不同货币政策下我国物价水平的多元回归及Granger因果性分析 The Multiple Regression and Granger Cau-sality Analysis of China’s Price Level under Different Monetary Policy

Abstract

本文通过对1990~2000年及1998~2013年两阶段时间序列进行多元回归分析，对比了两阶段不同货币政策下稳定物价的效果，并对货币供应量、CDP增长和汇率三个因素与物价进行了Granger因果性分析。研究结果表明两个阶段货币政策对物价的影响效果不同，紧缩性的货币政策应对通胀有较好的效果，而适度宽松的货币政策对拉动经济以及提高人民消费水平的效果较小；除货币政策影响外，第一阶段经济增长对物价的影响不显著，汇率变动对物价有正向作用。第二阶段经济增长与物价呈现正相关关系，而汇率与物价变动方向相反。Granger因果检验结果得货币供应量M2增速、GDP都是CPI的Granger原因，且GDP是M2的Granger原因。 In this paper, through the analysis of the two stages of time series regression in the year between 1990 to 2000 and in the year between 1998 to 2013, we compared the effect of price stability in the two different stages of monetary policy and then made a Granger Causality analysis of money supply, CDP growth, exchange rate and price index. Research results showed that the effect of two stages of monetary policy on the price was different, that was to say the tightening of monetary policy had a good effect against inflation, and the effect of moderate monetary policy on the economy and improving people’s consumption level was smaller; besides the influence of monetary policy, the first phase of economic growth had no marked impact on prices, however the exchange rate had a positive effect on prices. The second phase of economic growth and price presented positive correlation, while the exchange rate and price change were in opposite directions. The results of Granger causality test showed that money supply growth rate, GDP were the Granger cause of CPI, and GDP was the Granger reason of M2.