输入型通胀还是本土价格回溢?——基于动态溢出与时变因果视角的分析

Imported Inflation or Local Price“Spillback”?Based on the Perspective of Dynamic Spillover and Time-varying Causality

本文基于CPI与PPI数据刻画中美物价水平的运行表象,进一步测度和识别中美各类物价水平之间的溢出效应和时变Granger因果关系。结果表明:第一,中美各类物价水平之间既有长期协同一致走势,也有个别阶段“错位”分布差异。第二,中美各类物价水平之间存在“互溢”影响,输入型通胀与本土价格回溢共存,物价水平溢出效应具有时变特征、国别差异和价格分类属性,中国市场面临输入型通胀压力。第三,中美各类物价水平不但具有国内传导路径,还具有跨国传递渠道。大多时点上,中美各类物价水平之间存在较强的Granger因果关系,但也存在个别时点上的“脱钩”现象。

This paper portrays the fluctuation trend of price levels between China and the US based on the CPI and PPI data,and further identifies and analyzes the Granger causality and dy-namic spillover effects among the price levels.The research results are as follows.First,there are both long-term coordinated trends and staged distributional differences among the price levels of China and the US.Second,there is a significant spillover effect between China and the US in terms of price levels over the sample period,with imported inflation coexisting with local price spillback.Price spillovers have time-varying characteristics,country differences,and price clas-sification attributes.Chinese market is facing with imported inflationary pressure from the US market.Third,the price levels of China and the US not only have a domestic transmission path but also have a cross-country transmission channel.At most time points,there is a strong Grang-er causality between China and the US in price levels,but there is also a decoupling phenomenon at individual time points.