国际油价波动对中国物价水平影响的研究——基于协整和状态空间模型的估计

A Study on the Impact of International Crude Oil Price Fluctuations on the China's Price Level——Based on Co integration Analysis and State Space Model

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.