摘要
本文构建包括货币政策和汇率因素的新菲利普斯曲线,采用时变参数向量自回归模型检验中国1992-2017年通胀波动的时变成因,并反推实现时变参数菲利普斯曲线的估计。研究结果表明,近年来央行钉住通胀目标的利率政策是有效的;但由于数量型货币政策对利率的影响相对有限,使得其对通胀的调节作用不具长期持久性。从时变角度看,财政扩张势必引发物价上涨,并形成供给冲击推动型通胀(1992-2001年和2008-2013年);但一旦转而实行稳健财政政策,开始着手从供给方治理通胀,则市场成本因素转而成为通胀的主要推手(2002-2007年和2014年至今),可见中国通胀具有明显的财政政策吸收效应。此外,由于汇率对利率和PPI影响的传导渠道断裂,现阶段不存在经汇率的输入型通胀。
This paper develops a new Phillips curve,with the inclusion of monetary policy and exchange rate,and then applies TVP-VAR to investigate the time-varying causes of inflation throughout the period spanning 1992-2017,and finally derives a time-varying parameter Phillips curve via back-steppingThe results show that the Central Banks interest rate policy pegged to inflation target is efficientOn the other hand,owing to the relatively weak impact of quantitative monetary policy on the nominal interest rate,there is only a short-term effect of quantitative monetary policy in regulating inflationFrom the time-varying perspective,fiscal expansion would lead to price increases and supply shock-driven inflation(for the periods 1992-2001 and 2008-2013)However,once the government implements prudent fiscal policies and deals with inflation from the supply side,the market cost then becomes a major driving force of inflation,such as that witnessed during 2002-2007 and 2014-2017Therefore,inflation has a significant absorption effect in response to fiscal policyFurthermore,due to the fracture of transmission channel from the exchange rate to the interest rate and the producer price index,no imported inflation via the exchange rate can be seen in recent period.
作者
陈创练
龙晓旋
姚树洁
Chen Chuanglian;Long Xiaoxuan;Yao Shujie
出处
《世界经济》
CSSCI
北大核心
2018年第4期3-27,共25页
The Journal of World Economy
基金
国家自然科学基金面上项目(71771093)
教育部人文社会科学研究规划基金项目(17YJA790009)
广东省自然科学基金项目(2017A03033417)资助
作者简介
陈创练:暨南大学金融研究所广州黄埔大道西601号510632,电子邮箱:chenchuanglian@aliyun.com。;龙晓旋:暨南大学金融研究所广州黄埔大道西601号510632,电子邮箱:sylvia_longxx@foxmail.com。;姚树洁:重庆大学经济与工商管理学院、宁波诺丁汉大学,电子邮箱:Shujie.Yao@nottingham.ac.uk。
