Economic Theory and Business Management

Previous Articles     Next Articles

THE TIMEVARYING PASSTHROUGH EFFECT OF GLOBAL COMMODITY PRICE ON CHINESE INFLATION

WU Zhouheng1,LI Jinghong1,WANG Mingxin2#br#   

  1. 1. School of Economics and Trade, Guangdong University of Foreign Studies;
    2. International School of Business & Finance, Sun Yatsen University
  • Online:2018-09-19 Published:2018-09-16

国际大宗商品价格至中国上下游价格的时变传导效应*

吴周恒1,李静鸿1,王明炘2#br#   

  1. 1    广东外语外贸大学经济贸易学院电子信箱；    2    中山大学国际金融学院。
     
  • 基金资助:
    本文得到国家自然科学基金项目（71703029）、广东省自然科学基金项目（2016A030310354）的资助。

PDF (PC)

Abstract:

This paper applies world commodity price index and subcategories index, industrial production, money supply and domestic up and downstream prices, and the time varying parameter vector autoregression model, to investigate the dynamic passthrough effect of global commodity price on Chinese inflations. The results show as follows. First, there are significant changes in passthrough effect over time, which are the results of heterogeneous dynamic of different category of commodities and the heterogeneous transmission path to up and downstream prices. Second, from 1997 to 2017, the passthrough to upstream price level is stable. However, the passthrough to the downstream price level is dropping. Third, from 2012, the differences in passthrough effects explain the persistent deviation between PPI and CPI.

Key words: up and downstream price , global commodity price , timevarying passthrough effect , TVPVARSV model

摘要：

本文采用国际大宗商品价格、中国国内总产出、货币政策变量和上下游价格数据，通过构建多个TVPVARSV模型考察了1997—2017年国际大宗商品价格向中国上下游价格的时变传导效应。研究表明，由于受到来自国际生产资料和生活资料分类价格变动趋势异质性、上下游价格传导路径异质性和价格信息传导机制结构性变动的影响，国际大宗商品价格向中国上下游价格的传导效应呈现时变特征。国际大宗商品价格对国内上游价格传导稳定，但对下游价格传导长期下降，这解释了我国PPI和CPI走势的偏离现象。

关键词: 上下游价格 , 国际大宗商品价格 , 时变传导效应 , TVPVARSV模型