外部资源价格冲击与中国工业部门通胀的内生关联研究

Endogenous Linkage between Shocks of External Resources Prices and Inflation in China's Industry Sectors

文章基于近年来国际资源市场价格激烈波动的现实背景,选择中国33个工业部门以构建反映部门间内在联系的全局向量自回归模型(GVAR),分析外部资源价格冲击对工业部门价格和产出波动的短期效应,继而通过分解各个工业部门的通货膨胀压力来源,探寻资源价格冲击的主要传导路径。研究表明:(1)国际原油价格冲击对能源、化工和基础原材料部门的价格和产出的短期影响较大,而国际工业原材料价格冲击的影响则集中在冶金和机械等工业部门;(2)外部资源价格冲击的影响存在滞后性,但并未产生第二轮通胀效应;(3)工业部门的通货膨胀压力存在显著的溢出效应,国际原油和工业原材料的价格冲击沿着产业链内在联系构成的固定路径进行传导。在GVAR模型中使用新的工业部门间关联权重后,上述结果基本稳健。文章的研究结论为政府有关部门应对国际资源价格冲击提供了一个细化的行业视角。

Under the background of dramatic price volatility in international resources market in recent years,this paper chooses 33 Chinese industrial sectors to build the global vector auto-regressive model(GVAR)reflecting internal relationships among those sectors,and analyzes the short-term effect of shocks of external resources fluctuating prices on fluctuating prices and output in industry sectors.Then it investigates the main transmission path of resources prices shocks through decomposing the inflation pressure sources in each industry sector.It arrives at the results as follows:firstly,shocks of international crude oil prices have a rather big short-term influence on prices and output in energy,chemical and basic material sectors,while the shocks of international industrial raw materials prices have an impact mainly in metallurgical and mechanical industries;secondly,the effect created by shocks of external resources prices has the lag feature,but they does not produce the second-round inflation effects;thirdly,the inflation pressure in industry sectors has the significant spillover effects,and the shocks of international crude oil prices and industrial raw material resources prices conduct along the fixed path formed by the internal relation of the industry chain.Alternative weighting schemes show the basic robustness of the results above-mentioned.These conclusions provide a subdivided industry view for governmental response to shocks of international recourses prices.