国际大宗商品价格至中国上下游价格的时变传导效应*

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。

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

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.