国际有色金属价格向我国通胀传递的时空特征及影响因素研究

Study on Spatial-temporal Characteristics of International Nonferrous Metals Prices Pass-through into China's Inflation and its Influencing Factors

本文基于拓展的菲利普斯曲线,结合时空二维分析方法,实证测度2003-2015年国际有色金属价格对我国31个省市通货膨胀的传递系数,并利用状态空间模型考察传递效应的时变特征,进而揭示传递效应的影响因素。结果表明:国际有色金属价格对我国通胀的传递效应呈现中部、西部、东部依次递减的趋势,各个省份之间的空间差异明显;国际有色金属价格的传递效应随着时间而渐进变化,并在2008年第三季度前后存在一个明显的结构突变。进一步研究表明,对外开放度、有色金属行业投资、人民币汇率、石油价格是影响国际有色金属价格传递的关键因素。为此,政策制定者要把握区域特征,有针对性地制定相关政策,有效应对国际有色金属价格向我国通胀的传递。

Based on expanded Phillips Curve and combined with the two-dimensional space-time analysis, this paper empirically measures the transfer coefficient of international nonferrous metals prices pass-through into China＇s provincial inflation during 2003--2015, and examines the spatial-temporal characteristics of transfer effect on the basis of State Space Model.In addition,this article also reveals the influencing factors of transfer effect. The results show that, there exists regional imbalance in transfer effect with the rank ordering middle, western and eastern;the transfer effect gradually changes with time, and has a structural change in the third quarter of 2008. The findings also suggest that the key factors influencing transfer effect are the openness, non-ferrous metals industry investment, RMB exchange rate and oil prices.To this end, policy-makers should grasp regional features, and target to formulate related policy, to respond effectively to the international nonferrous metals prices pass-through into China＇s inflation.