国际大宗商品期货价格与中国物价变动的关系研究——基于CRB指数的实证分析

利用格兰杰因果检验对国际大宗商品期货(CRB)与我国的居民消费价格指数(CPI)、工业品出厂价格指数(PPI)及原材料、燃料、动力购进价格指数(RPI)的引导关系进行分析,发现CRB对RPI、CI强对PPI、RPI对PPI的传导关系通过了因果检验,传导关系明显,其中CRB不仅影响RPI,也直接影响PPI,在滞后1到6期的传导关系均为显著,RPI与PPI则表现为双向相互引导关系.而CRB对CPI的传导和PPI对CPI的传导未通过因果检验,传导关系不显著.在此基础上建立了预测月度PPI指数的模型,发现期货价格指数可以作为通货膨胀预警和宏观经济监测的先行指标.     

总体经验模式分解视角下的PPI与CPI波动特征及传导关系研究

本文采用总体经验模式分解（EEMD）和计量分析的方法,对国内PPI和CPI的波动特征和传导关系进行了深入研究。结果显示,二者均由高频分量、低频分量和趋势项构成,其中,高频分量体现的是国内物价中随机波动的信息;低频分量传递的是一定时期内的物价变动信息;趋势项反映的是物价中不轻易变动的信息。对上述结构分量的Granger因果检验表明,PPI和CPI之间的传导关系主要受低频分量和趋势项影响：低频分量中只存在PPI到CPI的单向因果关系;而在趋势项中存在不对称的传导方式,即在1%的水平上CPI到PPI存在单向因果关系,在5%的水平上二者互为因果。     

通货膨胀国际间传导对我国影响的实证检验

本文运用时间序列分析方法,实证检验了欧盟和美国的价格冲击向我国传导的总体效应.实证结果表明,各国物价存在明显的协整关系,脉冲响应分析和方差分解的结论进一步刻画了外国通胀冲击的特征.协整变结构检验证实了近年来通货膨胀国际传导效应显著增强.本文还利用格兰杰因果检验,考察了通货膨胀的各条跨国传导路径,研究发现,消费品和原材料价格传导路径非常通畅,而通过国际储备影响货币供应量的传导渠道,以及总供给-总需求传导渠道不能得到实证支持.     

PPI与CPI关系的实证研究

文章选取1996年1月~2011年2月间我国月度CPI和PPI数据进行了实证分析。结果表明CPI和PPI间存在长期均衡关系,即协整关系,且CPI与PPI呈正相关关系,而且系数较大,表明PPI对CPI具有显著影响。格兰杰因果检验表明,CPI与PPI间具有相互促进作用。但从短期来看,CPI的变动受自身的影响较大,且与PPI呈负相关关系。     

PPI与CPI关系的实证研究

文章选取1996年1月～2011年2月间我国月度CPI和PPI数据进行了实证分析。结果表明CPI和PPI间存在长期均衡关系,即协整关系,且CPI与PPI呈正相关关系,而且系数较大,表明PPI对CPI具有显著影响。格兰杰因果检验表明,CPI与PPI间具有相互促进作用。但从短期来看,CPI的变动受自身的影响较大,且与PPI呈负相关关系。     

新常态下PPI与CPI之间产业链价格传导机制研究

中国经济进入新常态以来,生产者价格指数（PPI）与消费者价格指数（CPI）的走势出现了明显分化,直观上说明两者之间的传导机制发生了变化。本文基于产业链价格的传导视角,利用非线性格兰杰因果关系检验的方法对比分析新常态前后中国PPI与CPI传导机制的变化。研究发现,新常态之前中国PPI与CPI之间产业链价格的传导机制较为通畅,主要表现为上游生产环节的价格变动可以有效传导至中游流通环节进而带动下游消费环节的价格变动。新常态以来,中国PPI与CPI的传导机制不通畅,主要是由产业链的中游流通环节向下游消费环节的价格传导受阻引起的。其直接原因是有效需求不足,消费增长乏力;根本原因是产业结构低端化,这导致中游去产能进程缓慢,进一步加剧了有效需求不足的问题。由于产业链价格的传导机制失效,未来中国PPI与CPI走势的分化可能是长期现象,因此货币政策在稳定价格时就不能只关注CPI,应将PPI等其他重要的价格指数也纳入指标体系中,确保价格总水平的基本稳定。     

解读CPI和PPI

本文分析了CPI与PPI的指标内涵以及两者间的传导关系,认为CPI与PPI密切相关,在经济发展的不同阶段,两者间存在正向传导和逆向传导。2009年,在大力刺激内需以及政府进行资源价格改革的宏观背景下,CPI与PPI将在下滑后逐步乞稳并回升。     

基于向量自回归模型的北京居民消费价格指数实证研究

本文以货币数量论和需求供给模型为理论依据,借助计量经济学模型,借鉴前人研究成果,选取北京市的居民消费价格指数(CPI),工业品出厂价格指数(PPI),原材料、燃料、动力购进价格指数(MPI)和货币供应量(M2)的月度数据,通过协整检验验证了货币供应量与CPI之间存在长期稳定的关系,但短期内影响较弱;应用向量自回归模型(VAR)建模分析,得出CPI对自身的影响程度远大于其他变量,M2对CPI的影响存在2个月的时滞;通过脉冲响应函数和方差分解得出MPI对北京市CPI变动有较大影响。根据模型计算出2013年全年12个月的CPI预测值,预测2013年全年CPI增速为4.48%,今年重质量、增效益、控物价的形势不容乐观。     

解读CPI和PPI

本文分析了CPI与PPI的指标内涵以及两者间的传导关系,认为CPI与PPI密切相关,在经济发展的不同阶段,两者间存在正向传导和逆向传导.2009年,在大力刺激内需以及政府进行资源价格改革的宏观背景下,CPI与PPI将在下滑后逐步乞稳并回升.     

邯郸市PPI变化对CPI的影响研究

本文从工业生产者出厂价格指数(PPI)波动对CPI的影响角度,运用一般经济学理论,采用定量分析与定性分析相结合的方法,剖析了PPI与CPI之间的内在关系,探究PPI对CPI的影响程度及影响方式;从历史演变的角度,分析了PPI与CPI之间的传导关系、PPI对CPI影响的着力点及邯郸市PPI与CPI之间的变动关系。     

浅析国内商品房价格的持续上涨

近年来,国内商品房价格持续上涨,究其原因,笔者认为房价持续上涨是诸多因素共同作用的结果,本文将从中国城市化进程的加快、商品房固有的非替代性等方面进行论述。就商品房价格上涨这一现象结合城市与区域经济课程以及城市管理、经济地理学等其他专业课及经济学的相关课程的有关内容展开分析,并提出建议。     

Investigating properties of commodity price responses to real and nominal shocks

This paper studies dynamic adjustments of 49 world commodity prices in response to innovations in the nominal exchange rate and the world real GDP. After we estimate the dynamic elasticity of the prices with respect to these shocks, we obtain the kernel density of our estimates to establish stylized facts on the adjustment process of the commodity price toward a new equilibrium path. Our empirical findings imply, on average, that the law of one price holds in the long-run, whereas the substantial degree of short-run price rigidity was observed in response to the nominal exchange rate shock. The real GDP shock tends to generate substantial price fluctuations in the short-run because adjustments of the supply can be limited, but have much weaker effects in the long-run as the supply eventually counterbalances the increase in the demand. Overall, we report persistent long-lasting effects of the nominal exchange rate shock on commodity prices relative to those of the real GDP shock.     

Estimating the Competitive Storage Model with Trending Commodity Prices

We present a method to estimate jointly the parameters of a standard commodity storage model and the parameters characterizing the trend in commodity prices. This procedure allows the influence of a possible trend to be removed without restricting the model specification, and allows model and trend selection based on statistical criteria. The trend is modeled deterministically using linear or cubic spline functions of time. The results show that storage models with trend are always preferred to models without trend. They yield more plausible estimates of the structural parameters, with storage costs and demand elasticities that are more consistent with the literature. They imply occasional stockouts, whereas without trend the estimated models predict no stockouts over the sample period for most commodities. Moreover, accounting for a trend in the estimation implies price moments closer to those observed in commodity prices. Our results support the empirical relevance of the speculative storage model, and show that storage model estimations should not neglect the possibility of long‐run price trends. Copyright © 2016 John Wiley & Sons, Ltd.     

China‐commodity nexus at the heart of global upturn

• ? The China‐commodity nexus has been at the heart of the global upturn in trade and industry. It could directly and indirectly account for as much as 70% of the recovery since mid‐2016, based on our analysis. We think this nexus will continue to support world growth in the near term, but the global upturn is vulnerable to moderating Chinese growth and slippage in commodity prices.
• ? China has directly accounted for around a third of the upturn in world trade, similar to the contribution of G7 countries. But adding in indirect effects, China's influence is likely to have been much more significant. Stronger Chinese demand has contributed to an improvement in the trade performance of its Asian trading partners, commodity exporters and other advanced economies.
• ? Using a model simulation that introduces positive shocks to imports in “greater China” and to commodity prices (based on the scale we have seen since mid‐2016), our top‐end estimate for China's contribution to the upturn in world trade is around 70%.
• ? The simulation points to especially strong improvements in output and exports for economies such as South Korea, Japan, Malaysia and some commodity exporters. This broadly matches the pattern of performance seen over recent months, though commodity exporters' performance has been quite mixed.
• ? G7 investment growth is likely to have played only a modest role in the recent global upturn. But Japan is an exception, while upgrades to investment forecasts for South Korea, Taiwan and Hong Kong have also been large.
• ? A 1% rise in commodity prices could raise commodity exporters' investment by 0.3–0.6%, based on our analysis. As a result, there could be additional improvement in commodity exporters' investment this year, supporting world growth. However, with our forecasts suggesting that commodity prices are set to slip further over the coming quarters, this boost could prove short‐lived.

     

The Effect of Variation in High-level Domestic Drug Enforcement on Variation in Drug Prices

A primary goal of high-level domestic drug enforcement is to raise retail prices in the hope that this will, in turn, reduce consumption. Analyzing data from the U.S. Drug Enforcement Administration shows that there is no Granger-casual relationship between changes in enforcement and changes in cocaine and heroin prices except when enforcement is measured in terms of numbers of seizures. Even in the case, enforcement is not found to increase retail prices. Instead, evidence is found of a negative relationship. Why there might be such a negative relationship deserves further exploration.     

Price effects of steel commodities on worldwide stock market returns

We analyze the price effects of steel commodities on stock market returns in emerging and developed economies. These commodities have recently attained increased media exposure due to the rise in the U.S. steel import tariffs, which pose the threat of reducing global demand for steel products and, consequently, lowering prices abroad. However, little has been investigated on the impact of steel commodity prices on worldwide stock market returns. By performing structural VAR and GARCH techniques on a weekly-frequency time series from 2002 to 2015, we find positive and statistically significant effects of linear and non-linear steel commodity price shocks on real stock returns in the commodity markets. In the highly diversified financial markets such as U.S. and Germany, real stock returns do not significantly respond to steel commodity price shocks, although we find highly significant positive responses from developed economies such as Australia, Japan and South Korea. Results are robust to different model specifications. Our evidence suggests that higher tariffs on steel imports represent a larger disadvantage to commodity markets which are more largely impacted by steel commodity prices. We provide economic policy implications based on recent literature.     

Commodity-price volatility and macroeconomic spillovers: Evidence from nine emerging markets

The recent decade has witnessed wild swings in global commodity prices, with large increases preceding the Global Financial Crisis and steep declines following the crash. Many emerging markets find themselves destabilized by these fluctuations, not only when price increases lead to currency appreciations and reduced competitiveness, but also when price decreases cause capital outflows and deteriorations in the balance of payments. This study examines the volatility processes of six major commodity prices, before applying Multivariate GARCH analysis to examine spillovers among important commodity prices and output, exchange rates, interest rates and inflation in major emerging markets. While each commodity and each country behaves differently, we find that Chile is most closely tied to the copper price, and Indonesia to oil and tin, while neighbors such as Brazil and the Philippines are less affected. Perhaps surprisingly, Russia is found to be highly insulated from fluctuations in world oil prices.     

Prices and Wages

Inflationary pressures cooled over the latter months of 2013, with CPI inflation finally moving back to the 2% target for the first time in four years in December. The slowdown in inflation was largely a function of base effects; big rises in food prices in the autumn of 2012 were not repeated last year and increases in domestic energy bills, while still very large, were also lower than in the previous year. In addition, the impact of higher university tuition fees was smaller in 2013 than in 2012, which also helped to slow inflation a little…     

Forecasting stock prices with commodity prices: New evidence from Feasible Quasi Generalized Least Squares (FQGLS) with non-linearities

The complexities in modern stock markets make it imperative to unravel the possible predictors of their future values. This paper thus provides insights into the predictability of stock prices of the BRICS countries with large dependence on commodities either for foreign exchange earnings or industrial while accounting for the role of asymmetries. Essentially, empirical evidence abound for the high volatility in world commodity markets, thus making us to determine if positive and negative changes in commodity prices predict stock prices differently. In addition, unlike the traditional forecast models, our choice of forecast models additionally addresses certain statistical features, including conditional heteroskedasticity, serial dependence, persistence and endogeneity, inherent in the predictors, which have the potential of causing estimation bias. In all, we find evidence in favour of the ability of commodity prices to predict stock prices of Brazil, Russia and South Africa. Also, both the in-sample and out-of-sample forecast performances of the predicted models support asymmetries in a number of commodity prices in each of these three countries. Our results are robust to different data samples and forecast horizons.     

基于VAR模型探究BDI和燃油价格的相互影响

燃油价格近期受疫情影响出现剧烈波动,国际干散货航运市场也受到巨大影响。基于Clarksons官方数据库1992年1月至2020年4月相关数据,进行实证研究发现,国际燃油价格的暴跌对波罗的海干散货运价指数的下降有着显著的正向影响;燃油价格虽然也在一定程度上受到BDI的影响,但存在一定的滞后性。这有利于干散货运输公司根据燃油价格波动预测运价指数的变化趋势,从而采取多样的方式应对冲击。也对保障干散货运输市场的稳定发展有重要意义。