大宗商品价格、汇率和利率与通货膨胀的时变关系研究——基于TVP-VAR模型和小波相干模型的分析

Research on the Time-varying Relationship between Commodity Prices,Exchange Rates,Interest Rates and Inflation——Analysis based on TVP-VAR model and wavelet coherent model

分析大宗商品价格、汇率和利率对我国通货膨胀的影响具有重要意义。本文采用TVP-VAR模型研究国际大宗商品价格、人民币汇率、利率和通货膨胀之间的时变关系,并采用小波相干模型分析各变量对通货膨胀的影响。结果表明:大宗商品价格和汇率对通胀有明显的正向影响,在2014年之前,两者对通货膨胀的影响具有协同性,但在新冠疫情发生后,两者的长期影响出现背离。利率对通货膨胀的调控存在滞后性,且影响较小。因此,未来要进一步提升货币政策的前瞻性和精准性,保持人民币汇率在合理区间双向浮动,加强对国际大宗商品价格的监测和预警,做好国内大宗商品价格调控,保障我国经济实现平稳发展。

It is of great significance to analyze the impact of commodity prices,exchange rates and interest rates on China's inflation.This paper adopts TVP-VAR model to study the time-varying relationship among international commodity prices,RMB exchange rate,interest rate and inflation,and uses wavelet coherent model to analyze the impact of each variable on inflation.The results show that:commodity prices and exchange rates have a significant positive impact on inflation.Before 2014,the impact of the two on inflation was synergistic,but after the outbreak of the COVID-19 epidemic,the long-term impact of the two deviated.There is a lag in the regulation of interest rates on inflation,and the impact is relatively small.Therefore,in the future,it is necessary to further enhance the forward-looking and preciseness of monetary policy,maintain the two-way floating of the RMB exchange rate within a reasonable range,strengthen the monitoring and early warning of international commodity prices,do a good job in domestic commodity price regulation,and ensure the stable development of China's economy.