食品与非食品价格的长期均衡关系与短期非线性调整--基于两区制门槛协整模型的实证研究

Long-term Equilibrium Relationship and Short-term Nonlinear Adjustment between Food Prices and Non-food Prices:Empirical Analysis Based on Two-regime Threshold Co-integration Model

食品通胀率与非食品通胀率之间的测量缺口近期持续扩大,引起了市场广泛关注。文章根据1994年1月至2010年8月的食品价格与非食品价格数据,运用两区制门槛误差修正模型研究两者的长期均衡关系和短期价格调整以及传导机制中的非线性特征。结果发现,食品通胀率与非食品通胀率存在门槛协整关系,而且估计缺口稳定,这表明测量缺口夸大了两者的真实偏离。文章还发现了食品价格传导的新信息内涵,即食品价格对非食品价格具有非线性的价格传导性:短期内偏离主要是食品价格上升造成,尤其是在高通货膨胀区制,偏离速度有加快趋势。两区制的Granger因果关系检验发现,在极端区制,食品价格通胀与非食品价格通胀具有双向的短期Granger原因,即两者相互领先;而在正常区制,食品价格通胀与非食品价格通胀具有双向的长期Granger原因。

Currently, the enlarging measuring gap between food inflation rate and non-food inflation rate is of catholic market concern. Using the data of food prices and non-food prices from Jan. 1994 to Aug. 2010, this paper investigates the long-term equilibrium relationship between food price inflation and nonfood price inflation in China by two-regime threshold error correction model. It also examines short-term price adjustment and the nonlinear characteristics of transmission mechanism of food price inflation and non-food price inflation. The results indicate that there exists threshold co-integration between food price inflation and non-food price inflation and the estimation gap is stable, which shows that the measuring gap exaggerates the real deviation between food price inflation and nonfood price inflation. In addition, it explores the new information content of food price transmission, that is to say, food prices have the nonlinear price transmission effect on non-food prices. The accelerated deviation trend of the two prices is due to the increase in food prices, especially in the regions with high inflation. Furthermore, the Granger causality test shows that： first, under extreme regime, food price inflation and non-food price inflation present a bilateral short-term Granger effect; secondly, under ordinary regime, food price inflation and non-food price inflation have the bilateral long-term Granger effect.