农产品价格与通货膨胀的动态关系与溢出效应研究

A Study on Dynamic Correlations between Agricultural Prices and Inflation and Its Spillover Effects

基于结构向量自回归模型框架,考察农产品价格与通货膨胀之间的动态关系。考察结果表明,农产品随机冲击不会显著影响通货膨胀上升,通货膨胀对农产品价格的影响大于农产品价格对通货膨胀的影响。通货膨胀、农产品价格波动的主要因素来自供给、需求以及货币政策的随机冲击,农产品自身随机冲击的影响较小。在剔除农产品价格随机冲击因素后的核心通货膨胀指标能够更真实反映宏观经济供给需求变化,为货币政策调控提供通胀指标参考和帮助。基于均值波动溢出效应模型的分析表明,农产品价格与通货膨胀在均值层面上不存在必然的溢出关系,但在波动层面则表现出显著的溢出效应。此外,农产品价格与通货膨胀之间协动关系表明,农产品价格和通货膨胀变量间具有非对称性。

The research focuses on the dynamic correlations between agricultural price and inflation by auto-regression model,and concludes that the random shock of agriculture products＇ prices shall not lead to an inflation rising while the opposite founds its influence;the main factors for such shocks cover from its supply and demand and monetary policy rather than themselves and the index of inflation referring to the factual condition of macro-economical supply and demand attached significances and heed to the adjustment of monetary control.Then a probe with view to means fluctuation based on the theory of spillover effects further fathomed that there did not prevail a cute manifestation of agricultural prices and inflation concerning of its average while a remarkable one when it came to its fluctuation line.There existed a dissymmetrical correlation between agricultural prices and inflation.