统计研究 ›› 2011, Vol. 28 ›› Issue (3): 15-22.
货币和产出缺口能给通货膨胀提供有用的信息吗？
论文目的是确定货币、产出缺口和国际商品价格指数与我国通货膨胀之间是否有长期的关系，能否给我国通货膨胀预测提供除通货膨胀自身所具有的以外的信息。论文的研究方法主要是自回归分布滞后模型(ARDL)，基于自回归分布滞后模型进行通货膨胀与相关经济变量的长期关系检验，并进行预报实验，将预测结果与仅包括通货膨胀自身滞后因子的自回归模型的预测结果比较。实证结果显示：货币供给m2、m1、m0都与通货膨胀有显著的长期关系，但是只有m0含有通货膨胀自身没含有的信息，能给通货膨胀提供额外的信息；产出缺口、国际农产品价格指数分别与通货膨胀有长期的关系，含有通货膨胀自身没含有的信息，能给通货膨胀预测提供额外的信息。最后还提出一些相关建议。
Can the Money Supply and Output Gap Provide Useful Information for Inflation?
The paper aims to determine whether there are long-term relationship among the money supply, the output gap, the price index of international commodity and inflation in China, and whether they can provide the additional information for inflation forecasting besides inflation itself can afford. The research method is mainly the autoregressive distributed lag model (ARDL). Tests for the long-term relationship among the inflation and the relevant economic variables are conducted based on the autoregressive distributed lag model, and then the prediction experiments are given and the predicted results are compared with the predicted results gotten from the AR model including only the lag factor of inflation itself. The empirical results show: there are significant long-term relationships between whatever money supply m2, m1 or m0 and inflation, but only m0 contains the information what is not contained by the inflation itself and can provide the additional information to the inflation; the output gap and the price index of international agricultural products have the long-term relationship with inflation, and contains the information what is not contained by the inflation itself and can provide the additional information to the inflation. Finally, several suggestions are given.
摘要： 论文目的是确定货币、产出缺口和国际商品价格指数与我国通货膨胀之间是否有长期的关系，能否给我国通货膨胀预测提供除通货膨胀自身所具有的以外的信息。论文的研究方法主要是自回归分布滞后模型(ARDL)，基于自回归分布滞后模型进行通货膨胀与相关经济变量的长期关系检验，并进行预报实验，将预测结果与仅包括通货膨胀自身滞后因子的自回归模型的预测结果比较。实证结果显示：货币供给m2、m1、m0都与通货膨胀有显著的长期关系，但是只有m0含有通货膨胀自身没含有的信息，能给通货膨胀提供额外的信息；产出缺口、国际农产品价格指数分别与通货膨胀有长期的关系，含有通货膨胀自身没含有的信息，能给通货膨胀预测提供额外的信息。最后还提出一些相关建议。