外部冲击与我国物价水平的决定——基于结构VAR模型的分析

External Shocks and the Determination of Price Level in China——The Analysis Based on Structural VAR Model

文章建立结构VAR模型考察了1997年1月至2008年8月期间外部冲击(国际石油价格和人民币名义有效汇率)对我国国内物价水平及其分类价格指数的传递效应。结果表明,价格和汇率传递都是不完全的、滞后的和沿价格链递减的,且对分类价格指数的传递差异较大;相比人民币名义有效汇率,国际石油价格冲击对我国进口价格指数、生产者价格指数和消费者价格指数的传递率更高,影响更大;我国近期消费者价格指数的上扬较多地是受到上游价格链冲击、需求冲击、货币政策冲击和供给冲击的影响,人民币升值的抑制通胀效应较弱。

The paper explores the pass-through effects of external shocks（international oil price and nominal effective exchange rate of RMB） on the domestic price level in China and the subdivided indexes of price level through a structural VAR model. The results show that the pass-through effects of price and exchange rate are incomplete, lag behind and decrease with the price chain, and the pass through among the subdivided indexes differs widely. In contrast with the nominal effective exchange rate of RMB, the shock of international oil price has stronger pass-through effects on the import price index, producer price index and consumer price index in China. The recent CPI inflation in China is largely attributed to upriver price chain shock, demand shock, monetary policy shock and supply shock, while the effect of RMB appreciation on curbing the inflation is comparatively weak.