国际大宗商品价格冲击、传递效应与中国的通货膨胀动态

International Commodity Shocks,Pass-through and China's Inflation Dynamics

本文在Philips曲线设定下,通过扩展该模型实证考察国际大宗商品价格冲击对中国通货膨胀动态的影响作用。本文在线性模型设定以及Markov机制转换设定下考察国际大宗商品价格冲击对中国国内通货膨胀的传递效应。本文实证研究结果表明,国际大宗商品价格动态变化不仅在统计意义上显著地影响着中国通货膨胀动态,而且个别类别的国际大宗商品价格变化对中国通货膨胀动态的传递效应相对明显。最后,结合经验研究结果,本文提供了相关政策建议和启示。

This paper discusses the effects of the international commodity prices shock on China＇s inflation dynamics in the benchmark setup of Philips curve. We first perform the linear and nonlinear regressions, then employ the results of the standard linear model and Markov regime switching model for calculating the pass -through. The results show that the commodity prices shocks have the statistically significant effect on China＇s inflation dynamics, and the pass - through of some kinds of commodity prices shock are more important. Finally, some policy implications will be given based on the empirical analysis.