华东师范大学(哲学社会科学版) ›› 2010, Vol. 42 ›› Issue (2): 70-76.

• ●金融问题探讨 • 上一篇    下一篇

应对通胀预期的有效措施：源自资产市场价格波动的证据

李 巍   

  1. 华东师范大学商学院
  • 收稿日期:1900-01-01 修回日期:1900-01-01 出版日期:2010-03-25 发布日期:2010-03-25
  • 通讯作者: 李 巍

Effective Measures to Deal with Inflation, Based on the Empirical Analysis of Asset Market Volatility

Li Wei   

  1. Business School of East China Normal University
  • Received:1900-01-01 Revised:1900-01-01 Online:2010-03-25 Published:2010-03-25
  • Contact: Li Wei

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摘要： 研究通货膨胀率、中房上海综合指数收益率、广义货币增速以及上海股票综合指数收益率之间是否存在稳定的长期均衡关系，对于应对通胀具有重要的理论与现实意义。通过建立相关模型所进行的实证分析结果显示，在1999年10月至2003年3月的样本观察期，股票指数收益与通货膨胀率之间存在长期协整关系，且股票价格上涨会导致国内物价水平的降低；在2003年4月至2009年9月的样本观察期，中房指数收益率与国内物价水平间建立起稳定的长期均衡关系，房地产市场价格的持续上升会引致国内通货膨胀率的明显提高，影响程度为19.60%。责是之故，为降低通胀预期和未来可能出现的高通货膨胀，平抑房地产价格的大幅攀升就不失为一项合意的经济调控策略。

关键词: 通货膨胀, 房地产市场, 资产市场价格

Abstract: We have established a VAR model consisting of price changes in real estate, domestic inflation, money supply and composite indexes of Shanghai security market. The paper systematically analyzes the short-term attack and the long-term impact based on the monthly data according to the two sample periods in china. The results suggest that, in the long run, the real estate price volatilities have not entered the co-integration relation and exert no impact on inflation in the first sample period. While the interaction between inflation and real estate price index volatilities would formulate a long-term co-integration relation during the second sample period. Aimed to control the price level and lower the expectation of inflation, it may be desirable to stabilize the real estate market prices effectively by the means of the various macroeconomic policy.

Key words: Inflation, Real Estate Market, Empirical Analysis