政策漂移、猪肉价格波动与结构性通货膨胀研究——基于TVP-VAR模型

A study on Policy Drift,Pork Price Volatility and Inflation Risk Based on the TVP-VAR Model

2018年以来的猪肉价格持续上涨引起社会普遍关注。猪肉作为与普通百姓息息相关且在CPI构成中权重最大的商品之一,价格变动不仅影响通胀水平,而且对通胀具有放大效应。本研究基于政策漂移影响、猪肉价格上涨导致结构性通货膨胀风险的现实,选取2011—2019年的月度数据,采用具有时变性质的向量自回归模型(TVP-VAR),对政策漂移、猪肉价格波动与结构性通货膨胀之间的时变关系进行实证研究。结果表明:政策漂移、猪肉价格波动以及结构性通货膨胀之间以中、短期效应为主,长期效应偏弱;政策漂移对我国生猪产业和生猪价格影响较大,进而影响猪肉价格。而猪肉价格上涨产生的直接效应和间接效应相叠加,推动CPI指数增大,结构性通货膨胀风险升高;同时,猪肉价格上涨与CPI水平的提升具有互动循环效应,这使得我国通货膨胀自我实现机制较强。因此,政策制定部门应当审慎调整与增加政策内容,协调配合政策实施;完善市场机制,确保与民生相关商品价格稳定,降低通货膨胀风险。

The continuous rise of pork price since 2018 has aroused the concern of the public.Pork,as one of the most important commodities in CPI,is closely related to the common people.Price changes not only affect the level of inflation,but also have a magnifying effect on inflation.Based on the real background of the impact of policy drift and the structural inflation risk caused by rising pig prices,selecting the monthly data from 2011 to 2019,and adopting the time-varying Vector autoregression(TVP-VAR),this paper makes an empirical study on the time-varying relationship among policy drift,pork price fluctuation and structural inflation.The results show that the effect of policy drift,pork price fluctuation and structural inflation is mainly short-term and medium-term,but the long-term effect is weak.The policy drift has a great influence on the pig industry and the price of pigs in China,and in turn has a significant impact on the price of pork.The price fluctuation of pork produces direct effect and indirect effect,which pushes up the CPI and raises the risk of structural inflation.Meanwhile,the rise of pork price and CPI level have an interactive circulation effect,which makes stronger the inflation self-realization mechanism.The study suggests that policy-making departments should carefully adjust and increase policy content,coordinate policy implementation,improve market mechanism,ensure commodity price stability related to people’s livelihood,and reduce inflation risk.