全球金融危机爆发以来,中国实施的积极财政政策和适度宽松的货币政策虽然有效制止了实体经济的下滑,但也导致物价水平持续攀升,通胀预期不断增强。特别是大量信贷资金直接或间接流入股市和楼市,资产价格持续上涨,已经对实体经济产生了显著影响。本文选取中国1998-2010年的月度数据,运用协整和误差修正模型及格兰杰因果检验,对我国通货膨胀与股价、房价等资产价格相关性进行研究。研究表明,我国资产价格与通货膨胀之间存在长期均衡关系,且对其短期波动有明显的制约作用。其中,通货膨胀对房地产价格的波动更为敏感,两者的因果关系因滞后期不同差别较大。 Since the outbreak of the global financial crisis, China’s proactive fiscal policy and its moderately easy monetary policy have effectively stopped the real economy from plummeting, but have also led to the continuous rise in price level and the continuous increase in inflation expectation. In particular, a large amount of credit funds directly or indirectly flow into the stock market and the property market. The continuous rise in asset prices has had a significant impact on the real economy. This paper selects the monthly data of China from 1998 to 2010, and uses the cointegration and error correction model and Granger causality test to study the correlation between inflation and stock prices such as stock price and house price. The research shows that there is a long-term equilibrium relationship between asset price and inflation in our country, and obviously restricts its short-term fluctuation. Among them, inflation is more sensitive to fluctuations in real estate prices, the causal relationship between the two due to different lag differences.