全球价值链嵌入､通货膨胀国际协同与价格指数的背离

Global Value Chains,Inflation Comovement and Divergence of PPI and CPI

基于改进马尔科夫区制转换模型,本文采用大样本跨国数据对全球主要经济体的通货膨胀协同性进行了时变测度,并在此基础上提取出国际通胀协同的特征事实。结果显示,样本期内通胀协同指数的国际共同因子曲线呈波动上升趋势,这在一定程度上为通胀全球化论断提供了证据支持;因子曲线的演变形态同时表明,通胀全球化是一个较为缓慢､逐步演化且波动性突出的过程,特定时段下通胀协同性下降､通胀全球化现象弱化的状况同样客观存在。基于全球价值链深入发展的背景,本文进一步就嵌入全球价值链与通胀协同之间的关系进行了经验分析,基于不同方法及样本的检验结果显示,价值链贸易对PPI通胀协同具有显著为正的影响,但对CPI通胀协同的影响则缺乏稳健性。全球价值链分工体系所形成的“链”,客观上对相关经济体的PPI起到了“锚”定作用,进而导致PPI和CPI走势背离,进一步的跨国分析为此论断提供了经验支持。

Drawing on the modified Markov regime switching model and a large sample of cross-border data, this paper measures the time-varying inflation comovement of the world’s major economies and extracts some characteristic facts on inflation globalisation.The results reveal that the global common factor curve of the inflation comovement index shows a volatile upward trend, to some extent supporting the inflation globalisation hypothesis.However, the curve pattern also shows that inflation globalisation is a relatively slow and gradual process with prominent volatility.In a specific period, decline in inflation comovement also exists.Based on a background of the in-depth development of global value chains(GVCs), this work provides an empirical analysis of the relationship between embedded GVCs and the inflation comovement.The test results based on different methods and samples indicate that trade in GVCs has a significant positive effect on PPI inflation comovement, yet its effect on CPI inflation comovement lacks robustness The “chain” formed by GVCs functions objectively as an “anchor” for the PPI but not for the CPI, meaning that GVCs will likely cause the PPI and CPI to diverge.Empirical analysis based on cross-border data provides evidence supporting this conclusion.The divergence of PPI and CPI requires monetary authorities to consider whether to choose the PPI or CPI as an anchor, or to design a more combined rule that integrates both indexes.