国际大宗商品价格波动与中国物价水平变动的相关性研究

发布时间：2018-01-03 21:10

本文关键词：国际大宗商品价格波动与中国物价水平变动的相关性研究　出处：《山东师范大学》2017年硕士论文　论文类型：学位论文

【摘要】：长期以来,大宗商品价格一直是重要的经济变量,是非常重要的战略性生活物资和生产物资,对一国宏观经济发展起到非常重要的作用,能够影响世界经济走势和工业化国家物价水平。近十年来世界经济形势起伏不定,大宗商品价格先后出现多轮暴涨暴跌,波动不断加大。从2008年6月的最高点462.74到2005年2月的最低点159.78点,上下波动300多点。然后开始了新一轮先上涨后下跌的过程。2014年下半年开始最近一轮下跌周期,已持续一年多,截止2016年2月份,已经达到历史最低点154.85点。随着中国加入WTO,以及中国对大宗初级商品的大规模需求,国际大宗商品的价格频繁波动势必会影响中国的经济状况,从而影响中国物价水平,新常态下中国经济下行压力增大,对于大宗商品价格波动的输入效应,尤其是现阶段大宗商品价格暴跌对中国经济和物价水平波动究竟会带来怎样的影响值得研究。论文检验了国际大宗商品价格波动与我国的物价水平的相关性,尤其是前者对后者具有的预期和传导作用,为实践提供理论依据。论文在总结国内外关于大宗商品价格传导效应的研究现状以及大宗商品引发国内物价水平变动的研究现状的基础上,详细分析了国际大宗商品价格波动影响我国物价水平的传导机制,包括理论基础,传导条件和传导路径。选取最新的大宗商品期货价格指数——CRB指数,居民消费价格指数PPI,生产者物价指数PPI及货币供应量M2进行实证研究,分析大宗商品的价格波动与我国物价水平变动之间的相关性关系。论文选择2009年1月至2016年6月期间的变量数据并将数据分为两个阶段,分别是国际大宗商品上涨阶段和国际大宗商品下降阶段,使用EVIEWS软件进行实证研究,首先分析各变量之间的相关性,发现不论是上升阶段还是下降阶段,各变量之间均具有显著的相关性,但是下降阶段的相关性没有上升阶段的相关性明显。为了进一步研究变量之间的相关程度,进而应用向量自回归模型(VAR),将数据带入Johansen协整检验、Granger因果检验、脉冲响应函数、方差分解等模型进行分析,检验结果同样表明大宗商品价格下跌阶段我国物价水平受大宗商品的影响程度较小,说明我国的物价水平存在价格“刚性”,具有易涨不易跌的特点。最后,论文通过对实证结果的分析,认为国际大宗商品价格的上涨阶段,其价格上涨对中国物价水平上升的推动作用明显,但是在大宗商品价格下跌阶段,其波动与我国物价水平之间的相关性减弱,说明下跌阶段中国物价不易受国际大宗商品价格下跌的影响。论文认为,现阶段世界经济走势依然不容乐观,会对中国经济带来进一步的通货紧缩风险,中国仍需警惕这种风险的产生;同时中国应合理利用大宗商品下跌阶段的时期,初级产品价格降低带来的成本红利,大力发展国内经济。
[Abstract]:For a long time, commodity price has been an important economic variable, is a very important strategic living materials and production materials, and plays a very important role in the macroeconomic development of a country. Can affect the trend of the world economy and the level of prices in industrialized countries. In the past decade, the world economic situation has fluctuated, commodity prices have seen several rounds of sharp rises and plummeted. Volatility has been increasing from its peak of 462.74 on June 2008 to its lowest point of 159.78 in February 2005. Up and down more than 300 points. Then began a new round of rise and then fall process. 2014 started the latest round of decline cycle, has continued for more than a year, until February 2016. It has reached an all-time low of 154.85. With China's entry into the WTO, and China's massive demand for commodities. The frequent fluctuation of international commodity prices will inevitably affect China's economic situation, thus affecting China's price level. Under the new normal, the downward pressure of China's economy will increase, and the input effect of commodity price volatility will be increased. In particular, the impact of commodity price collapse on China's economy and price level fluctuations is worth studying. This paper examines the correlation between international commodity price volatility and China's price level. In particular, the former has the expectation and conduction function to the latter. On the basis of summarizing the current research situation of commodity price conduction effect at home and abroad and the research status of domestic price level change caused by commodity. The transmission mechanism of international commodity price fluctuation affecting China's price level is analyzed in detail, including the theoretical basis, transmission conditions and transmission path. The latest commodity futures price index, CRB index, is selected. Consumer price index (PPI), producer price index (PPI) and money supply M2 (M2) are studied empirically. This paper analyzes the correlation between the price fluctuation of commodities and the change of price level in China. The paper selects the variable data from January 2009 to June 2016 and divides the data into two stages. It is the international commodity rising stage and the international commodity declining stage, using the EVIEWS software to carry on the empirical research, first analyzes the correlation between the variables. It was found that there was a significant correlation between the variables in both the ascending stage and the descending stage. In order to further study the correlation between variables, the vector autoregressive model was applied. The data are introduced into the Johansen cointegration test to analyze the Granger causality test, impulse response function, variance decomposition and so on. The test results also show that China's commodity price level is less affected by commodities in the stage of commodity price decline, indicating that China's price level is "rigid", with the characteristics of easy to rise and not to fall. Finally. Through the analysis of the empirical results, the paper thinks that the rising stage of international commodity prices, its price rise on China's price level to promote the role is obvious, but in the stage of commodity price decline. The correlation between the fluctuation and the price level of China is weakened, which indicates that Chinese prices are not easy to be affected by the international commodity price fall in the falling stage. The paper thinks that the trend of the world economy is still not optimistic at the present stage. It will bring further deflationary risk to the Chinese economy, and China still needs to be on guard against this risk. At the same time, China should make good use of the cost dividend brought by lower commodity prices during the period of commodity decline and vigorously develop the domestic economy.
【学位授予单位】：山东师范大学
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：F713.35;F726

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