国际大宗商品价格波动对中国通货膨胀影响的实证研究

Impact of International Commodity Prices on China’s Inflation

本文使用国际大宗商品价格总指数及其四种分类指数分别与国内物价指数构建VAR模型,结果表明:(1)不同大宗商品对PPI和CPI的影响存在差异。国际大宗商品指数与国际工业品价格指数对PPI的影响最大,国际食品价格指数对CPI的影响最大;(2)在2008年国际金融危机后,国际大宗商品冲击对PPI、CPI的传导更加通畅,国际大宗商品对PPI的影响大小、持续时间仍远大于CPI,对CPI的累计影响不到PPI的四分之一;(3)工业品购进价格指数和PPI一样,能显著受到国际大宗商品价格的影响,食品零售价格指数和农产品价格指数和CPI一样,受自身价格惯性影响最大,受国际大宗商品价格影响相对较小。因此应密切关注国际大宗商品价格变动趋势,加快人民币汇率制度改革,完善要素市场定价机制,在通货膨胀监测中关注PPI的变化。

To explore how international commodity prices affect domestic price levels, this paper uses the International Commodity Price Index and its four sub-indexes to construct VAR models with domestic price indexes. The result shows that different commodities influence PPI and CPI differently. The International Commodity General Price Index and the International Industrial Product Price Index have the largest impact on the PPI. The International Food Price Index has the largest impact on the CPI. Further analysis of recursive VAR models shows after the financial crisis, the international commodity shocks have a larger impact on domestic price level. Moreover, after the financial crisis, the cumulative impact of the international commodity prices on CPI is less than a quarter of PPI. In addition, the Purchase Price Index of Industrial Products, like the PPI, can be significantly affected by the international commodity prices. The Retailing Food Price Index and the Agricultural Product Price Index, like CPI, are most affected by their own prices, and less affected by the international commodity prices. Therefore, we should pay more attention to the trend of changes in international commodity prices, accelerate the reform of the RMB exchange rate system, improve the pricing mechanism of factor markets, and monitor changes in PPI.