中国上中下游价格传导机制研究——基于细分行业数据的实证分析

ON PRICE TRANSMISSION MECHANISM OF DIFFERENT STAGES IN CHINA——An Empirical Analysis Based on Industrial Data in China

本文通过运用动态贝叶斯网络模型分析方法,测算了2000—2014年上中下游价格指数及各细分行业价格指数之间的传导效应,并分析了货币供给因素对不同价格指数的驱动作用。结果表明,货币供应量对上中下游所有价格指数均能产生影响,对下游价格指数CPI的驱动效应最显著;上中游价格指数向下游价格指数逐级传导效应显著,但跨级传导效应呈递减趋势;同时下游价格指数的变动也会倒逼中上游价格指数变化,但跨级传导效应基本无趋势性。

This paper employs the dynamic Bayesian network method to measure the price transmis-sion of different stages,the transmission effect among the subdivided industries of different price indexes between 2000 and 2014.This paper analyzes the driving effect of money supply factor on different price in-dexes.The results show that the conduction effects of the monetary policy to the upstream and the down-stream price indexes are all significant and the effect to CPI is the strongest.In the process of transmis-sion,the prices in the early and intermediate stages have significant causal relationships with the price in the last stage by degrees while the cross-stage conduction effects decrease.Besides,the price violation in the last stage will drive changes of the prices in the early and intermediate stages in reverse but there is not trend among the cross-stage conduction effects.