贸易开放度、外部冲击与通货膨胀:基于非线性STR模型的分析

发布时间：2018-09-19 13:22

【摘要】：本文基于平滑转换回归(STR)模型,将人民币汇率和国际油价波动考虑在内,构建了一个关联贸易开放度与通货膨胀的非线性模型,并且,采用动态非线性Granger因果关系检验法,考察了在不同时期和不同经济发展阶段下中国贸易开放程度、人民币汇率和国际油价与通货膨胀关系的演变。研究结果表明,贸易开放度与通货膨胀之间呈现出明显的非线性特征,贸易开放程度的高低对通货膨胀的影响具有非对称效应,尤其是在考虑外部冲击因素的影响下,非线性特征更为显著;中国存在由贸易开放度、人民币汇率和国际油价到通货膨胀的非线性Granger因果关系,并且,这种非线性因果关系具有时变性。
[Abstract]:Based on the smooth transformation regression (STR) model and taking the fluctuation of RMB exchange rate and international oil price into account, this paper constructs a nonlinear model of relative trade openness and inflation, and adopts the dynamic nonlinear Granger causality test method. This paper examines the evolution of the relationship between China's trade openness, RMB exchange rate, international oil price and inflation in different periods and stages of economic development. The results show that there are obvious nonlinear characteristics between trade openness and inflation, and the degree of trade openness has an asymmetric effect on inflation, especially when considering the influence of external shocks. The nonlinear Granger causality between trade openness, RMB exchange rate and international oil price and inflation is more obvious in China, and the nonlinear causality is time-varying.
【作者单位】：东北财经大学金融学院;
【基金】：辽宁省高等学校“高端人才队伍建设工程”辽宁特聘教授支持计划 2012年第二批国家社科基金重大转重点项目“系统性金融风险防范和监管协调机制研究”的阶段性研究成果之一 2011年度辽宁省教育厅创新团队项目“区域金融与区域经济发展”(WT2011005) 中国保险学会2011年度研究课题“货币政策与中国保险业发展关系实证研究”(IICK2011-17)的联合资助
【分类号】：F752.6;F822.5;F224

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