粮食价格波动对物价水平的非对称影响——基于STR模型的实证分析

The Asymmetric Impact of Grain Price Shocks on General Price Level:An Empirical Analysis Based on Smooth Transition Model

依据中国1998年1月—2011年6月的季度数据,运用平滑转换回归模型研究粮食价格波动对物价水平的影响,研究表明:粮食价格对物价水平存在单向Granger因果关系,其影响呈现非线性和不对称特征;当粮食价格处于高机制状态时,粮价波动对物价水平影响程度较大,CPI自我驱动能力较小;当粮食价格处于低机制状态时,粮价波动对物价水平影响程度微弱,CPI自我驱动能力较强。

Based on quarterly data over the period from 1998. 1 to 2011.6, this paper applies smooth transition model to investigate the impact of the grain price shocks on the general price level. The empirical results show that the grain price on the general price level exists one-way Granger causality and the impact of the grain price shocks on the general price level is nonlinear and asymmetric. When the grain price higher than the threshold level, the impact of the grain price shocks on the general price level is relatively large, and CPI ego drive ability is relatively less;When the the grain price lower than the threshold level, the impact of the grain price shocks on the general price level is weak, and CPI ego drive ability relatively strong.