摘要
国际油价波动通过产品供需、产业传递、货币政策等渠道传导至国内经济体系。笔者利用国际油价与国内CPI、PPI月度数据,检验变量的平稳性及协整关系,并以此为基础构建变系数状态空间模型描述变量间的动态关系。结果发现,国际油价波动确实影响国内CPI、PPI变动,价格弹性是可变的,在油价上升期大于下降期;国际油价波动对PPI的影响效应大于对CPI的影响效应。
The international cruel oil price Fluctuations has impact on domestic economy from several mechanisms included supply and demand of product and industries transmission and monetary policy.This paper builds a state space model with variable coefficients to describe the dynamic relationship by testing variables stability and co integration with monthly data between 1994 and 2011.The results show that the international crude oil prices fluctuations do affect CPI and PPI.The impact of domestic price level during the period of rising oil price is bigger than the effect size during the period of declining oil price.And the impact for oil price fluctuations on PPI is stronger than on CPI.
出处
《经济经纬》
CSSCI
北大核心
2013年第2期116-120,共5页
Economic Survey
基金
国家社会科学基金重点项目(11AZD031)
教育部人文社会科学青年基金项目(12YJC790285)
关键词
国际油价
物价水平
协整
状态空间模型
International Crude Oil Price
Price Level
Co integration
State Space Model