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本文运用VAR方法,考察了价格水平、经济增长与货币政策之间的长期动态关系。结果表明价格水平、货币政策与经济增长之间存在协整关系。价格水平(CPI)、经济增长(GDP)以及货币政策(M2)均有惯性,其中经济增长(GDP)惯性表现最强。高的经济增长将推高价格水平;从长期看,高的价格水平将对经济增长产生负效应。价格水平和经济增长是货币政策关联性很强的影响因素,但价格水平对货币政策的影响更大。根据马尔科夫链平稳状态概率值发现CPI高于6%的概率较大,并且一旦进入此状态则会保持较长的持续期。
This paper uses VAR method to examine the long-term dynamic relationship between price level, economic growth and monetary policy. The results show that there is a cointegration relationship between price level, monetary policy and economic growth. Both the price level (CPI), economic growth (GDP) and monetary policy (M2) have their own inertia, of which economic growth (GDP) has the strongest inertia. High economic growth will push up the price level; in the long run, high price levels will have a negative effect on economic growth. The price level and economic growth are the most influential factors of monetary policy, but the price level has a greater impact on monetary policy. According to the Markov chain steady-state probability value, it is found that the probability of CPI higher than 6% is larger, and a longer duration will be maintained once entering this state.