基于Granger因果图方法的物价水平国际间传递分析

The International Transmission of CPI: Granger Causality Graphs

目前,对Granger因果关系的研究大多数采用两变量Granger因果检验法,由于忽视其它重要变量的影响,常会导致虚假因果关系的出现。鉴此,采用Granger因果图模型方法分析中国及其主要贸易伙伴国(地区)间的物价传递,研究结果表明:美国在物价传递中发挥着主导作用,物价国际间传递存在一定的区域效应;除和中国香港地区存在即期因果关系外,中国对主要贸易伙伴国(地区)的物价水平基本无显著影响,中国既无输出通货膨胀也无输出通货紧缩。同时,样本期内中国物价水平呈现明显的外部"输入性"特征。因此,中国政府应采取措施应对国际的物价冲击,同时防范物价输入性引发的风险,以实现中国物价的稳定。

Traditional Granger causality tests are widely applied in modern economic research, however, recent research points out that if ignoring the important variables, spurious causal relation emerges. The more recently developed technique of Granger causality graphs is used to analyze the international transmission of price. The results indicate that the US plays the most important role in the international transmission of inflation and the regional segmentation of the major price in transmission is proved in this study. However, inflation in China has a little impact on its trading partners inflation except for the instantaneous causality with Hong Kong, implying that China has not exported its deflation and/or inflation to the global. Moreover, our evidence also indicates that inflation in China exhibits external imported feature, so in order to achieve the goal of long term price stability, we should deal well with external shocks and avoid the risk of ＂imported deflation＂ and ＂imported inflation＂.