国际大宗商品价格、货币政策及其不确定性对宏观价格分化的影响--基于PPI相对于CPI超调的视角

Effect of International Commodity Prices,Monetary Policy,and Its Uncertainty on Macro Price Divergence:From the Perspective of PPI Overshooting to CPI

长期以来,宏观价格稳定都是央行货币政策调控的核心目标之一,与经济社会稳定和居民生活息息相关。然而近年来,中国PPI与CPI指数多次发生明显的分化,出现PPI波动大于CPI的超调现象,并对企业生产、居民生活等产生重要影响。本文通过构建理论模型进行分析表明,国际大宗商品价格冲击、货币政策及其不确定性变动均会对中国宏观价格分化产生重要影响。在此基础上,本文将150余个宏观经济变量纳入TVP-FAVAR模型进行实证分析,发现国际大宗商品价格对PPI超调有正向影响,但作用时间相对较短;而数量型货币政策的扩张和价格型货币政策的收缩分别对PPI超调有正向和负向影响,作用时间较长且恢复更为缓慢。另外,货币政策不确定性对PPI超调有负向影响且作用时间较短。进一步研究发现,货币政策能够影响持有工业粗产品的便利收益,进而使得PPI相对于CPI超调。本文的研究结论对国内大宗商品交易市场构建、货币政策制定等具有重要的参考价值。

For a long time,macro price stability has been one of the core objectives of central banks'monetary policy regulation.Among them,the correlation between CPI and PPI is particularly important.Theoretically,the fluctuations between the two are synchronized.In recent years,China has encountered the phenomenon where the fluctuation of PPI significantly surpassed that of CPIduring the same period,leading to widespread attention and discussions.However,limited studies place international commodity prices and monetary policy within a unified theoretical framework to investigate their effects on China's macro price divergence.Therefore,by constructing a mathematical model,employing a time-varying empirical method,and analyzing the mediating effect,this paper attempts to explore the impact of international commodity prices,monetary policy,and its uncertainty on macro price divergence in China from the perspectives of arbitrage and overshooting.In the context of commodity financialization,the financial attributes of upstream industrial raw materials are strength ened.Manufacturers can invest their funds into them,whose profit contains expected price changes and the net convenience yield.Alternatively,they can also invest in risk-free treasury bonds to earn interest.The market reaches an equilibrium when the returns of the above two channels are equal.Under this assumption,when international commodity prices rise,up stream manufacturers feel supply pressures and are more likely to stockpile industrial raw materials,leading to an upward overshooting of PPI to CPI.When the money supply expands,trading in the upstream market tends to increase in frequency.The convenience yield of holding industrial raw materials rises,leading to increased demands by manufacturers.This results in an upward overshooting of PPI to CPI.When interest rates rise,manufacturers'willingness to invest in treasury bonds strengthens.Conversely,their desire to invest in production weakens,leading to a decrease in the frequency of transactions in the upstream market.This means that the convenicncc yield of holding industrial raw materials decreases,leading to reduced demands for these raw materials,resulting in a downward overshooting of PPI to CPI.When facing a rising shock of monetary policy uncertainty,higher risk premiums weaken manufacturers'speculative willingness,resulting in a downward overshooting of PPI to CPI.In the empirical section,this paper incorporates more than 150 domestic and international macroeconomic variables into a TVP-FAVAR model.The results corroborate the conclusions drawn from the theoretical model.Additionally,this paper finds that the effects of international commodity prices and monetary policy uncertainty on macro price divergence are short-lived,whereas the recovery time for macro price divergence under the impact of two types of monetary policies is relatively longer.Furthermore,this paper investigates the mediating effect of convenience yield when holding industrial raw materials.It is found that the convenience yield has a mediating role in the process where two types of monetary policies affect the divergence of macro prices.The potential innovations of this paper mainly include the following four aspects.Firstly,this paper constructs a theoretical model of PPI overshooting to CPI in the upstream production sector,and analyzes the theoretical mechanisms of the impact of international commodity prices and monetary policy on macro price divergence.Secondly,this paper employs a TVP-FAVAR model for empirical research.Compared with other macroeconomic models,this model is more suitable for complex dynamic macroeconomic environments.Thirdly,this paper incorporates monetary policy uncertainty into the analytical framework,enhancing the study of the effect of monetary policy.Fourthly,this paper identifies the mediating role of the convenience yield and validates it.This paper proposes the following policy recommendations.Firstly,it is essential to ensure the supply and stabilize the prices of commodities,mitigating the impact of price fluctuations on the supply side.Secondly,it is crucial to gain a deeper understanding of the impact of monetary policy changes on macro price fluctuations,thereby enhancing the effectiveness of monetary policy in stabilizing prices.Additionally,attention should be paid to the transparency and robustness of monetary policy formulation and implementation,preventing increased uncertainty caused by excessively frequent policy adjustments.Lastly,efforts should be made to improve the construction of the market economy system,ensuring a smooth macro price transmission mechanism along the upstream and downstream of the industry-consumption chain.