货币政策与物价稳定的非线性动态关系——基于货币供应量的视角

摘要

采用2001-2011年货币供应量与物价水平的季度时间序列数据，通过非线性平滑转换模型对货币供应量与物价稳定之间的动态关系进行研究，结果表明：货币供应量与物价稳定之间存在着双向的格兰杰因果关系，并且这种关系可以通过非线性LSTR2模型表示；两者之间的非线性转换以时间为转换变量，转换分别发生在2003年的非典时期和次贷危机之后；我国物价水平主要受到其自身的影响，说明我国物价水平具有较强的惯性。%　　In this paper, we use the quarterly time series of money supply and price level in the 2001-2011 to study the dynamic relationship between them through a nonlinear smooth transition models. The results show that there exist two-way Granger causality between money supply and price stability and this relationship can be expressed by LSTR2. The LSTR2 model takes the variable of time as the transition variable, which happened around the outbreak of SARS and the subprime crisis respectively. Finally, the price level is mainly affected by itself in China, which implies that the price level has a strong inertia.