利率上升是抑制通货膨胀还是加剧通货膨胀？
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| Title | Can raising interest rate reduce inflation or increase inflation?
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| 作者 | 江春 赵秋蓉 陈永 |
| Author | Jiang Chun，Zhao Qiurong and Chen Yong |
| 作者单位 | 武汉大学经济与管理学院 |
| Organization | School of Economics and Management, Wuhan University |
| 作者Email | jiachun@whu.edu.cn；whuemsqz@foxmail.com；chen.yongjd@163.com |
| 中文关键词 | 利率 通货膨胀 供给面效应 需求面效应 滚动格兰杰因果检验 |
| Key Words | Whether raising interest rates increases inflation or curbs inflation is a big issue not only in theory but also in reality. Clarifying the relationship between interest rates and inflation will carry forward the interest rate liberalization and policy making. After verifying the instability of VAR model, this article uses LR static based on residual modification and rolling Granger causality test to explore the relationship between interest rates and inflation using monthly data from 1996-2013. |
| 内容提要 | 利率上升是抑制通货膨胀还是加剧通货膨胀？这在国内外实践中都能找到例证，而且，这一问题在理论上也一直存在争议。为厘清中国利率变动与通货膨胀之间的关系，从而为中国的利率市场化改革及利率政策的制订提供依据，本文基于1996年到2013年的月度数据，在验证VAR模型参数不稳定的前提下，运用基于残差修正的LR统计量和滚动格兰杰因果检验探究了利率与通货膨胀的因果关系。本文发现：在中国，利率是通货膨胀的格兰杰原因，并且样本期内大部分时间利率与通货膨胀都保持负向关系，即利率上升能够抑制通货膨胀，利率的需求面效应在中国占主导地位，但利率对通货膨胀的抑制作用并不是很强，中国的利率对通货膨胀的负向平均影响系数仅为-0.1%。而在中国低迷或中国经济受国外经济衰退影响明显时，则利率与通货膨胀保持正向关系，且利率对通货膨胀的正向平均影响系数为0.18%，这时，利率上升抬高物价的作用较显著，利率的成本渠道效应或供给面效应大于需求面效应。需要指出的是，中国的利率与通货膨胀之间所呈现的以上关系是在中国现有的体制基础上形成的，至于中国今后的利率与通货膨胀之间的关系则取决于中国下一步的经济及金融改革状况。 |
| Abstract | Whether raising interest rates increases inflation or curbs inflation is a big issue not only in theory but also in reality. Clarifying the relationship between interest rates and inflation will carry forward the interest rate liberalization and policy making. After verifying the instability of VAR model, this article uses LR static based on residual modification and rolling Granger causality test to explore the relationship between interest rates and inflation using monthly data from 1996-2013. The paper found out that China’s interest rate is Granger cause of inflation and they keep negative relationship during most of the sample period except the period influenced by the global financial crisis, that is, raising interest rates can bring down the inflation, indicating the demand-side effects is dominating. The average negative impact of interest rate on inflation is only about -0.1% while the positive coefficient is 0.18%, implying that the reduction influence of interest rate on inflation is not strong and the supply-side effect (cost channel effect) is relatively more significant than demand-side effect when there is an economic downturn or foreign economic recession shock. It should be noted that the relationship between interest rates and inflation presented above is formed under the exiting system of China and the future relationship depends on China's further economic and financial reforms. |
| 文章编号 | WP696 |
| 登载时间 | 2014-09-11 |
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