外部冲击对我国通货膨胀的非对称传导效应——基于非线性ARDL模型的分析

Asymmetric Pass-Through of External Shocks on Chinese Inflation——A Nonlinear ARDL Approach

运用非线性ARDL模型,通过将外部冲击变量分解为正向变动的累积和和负向变动的累积和两个部分,研究了正负向外部冲击对我国通货膨胀的长短期非对称传导效应。实证结果表明:外部冲击对我国通货膨胀存在非线性与非对称性影响。从长期来看,国际大宗商品价格对CPI呈现正向非对称价格传导,负向传导效应不显著,人民币汇率贬值比升值的价格传递效应大,全球流动性紧缩比扩张对通胀的传导效应大。而人民币贬值、全球流动性水平下降都会通过作用于进口商品价格上升而导致国内消费价格上涨,这意味着在当前美联储加息、人民币贬值等宏观经济环境下,央行须对短期内通胀予以关注,加强防范外部冲击。

By means of decomposing the external shock into the sum of both positive and negative changes, this paper employs a nonlin- ear ARDL model to investigate the short and long term asymmetric effects of positive and negative external shocks on Chinese inflation. The empirical results provide evidence of the nonlinear and asymmetric influence of external shocks on domestic inflation. In the long term, international commodity prices presents the positive asymmetry transmission to CPI while the negative conduction is not signifi- cant. Besides, the transmission effect from depreciation of RMB is greater than that of appreciation, and so is the transmission effect from global liquidity contraction than that of global liquidity expansion. Both the depreciation of RMB and the decline in global liquidity will lead to a rise in domestic consumer prices by raising import prices. This means that under the current macroeconomic circum- stances, such as rate rise of Federal reserve and devaluation of RMB, the central bank should pay close attention to short-term inflation and to strengthen the prevention of external shocks.