农产品价格的冲击与物价的稳定:基于断点联动识别的实证分析

The Shocks from the Agricultural Prices and the Stabilization of Price: An Empirical Analysis Based on Co-breaks of Multiple Series

本文采用RPI以及小麦、玉米、大豆、大米、猪肉6个序列2002年12月至2017年5月的月度价格指数,对序列间断点的联动性进行了分析。基于离散结构突变和平滑漂移结构突变的假设,我们研究了冲击在不同价格序列间的相互关系及其传递性,验证了农产品价格对通货膨胀的直接和间接影响机制。本文发现三种粮食作物,即小麦、玉米、大米序列存在断点的共变性(同期性),这种共变主要由农产品生产要素的价格推动;大豆、猪肉和RPI序列则表现出断点的序贯性,主要源于猪肉价格的冲击传递至大豆中,并推动了通货膨胀率。研究结论说明,以稳定物价为目标的宏观政策应考虑生产要素价格对农产品价格的广泛影响。同时,需着重稳定构成价格指数中具有高权重产品的价格,因其价格上涨不仅直接拉升通货膨胀率,还会将冲击传递至其他农产品价格中,从而增加经济体的通货膨胀压力。

This paper uses monthly price data of wheat,corn,soybean,rice,pork and RPI from December 2002 to May 2017 to examine the co-breaks among the above six sequences. The correlation and the transition of shocks among multiple series are analyzed based on two different assumptions on structural break test( i. e. sharp break and quick shift),with the verification of the direct and indirection effect of agricultural prices on inflation rate. Our results show that wheat,corn and rice show breaks took place in adjacent time period. Such results are due to the common shock of the production factor. By contrast,sequential breaks exist among soybean,pork and RPI series. The sequential breaks are attributed to the fact that shock transits from pork to soybean,and further pushes up the whole inflation rate. The study concluded that macroeconomic policies aimed at stabilizing prices should consider the wide-ranging impact of production factors on agricultural prices. At the same time,it is necessary to focus on stabilizing the price of high-weight products in the price index because the increasing prices will not only directly raise the inflation rate,but also transmit the impact to other agricultural product prices,thus putting on the inflationary pressure of the economy.