本文關鍵詞： 金融狀況指數(shù) 貨幣因素 CPI 經濟增長　出處：《重慶師范大學》2014年碩士論文　論文類型：學位論文

【摘要】：傳統(tǒng)的貨幣數(shù)量論認為：在既定的產出水平和貨幣流通速度下,貨幣供應量是物價水平的唯一決定因素。但是隨著資本市場的不斷發(fā)展,這個結論不再準確。當增發(fā)的貨幣較多地流入虛擬經濟而較少的流入實體經濟時,在短期內可能會出現(xiàn)通貨膨脹率較低但貨幣增長率較高的情況,而且與此同時資產價格將停留在較高的水平并有繼續(xù)上漲的可能。2005年到2007年期間,中國的外匯儲備不斷高速積累,中央銀行因此釋放出大量的外匯占款,但這些外匯占款并沒有立即進入實體經濟,造成物價水平的上升,而是進入了樓市和股市,使得以房價和股價為代表的資產價格快速上漲。而2007年到2008年間,資金開始向實體經濟轉移,結果造成物價水平的快速上升,CPI同比一度達到了超過8%的水平。由此可見中央銀行在實施貨幣政策的時候,貨幣政策傳導途徑中的各種因素會對貨幣政策的效果施加影響。因此構建金融狀況指數(shù)對我國貨幣政策的制定有十分重要的意義。 本文選取了實際有效利率、實際有效匯率、房地產價格指數(shù),股權價格指數(shù),以及兩種不同的貨幣因素貨幣供應量和實際信貸余額作為變量,通過SVAR脈沖響應方法估計出每個變量對CPI的影響,進而測算出每個變量的權重,并以此構建出我國的金融狀況指數(shù)FCI1和FCI2。然后,對比分析所得的兩種金融狀況指數(shù)與CPI和經濟增長之間的關系。為了分析的需要,本文采用了線性圖形分析、格蘭杰因果檢驗分析、脈沖響應分析、預測分析四種分析方法。 通過實證分析發(fā)現(xiàn)：第一,實際有效利率,股權價格指數(shù),貨幣因素對CPI的影響比較顯著,在金融狀況指數(shù)FCI中所占的權重較高。這說明貨幣政策傳導渠道中利率、貨幣供應量和實際信貸余額發(fā)揮著較大的作用,而股市作為投融資渠道在貨幣政策的傳導過程正發(fā)揮著越來越重要的作用；第二,我國的金融狀況指數(shù)可以提前5期預測CPI的變化,能夠解釋40%以上的CPI的變化。而且相比較而言以實際信貸余額作為貨幣因素構建的FCI2有更好的預測效果,這說明金融狀況指數(shù)具有貨幣政策指示器的作用,能夠成為央行制定貨幣政策的參考量；第三,我國的金融狀況指數(shù)可以提前1期預測經濟增長率的變化,只能夠解釋15%左右的經濟增長率的變化,而且以實際信貸余額作為貨幣因素構建的FCI2預測效果較好。這說明GDP統(tǒng)計涵蓋的因素更加豐富,因而金融狀況指數(shù)不能有較好的預測效果。
[Abstract]:The traditional theory of monetary quantity holds that money supply is the only determinant of price level under the fixed output level and the velocity of money circulation. However, with the development of the capital market, This conclusion is no longer accurate. When additional money flows more into the virtual economy and less into the real economy, there may be lower inflation but higher monetary growth rates in the short term. At the same time, asset prices will remain at a relatively high level and there is a possibility that they will continue to rise. Between 2005 and 2007, China's foreign exchange reserves continued to accumulate at a high speed, resulting in the Central Bank releasing a large amount of foreign exchange holdings. But instead of immediately entering the real economy, these foreign exchange hikes have led to rising prices in the housing and stock markets, which have led to a rapid rise in asset prices, as represented by house prices and stock prices. And between 2007 and 2008, The capital began to move to the real economy, resulting in a rapid rise in the price level, which reached a level of more than 8% year-on-year. Thus, it can be seen that when the Central Bank implemented monetary policy, All kinds of factors in the transmission of monetary policy will influence the effect of monetary policy, so it is very important to construct the index of financial condition for the formulation of monetary policy in China. This paper selects real effective interest rate, real effective exchange rate, real estate price index, equity price index, and two different monetary factors money supply and actual credit balance as variables. The influence of each variable on CPI is estimated by SVAR impulse response method, and then the weight of each variable is calculated, and the index of financial condition FCI1 and FCI 2 are constructed. Then, In order to analyze the relationship between the two kinds of financial condition index and CPI and economic growth, this paper adopts four analysis methods: linear graphic analysis, Granger causality test, impulse response analysis and prediction analysis. The empirical analysis shows that: first, the real effective interest rate, equity price index and monetary factors have a significant impact on CPI, and account for a high weight in the financial condition index FCI, which indicates that the interest rate in the transmission channel of monetary policy is higher than that in the monetary policy transmission channel. Money supply and actual credit balance play a greater role, and the stock market as a channel of investment and financing is playing a more and more important role in the transmission process of monetary policy. The financial condition index of our country can predict the change of CPI in five periods ahead of time, and can explain the change of CPI over 40%. Moreover, compared with the FCI2 constructed with the actual credit balance as the monetary factor, it has better forecasting effect. This shows that the financial condition index has the function of a monetary policy indicator and can be used as a reference for the central bank to formulate monetary policy. Thirdly, the financial condition index of our country can predict the change of economic growth rate in one period in advance. It can only explain the change of the economic growth rate of about 15%, and the FCI2 forecast based on the real credit balance as monetary factor is more effective. This shows that the GDP statistics cover more factors. Therefore the financial condition index cannot have the good forecast effect.
【學位授予單位】：重慶師范大學
【學位級別】：碩士
【學位授予年份】：2014
【分類號】：F832;F726;F124

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