基于SVAR模型分析居民消费价格指数的外部冲击因素

持续高位的居民消费价格指数(以下简称CPI)使得货币与财政政策制定当局面临着很大的压力,而造成CPI高位运行的外部性因素更是给政策调控带来了很多不确定性。对于诸如人民币汇率变动、外汇储备变动以及国际市场大宗商品价格(以下简称CRBI)变动对国内通货膨胀冲击,采用结构变量自回归模型(SVAR)对CPI的外部性冲击因素进行分析,结果显示在短期内CRBI对CPI有一定的输入性影响,汇率变动有一定程度抑制作用,但长期这种作用会发生逆转;外汇储备的变动主要作用于国内货币供给,对CPI产生非常显著的正向冲击。

Analysis on the External Factors Influencing CPI Based on SVAR Model

with CPI remaining at high level,the currency and financial policies makers are under great pressure.The external factors such as RMB exchange rate change,foreign exchange reserves change and CRBI change add much uncertainty to policy regulation.The paper analyzes the external factors influencing CPI by using SVAR model and result shows: in a short term CRBI has certain import effect on CPI;exchange rate change can curb inflation in a relatively short period of time but this effect will reverse in long run;and foreign exchange reserves change,mainly acting on national money supply,has very significant positive effect on CPI.