国际大宗商品价格波动对中国宏观经济的影响

Impact of international bulk commodity price shocks onChina's macroeconomy

国际大宗商品价格的大幅波动对全球范围内不同类型国家或地区的经济发展带来了短期问题和长期挑战,从总供给冲击的角度,基于AD-AS理论框架,分析国际大宗商品价格波动影响中国宏观经济的理论机制;构建结构向量自回归(SVAR)模型,通过脉冲响应分析和方差分解探讨国际大宗商品价格波动对中国宏观经济的影响,针对不同种类国际大宗商品价格波动产生的异质性影响加以对比分析。研究发现:国际大宗商品价格上涨在初期会造成中国实际产出的下降,但是在3个月后将提高国内的实际产出水平;相比于“硬大宗商品”,“软大宗商品”对中国实际产出的正向影响更大;更高的国际大宗商品价格会加剧中国的通货膨胀,并且中国通货膨胀对“硬大宗商品”价格变动的敏感性整体上略高于“软大宗商品”;国际大宗商品价格的正向波动会通过提高通货膨胀与增加实际产出等传递渠道来提高人民币利率水平,而国际大宗商品价格变动对人民实际汇率的影响并不显著。

The drastic fluctuations of the price of international bulk commodity have brought short-term problems and long-term challenges to the economic development of different types of countries or regions in the world.Based on the AD-AS theoretical framework,this paper analyzes the theoretical mechanism of the impact of international bulk commodity price shocks on China's macroeconomy,from the perspective of aggregate supply shock.This paper then constructs the structural vector autoregression(SVAR)model and employs impulse response analysis and variance decomposition to discuss the impact of international bulk commodity price shocks on China's macroeconomy,and distinguishes the heterogeneity of impact caused by different kinds of international bulk commodities.Results show that an increase in the international bulk commodity price can cause China's real output to decline initially,but it will boost China's real output level after three months.Compared with"hard bulk commodity",the"soft bulk commodity"has a greater positive impact on China's real output.Besides,higher international bulk commodity price can aggravate China's inflation,and the reaction of inflation to hard bulk commodity price fluctuations in China is more sensitive than that to soft bulk commodity in general.Additionally,the positive international bulk commodity price shock will lead to a rise of RMB interest rate through boosting inflation as well as increasing real output in China,while the fluctuations of international bulk commodity price does not have a significant impact on the RMB effective exchange rate.