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题名	我国物价波动趋势的实证研究——基于ARMA-GARCH族与SVAR模型; An Empirical Research on the Trend of Domestic Price Fluctuation——Based on ARMA-GARCH and SVAR Model
作者	叶诗苇
答辩日期	2010 ; 2010
导师	吴丽华
关键词	物价波动趋势 Trend of price fluctuations 物价预测 price forecasts 国内外冲击 domestic and foreign shocks
英文摘要	物价关系到国民经济的健康与发展，保持物价稳定一直是各国政府重要的宏观政策目标之一。2008年以来，我国的物价波动尤为剧烈，由于受到国内外各种冲击因素所影响，呈现出大起大落的态势，导致国内通货紧缩与通货膨胀交替出现。在这一经济背景下，对国内物价的波动趋势进行有效分析和预测，据此为物价调控提供政策依据显得尤为重要，并具有现实意义。 本文借鉴国内外的前沿理论和模型，采取定性与定量相结合的方法，从多角度对我国物价的波动趋势及特征进行深入研究。首先，本文对国内物价的趋势现状、长期特征及其影响因素进行定性分析。其次，在定性分析的基础上采用ARMA-GARCH族模型对CPI、EPI和RPI三种物价指数的波动特征进行定量刻画，并对其未来趋势做出预测分析。最后，本文利用SVAR模型研究物价在国内外因素冲击下的动态响应情况，通过运用脉冲响应函数和方差分解方法分析各种冲击因素对物价波动的影响效果和传导机制。 本文研究结果表明：（1）CPI、EPI和RPI均处于长期趋势略向下，但周期性波动向上的阶段。（2）RPI的波动具有较持久的集聚性；RPI和EPI的波动率更大程度上受前期波动冲击所影响，CPI的波动率更多来自于自身的惯性；CPI、EPI和RPI均可通过自我调节趋于稳定。（3）预测结果显示国内物价水平将在2010年持续同比上涨，但涨幅在下半年将逐渐减少，并且在2011年初存在趋势转向的可能。（4）CPI、RPI受货币政策的冲击作用最大，但响应衰减较快，而对国外因素的冲击则不敏感；EPI受国际供给价格的冲击最为显著，对货币政策的冲击也较敏感，响应衰减较慢。（5）CPI、RPI和EPI对于汇率冲击的脉冲响应均较为微弱，但能够反映出汇率通过直接、间接及货币三条渠道对国内物价存在传导效应。 针对研究结论，结合国内实际情况，本文提出：合理调节国内需求、加强物价监控、保障粮油供给和完善资源品价格机制、合理引导通胀预期、及时应对国际价格冲击、综合考察财政政策长期效应、建立通货膨胀目标制货币政策等建议。; Price is a key factor to the sound and stable development of the national economy and an important reference index of macroeconomic control. Keeping stable price level is the main objective of all government when they make macroeconomic policies. Since 2008, domestic price has fluctuated greatly .There has been a big rise and fall in the price caused by all kinds of factors at home and abroad. And it led to domestic deflation and inflation alternately. Therefore, it is extremely important to predict the trend of domestic price fluctuation correctly in such a context, which is of realistic significance to make effective policy to keep price stable and corresponding monetary policy and exchange rate regime. This dissertation gave a detailed and profound analysis of the trait of trend in price fluctuation from multiple angles through the theoretic modeling and empirical tests reference to frontier theory and method at home and aboard. Firstly, this dissertation gave trend analysis, long-term characters analysis, and influencing factor analysis of the current situation of price fluctuation. In addition, on the basis of qualitative analysis, it uses indexes of CPI, EPI and RPI to construct the model of ARMA-GARCH model to give a quantified analysis of the trait of price fluctuation and at the mean the time predicts its trend. Finally, this dissertation analyzes the dynamic response of domestic price in the shock of all kinds of factors at home and abroad using the model of SVAR, and analyzes the impact effect on price fluctuation and transmission mechanism of these factors using the impulse response function and variance decomposition method. This research showed that: (1) CPI, EPI and RPI are down slightly in a long-term trend, but they are all in the cyclical upward phase in present. (2) RPI has a durable volatility clustering; the volatility of RPI and EPI are greater impacted by the early influence of fluctuations, but the volatility of CPI is more likely from its own inertia; Also, CPI, EPI and RPI can be stabilized by self-regulation. (3) Predicted results show that the domestic price level will continue to rise in 2010, but the growth rate will gradually reduce in the second half year; and there is the possibility that the price level will reverse the trend in early 2011. (4) Both of CPI and RPI are impacted by the shock of monetary policy by the largest, but the responses decrease rapidly, while they are not sensitive to the impact of foreign factors; EPI has the most significant responses to the shock of international supply price, it is also sensitive to the monetary policy, and the responses decay slowly. (5) CPI, RPI and EPI have relatively weak pulse response to the shocks of exchange rate, but they are able to reflect the effect of exchange rate on the domestic prices through the direct, indirect, and monetary transmission. Combined with the status of domestic prices and the conclusion of the research, this paper presents：Reasonable adjustment of domestic demand and further strengthen price monitoring; Protect the supply of grain and oil products and improve the price mechanism of resources products; Reasonable guide inflation expectations; Timely response to the international price shocks; Comprehensive survey in the effect of fiscal policy; Establishing inflation targeting monetary policy and so on.; 学位：经济学硕士; 院系专业：经济学院金融系_国际金融学; 学号：20071151484
语种	zh_CN
出处	http://210.34.4.13:8080/lunwen/detail.asp?serial=25640
内容类型	学位论文
源URL	[http://dspace.xmu.edu.cn/handle/2288/40888]
专题	经济学院－学位论文
推荐引用方式 GB/T 7714	叶诗苇. 我国物价波动趋势的实证研究——基于ARMA-GARCH族与SVAR模型, An Empirical Research on the Trend of Domestic Price Fluctuation——Based on ARMA-GARCH and SVAR Model[D]. 2010, 2010.

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