食品价格冲击对核心CPI的传递效应——基于3种核心CPI的比较研究

THE PASS-THROUGH EFFECT OF THE FOOD PRICE SHOCKS ON CORE CPI——The Comparative Research of Three Kinds of Core CPI

本文利用2001—2015年的月度数据,在计算多种核心CPI的基础上,实证分析了食品价格冲击对核心CPI的传递效应。本文研究发现,我国食品CPI存在高惯性特征,其对核心CPI具有较大的冲击作用,长期传递系数为0.140;这种传递效应在2008年12月前后存在内生性结构突变,突变前后两阶段的长期传递系数分别为0.186和0.097;虽然2008年12月以后食品价格对核心CPI的冲击下降幅度较大,但长期传递系数仍具有明显的上升趋势。这些结果表明,食品价格冲击已经显著影响我国通货膨胀的持续性成分,我国货币政策应重视食品价格冲击带来的传递效应;尽管我国政策调整的作用有所显现,但是稳定物价的压力依然很大。

Based on the calculation of several core CPI, in this paper we analyze the pass-through effect of food price shocks on core CPI during 2001 to 2015. The results show, food CPI has high inertia characteristics, which has great impact on core CPI, and the long-term pass-through coefficient is 0. 140. After considering the endogenous structural breaks, we find the long-term pass-through coefficient of core CPI still reach to 0. 186 and 0. 097, before and after the break of December 2008 respective- ly. Although the impact of food prices on the core CPI decreased greatly after December 2008, the long- term pass-through coefficient remains significantly increased. These results suggest that the food price shocks have a significant impact on the persistent component of China＇s inflation, and the monetary policy should pay attention to the pass-through effect of food price shocks. Although the policy adjustment effects have appeared, the stable price pressures are still strong.