本文選題：金融形勢(shì)指數(shù) + 通貨膨脹　； 參考：《山西大學(xué)》2014年碩士論文

【摘要】：從20世紀(jì)30年代開始,通貨膨脹已成為全世界普遍關(guān)注的核心經(jīng)濟(jì)問題。改革開放30多年,我國(guó)共經(jīng)歷過四次較為嚴(yán)重的通貨膨脹,縱觀歷次通脹產(chǎn)生的原因,發(fā)現(xiàn)通脹現(xiàn)象都呈現(xiàn)出典型的時(shí)代特征,特別是21世紀(jì),金融體制改革的不斷深化,金融市場(chǎng)的不斷發(fā)展,使得貨幣金融因素成為影響通脹率高低的主要因素之一。但是在現(xiàn)實(shí)生活中不同的金融因素對(duì)通貨膨脹有著不同程度的影響,影響方向甚至完全相反。因此使用一個(gè)包含多個(gè)金融變量的綜合指標(biāo)研究其對(duì)通貨膨脹的影響將顯得很有必要。本文以2000年1月至2012年12月為樣本區(qū)間,基于VAR的廣義脈沖響應(yīng)函數(shù)方法測(cè)度了包括貸款余額、利率、匯率、房?jī)r(jià)和股價(jià)等多個(gè)金融變量的綜合指標(biāo)金融形勢(shì)指數(shù)FCI。在對(duì)FCI與通貨膨脹進(jìn)行相關(guān)性分析的基礎(chǔ)上,將FCI納入菲利普斯曲線模型,使用廣義矩估計(jì)方法對(duì)模型參數(shù)進(jìn)行估計(jì),并進(jìn)一步比較FCI與產(chǎn)出缺口等因素同時(shí)對(duì)通脹的沖擊大小�？紤]到金融危機(jī)的背景環(huán)境,分析了金融危機(jī)前后不同時(shí)期的FCI對(duì)通脹的沖擊效果的差異性。隨后考慮到區(qū)域發(fā)展的不平衡性,各區(qū)域經(jīng)濟(jì)開放度、金融發(fā)展水平的差異性,我們將全國(guó)分為東中西區(qū)域、經(jīng)濟(jì)開放度高低區(qū)域、金融發(fā)展水平高低區(qū)域,使用省際面板數(shù)據(jù)對(duì)金融形勢(shì)指數(shù)沖擊通脹做進(jìn)一步的穩(wěn)健性檢驗(yàn)。實(shí)證結(jié)果表明：(1)滯后半年的FCI與通脹相關(guān)性最強(qiáng),對(duì)通脹影響最大,FCI能準(zhǔn)確反映貨幣金融形勢(shì),包含了未來通脹的有用信息,能有效預(yù)測(cè)未來通貨膨脹。(2)在全國(guó)整體的關(guān)系分析中,發(fā)現(xiàn)FCI對(duì)當(dāng)期通脹有顯著影響,與產(chǎn)出缺口相比,其影響較大,但相比通脹慣性,影響較小；在分析FCI的滯后效應(yīng)時(shí),發(fā)現(xiàn)滯后半年的FCI對(duì)通脹沖擊最明顯,滯后一年的FCI對(duì)當(dāng)期通脹具有反轉(zhuǎn)效應(yīng)。(3)分別檢驗(yàn)金融危機(jī)前后不同時(shí)期的樣本,發(fā)現(xiàn)金融危機(jī)后的產(chǎn)出缺口與滯后半年的FCI對(duì)通脹的影響比金融危機(jī)前更顯著。金融危機(jī)后貨幣金融因素是通脹率變動(dòng)的主要原因。(4)滯后半年的FCI對(duì)通脹的影響具有區(qū)域效應(yīng)。滯后半年的FCI對(duì)東部地區(qū)的通脹沖擊小于中西部地區(qū),對(duì)經(jīng)濟(jì)開放度高的地區(qū)的通脹沖擊小于經(jīng)濟(jì)開放度低的地區(qū),對(duì)金融發(fā)展水平高的地區(qū)的通脹沖擊小于金融發(fā)展水平低的地區(qū)。所以經(jīng)濟(jì)發(fā)展水平、經(jīng)濟(jì)開放度、金融發(fā)展水平也是通貨膨脹的影響因素。
[Abstract]:Since the 1930 s, inflation has become the core economic problem that the whole world pays close attention to. After more than 30 years of reform and opening up, China has experienced four times of relatively serious inflation. Looking at the causes of each inflation, it is found that the phenomenon of inflation shows typical characteristics of the times, especially in the 21st century, with the continuous deepening of the reform of the financial system. With the continuous development of financial markets, monetary and financial factors have become one of the main factors affecting the inflation rate. However, in real life, different financial factors have different effects on inflation, even in the opposite direction. Therefore, it is necessary to use a comprehensive index with multiple financial variables to study its impact on inflation. This paper takes January 2000 to December 2012 as the sample interval, and measures the financial situation index based on the generalized impulse response function method of VAR, which includes loan balance, interest rate, exchange rate, house price and stock price. Based on the analysis of the correlation between FCI and inflation, FCI is incorporated into the Phillips curve model, and the parameters of the model are estimated by the generalized moment estimation method. And further compare the impact of FCI and output gap on inflation at the same time. Considering the background environment of the financial crisis, this paper analyzes the difference of the impact effect of FCI on inflation in different periods before and after the financial crisis. Then, considering the imbalance of regional development, the degree of economic openness and the difference of financial development levels in various regions, we divide the whole country into East, West and West regions, high and low regions with economic openness, and regions with high and low levels of financial development. Using interprovincial panel data to test the impact of financial situation index on inflation. The empirical results show that FCI with half a year lag has the strongest correlation with inflation, and it can accurately reflect the monetary and financial situation and contain useful information on future inflation. In the analysis of the relationship between FCI and current inflation, it is found that FCI has a significant effect on the current inflation, compared with the output gap, its influence is greater, but the impact is less than the inflation inertia. In the analysis of the lag effect of FCI, It is found that the FCI with a lag of half a year has the most obvious impact on inflation, and that the FCI with a lag of one year has a reverse effect on inflation in the current period. (3) the samples of different periods before and after the financial crisis are tested respectively. It is found that the impact of the output gap and FCI after the financial crisis on inflation is more significant than that before the financial crisis. After the financial crisis, monetary and financial factors are the main reason for inflation change. (4) the effect of FCI with half a year lag on inflation has a regional effect. The impact of FCI on inflation in the eastern region is smaller than that in the central and western regions, and in the areas with high economic openness is smaller than that in the regions with low economic openness. The impact of inflation on areas with high levels of financial development is smaller than areas with low levels of financial development. Therefore, the level of economic development, economic openness, financial development is also the impact of inflation factors.
【學(xué)位授予單位】：山西大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2014
【分類號(hào)】：F822.5;F832

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