze the dynamic impact of macro-policy position on inflation expectations by combining the key variables that affect inflation expectations. The article introduces three kinds of methods to measure inflation expectation, and tests and analyzes the expectation model of experts and residents. On the basis of inflation expectation sequence, OLS model is established to study a series of factors that may affect inflation expectation. The results are tested by stepwise regression method and GMM estimation method. Based on the results of OLS regression, this paper establishes a method that includes monetary policy, fiscal policy and actual inflation. The VAR model with four variables of inflation expectation is used to limit the structure matrix of VAR model by using DAG technique and economic principle. The impulse response and variance decomposition of the model are carried out. The results show that the expert expectations tend to be more rational expectations, but not completely rational expectations. The result of OLS model shows that the main influencing factor of inflation expectation is real inflation. The result of monetary policy and fiscal policy. VAR analysis shows that the inflation expectation of residents not only has the characteristics of self-realization, but also has strong inertia. The short-term impact of fiscal policy on inflation expectations is greater, and the timeliness is strong. The short-term impact of monetary policy is small but the long-term is increasing. The study also found that China's monetary policy is subordinate to fiscal policy to a certain extent, compared with monetary policy. Fiscal policy has more influence on real inflation fluctuation, which proves the existence of price-determining phenomenon of fiscal policy in China. This paper further discusses the mechanism of monetary policy and fiscal policy affecting residents' inflation expectations. It is inferred that the fiscal deficit affects residents' inflation expectations through both the wealth effect and monetary policy. Finally, the article starts with the stabilization of real inflation. The combination of monetary policy and fiscal policy, as well as the forward-looking aspects of monetary policy, provide useful suggestions for prospective management.
【學位授予單位】：南京大學
【學位級別】：碩士
【學位授予年份】：2014
【分類號】：F123.16;F822.5

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相關(guān)期刊論文 前2條

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本文編號：1491569