通货膨胀国际间传导对我国影响的实证检验

International Transmission of Inflation to China:Empirical Evidence and its Implications

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。

Employing time series analysis, this paper prowctes empirical evidences on international transmission of inflation to China. With Cointegration among CPI series, the foreign inflation innovation does exert influence on Chinese CPI. Tests on regime shift of cointegrating relations suggest that the importing inflation grows over time. The paper also discusses the possible pass-through of inflation transmission, with the conclusion that consumer goods as well as raw material price path turn out to be the main propagation routes, while other paths are not significant.