Asset price fluctuation will affect aggregate demand and inflation through different channels such as residents' wealth. However, there needs further research of the impact direction, intensity and time-varying characteristics. This paper employed a time-varying parameters vector autoregressive model with latent threshold, empirically studied the time-varying characteristics of the impact of real estate price and stock price on inflation. The empirical results show that both real estate and stock asset price have significantly positive impact on inflation, and the changes of impact strength show pro-cyclical time-varying property. In "boom period" of the development of asset market, the impact strength increases; While in the "downturn", its influence weakens or even invalids .When the operation cycles of stock market and real estate market mismatch, the effect on inflation will be more complex and uncertain.

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