基于油价冲击分解的价格传递效应研究

Research on Price Transfer Effect Based on Oil Price Impact Decomposition

本文通过构建SVAR模型,采用2000年12月至2016年12月的月度数据,将国际油价冲击分解为供给冲击、经济需求冲击以及预防性需求冲击,考察这三种结构性冲击对我国进口价格与国内价格的传递效应及其差异性,在此基础上进一步识别我国通货膨胀的主要来源。结果显示:经济需求冲击与预防性需求冲击带来的国际油价上涨对价格具有正向影响,而供给冲击带来的国际油价上涨对价格的影响方向则不确定;在影响程度上,预防性需求冲击的影响最大,经济需求冲击次之,供给冲击的价格传递作用最小,国际油价冲击对我国通胀的影响主要表现为预期型通胀;此外,在整个商品流通链条中,由于我国市场需求不足以及价格管制等因素,国际油价冲击对我国通胀的影响具有不完全性,这主要表现在国际油价冲击对生产者价格指数的影响最大,而对消费者价格指数的影响则不显著。

By constructing the SVAR model, this paper uses the monthly data from December 2000 to December 2016 to decompose the international oil price impacts into supply impacts, economic demand impacts and preventive demand impacts, and examines these three structural impacts on China＇s imports price and domestic price transfer effect and their differences, and on this basis the paper further identifies the main source of inflation in China. The results show that the impact of economic demand and the impact of preventive demand brought about by the international oil prices have a positive impact on prices, and supply shocks brought about by the impact of international oil prices on the price direction is uncertain; in the degree of impact, preventive demand is the largest impact, the impact of economic demand is the second, the impact of the supply price is the smallest one, and the impact of international oil prices on China＇s inflation mainly displays as the expected inflation. In addition, in the entire commodity circulation chain, due to the factors of lacking of market demand and the price control and etc., the impact of international oil prices on China＇s inflation is not complete, mainly displays in the way that the impact of international oil price on the producer price index is the greatest while its impact on the consumer price index is not significant.