外部冲击对金砖国家通货膨胀的传递效应——基于SVAR模型的实证分析

Transferring Effect of External Shocks on Inflation of BRICS:Based on Empirical Analysis of SVAR Model

对外部冲击,主要是国际能源价格冲击和汇率冲击,对金砖国家内部物价水平的传递效应的检验表明:外部冲击对金砖国家物价水平的传导是滞后和不完全的;对金砖国家生产者价格指数的传递率高于对消费者价格指数的传递率;在金砖国家中实行管理浮动汇率制度的国家,外部冲击对生产者物价指数变化的解释力高于实行自由浮动汇率制度的国家,主要体现在其国际能源价格冲击的高解释力上;然而在对消费者指数变化的解释力上,则实行自由浮动汇率制度的国家表现得更强。这些结论与使用子样本数据和改变变量次序时也一致。

This paper examines the external shocks, mainly the fuel price fluctuations and exchange rate fluctuations to domestics prices in BRICS through a structural VAR model. The results show that the pass - through effects of external shocks are incomplete, lagging behind, and imposing a stronger effects on PPI than CPI. In addition, through variance decomposition, we discover that external shocks have higher ex- planatory power on PPI iluctuations in countries which implement a managed floating exchange rate system, than those with a free floating exchange rate system, due to the strong explanatory power of fuel price. As for the accountability for CPI fluctuations, countries which implement the free floating exchange rate system have higher explanatory power, deriving from the strong explanatory power of exchange rate. Those results are consistent when using a subsample data or change the orders of variables.