通货膨胀跨境传染机制

On Cross-Border Transmission Mechanism of Inflation

基于增强因子向量自回归模型(FAVAR),以主要发达国家(G7)和主要新兴经济体金砖四国(BRIC)的消费者价格指数(CPI)和生产者价格指数(PPI)为样本,实证检验了通货膨胀的跨国境传染路径及其传导机制。结论表明:1)通货膨胀在国家间交互影响,存在明显的跨境传染特征;2)通货膨胀跨境传染路径具有多样性特征,物价水平在不同国家间不仅限于单纯价格层面的直接影响,同时还表现为外部价格调整对本国经济变量的冲击间接影响本国价格体系;3)外汇市场和货币市场更容易受到外部价格波动的影响,通货膨胀主要通过国际贸易途径进行跨境传染,发达国家受外部价格传染的特征更加明显。总之,当前经济环境下的通货膨胀是全球性问题,各国央行在抗击通货膨胀的过程中,政策的协同性必须加强。

This paper testifies the cross-border transmission path of inflation and it's transmission mechanism based on FAVAR model,using major developed countries( G7) and major emerging economics( BRIC) 'CPI and PPI as samples. The results show that: 1) there are interactions among countries,w hich appear significant cross-border transmission characteristics; 2) the cross-border transmission paths of inflation have diversity,and the price influences betw een countries not only limit to the direct effect among prices,but also include the indirect effect of price to economic variables,w hich could affect domestic price system; 3) foreign exchange market and monetary market are more vulnerable to external price fluctuations,The main path of cross-border transmission of inflation is international trade,and there are obvious evidences that developed countries infected by external price impulses. In short,it's a global topic for the inflation of the current situation,and the coordination betw een central banks to resist inflation must be strengthened.