基于STR模型的国际粮价与我国通胀水平的非线性联动机制研究

NONLINEAR RELATIONSHIP BETWEEN THE INFLATION AND INTERNATIONAL GRAIN PRICE BASED ON STR MODEL

基于平滑转换模型(STR模型),从非线性的角度对国际粮食价格与我国通货膨胀水平的关系进行了实证分析,选取国际粮食价格指数作为国际粮价指标,选择CPI指数作为通货膨胀指标,样本数据时间跨度为1987年1季度至2014年1季度。实证结果显示了国际粮食价格对我国通货膨胀水平的影响呈现很强的非线性转移动态特征,国内通胀水平依赖于转换变量(滞后1期CPI)的大小,在高区制状态与低区制状态之间进行非线性地转换,当转换变量小于拐点C时,国际粮食价格对通胀水平作用并不明显。当转换变量大于拐点C时,国际粮食价格明显地拉大了国内通胀水平,同时拟合数据的时间序列图与原始数据时间序列图的高度相似,很好地检验了模型的解释能力。

Using the Smooth Transition Model（ STR model）,this paper discussed the non-linear relationship between inflation and international grain price based on the sample data from 1987- 2014. The international food price index and the CPI index were selected as the international grain price and inflation indicators,respectively. The results showed that the impact of international grain price on the inflation in China presented a strong non-linear dynamic transfer characteristics. International grain price changed nonlinearly between high and low regime along with the transition variable. When the transition variable was less than the inflection point C,the effect of international grain price on the inflation was not obvious. However,when the transition variable was greater than the inflection point C,the international grain price significantly widened the inflation level. Moreover,the chart of fitting series was similar to the chart of original series,it indicated that the model had good explanatory ability.