大宗商品期货价格对我国通货膨胀的传导效应研究

发布时间：2018-01-10 22:13

本文关键词：大宗商品期货价格对我国通货膨胀的传导效应研究　出处：《浙江财经大学》2017年硕士论文　论文类型：学位论文

【摘要】：自从中国加入世界贸易组织后,其对外经济的联动性越来越紧密,我国CPI受国内外的大宗商品价格波动的影响也越来越深。近十几年来,大宗商品期货价格历经了大涨、大跌、平缓变动的循环历程。在2015年,国际大宗商品又迎来了一波新的跌潮,这也极大地影响了我国的PPI和CPI的走势,从而影响我国社会经济的发展。由于大宗商品期货价格的波动要先于消费者价格指数和生产者价格指数,故可以以大宗商品期货价格作为预警指标,及时对通货膨胀预期进行有效管理。本文基于2006年1月至2016年6月的相关数据,采用小波分析(MODWT与交叉小波变换分析相结合)的方法来研究大宗商品期货价格对我国CPI的影响。本文实证部分首先分析了大宗商品期货价格影响CPI的不同传导途径,分为直接影响和间接影响。直接影响主要分析了国际大宗商品期货价格对我国CPI的影响和国内大宗商品期货价格对我国CPI的影响,并分析了国际大宗商品期货价格对我国国内大宗商品期货价格的影响。间接影响主要分析国际大宗商品期货价格对我国PPI的走势影响。基于以上的分析结果,进一步构建了一个多因素综合模型,采用VAR模型来分析国内大宗商品期货价格和其他宏微观因素(包括货币因素)对CPI总指数的波动贡献度。研究发现,大宗商品期货价格影响我国物价水平的三条现/期货传导渠道都显示有效,其中第二条渠道:CRB—CFCI—CPI最为显著。接下来是直接影响渠道:CRB—CPI,最后借由PPI传导的渠道可能存在末端失效的情况(CPI和PPI总指数在近几年存在小幅度的“背离”),但CRB—PPI这段仍有效。而在国内大宗商品期货中粮食期货和农产品期货对我国消费者物价水平的贡献度最高。研究还发现大宗商品期货通过我国的货币供应量来影响我国CPI的传导渠道并不显著(在其他因素的共同影响下,货币因素对CPI的影响被削弱了),但美国CPI对我国CPI波动的贡献度仍较大。本文在研究内容、研究方法和结构应用上都实行了一定的突破。在以往学者的相关研究中,大多都仅仅分析了国际大宗商品期货价格对我国CPI的影响,而且关于传导机制及综合因素的研究较少。在分析方法上,以往的相关研究中,大多采用原数据直接进行分析,通过多元线性回归和格兰杰因果检验来进行相关性分析。这些分析都单单基于时间维度来研究,结果的有效性不佳。本文通过极大重叠小波变换对数据进行小波分解,分为短期、中期及长期三大尺度,采用小波相干、互谱分析等进行多尺度的相关性分析,从时频-域频两个尺度来分析,以确保结果的有效性。最后纳入货币因素,通过构建VAR模型来分析各变量对CPI变动的贡献度,以研究在多因素体系中各变量是否依然有效。在结果的运用上,以往的研究大都未系统地将分析结果与我国通货膨胀预期管理相挂钩。本文利用研究结果提出以大宗商品期货价格为“信号”进行通货膨胀预期管理,在为政府更有效地加强预期管理、调控CPI提供新的视角的同时还为企业和个人投资者提出了如何利用有效的通胀预期来改变自身的经济行为。
[Abstract]:Chinese since joining the world trade organization, the linkage of the foreign economy more closely, the impact of China's CPI by commodity price fluctuations both in China and abroad is more and more deep. In recent years, commodity futures prices rose after the crash, the cycle of change, gradual process. In 2015, the international commodity ushered in a new wave of falling tide, which has greatly affected China's PPI and CPI trend, thus affecting China's economic and social development. Because the commodity futures price volatility ahead of the consumer price index and producer price index, it can be in commodity futures prices as early warning indicators, timely and effective the management of inflation expectations. The related data from January 2006 to June 2016 based on wavelet analysis (MODWT analysis and Cross Wavelet Transform) method to study the commodity futures price The influence of CPI in our country. In the empirical part of this paper first analyzes the commodity futures prices affect the different pathways of CPI, divided into direct and indirect influence. Direct influence mainly analyzes the impact of international commodity futures price impact on China's CPI and domestic commodity futures price of CPI in China, and analysis the impact of international commodity futures prices of China's domestic commodity futures prices. The indirect influence of the international commodity futures prices on China's PPI trend. Based on the above analysis results, further builds a comprehensive model of multiple factors, using VAR model to analyze the domestic commodity futures prices and other macro the factors (including monetary factors) of CPI index fluctuation contribution. The study found that the price level in China is now three / futures commodity futures price transmission channel Are shown to be effective, including second channels: CRB - CFCI - CPI was the most significant. The next is the direct influence channels: CRB - CPI, finally by PPI transmission channels may exist at the end of the failure (CPI and PPI index in recent years are small "departure"), but CRB this PPI is still valid. In the domestic commodity futures in the contribution of grain futures and agricultural products futures to China's consumer price level is the highest. The study also found that commodity futures through China's money supply to influence the transmission channel of CPI in China is not significant (currency factors of CPI was weakened in the common influence factor under him), but the United States, CPI CPI of China wave contribution is still large. In this paper, research contents, research methods and structure of application have made some breakthrough. The related research in the past scholars, mostly just analysis The impact of international commodity futures price of CPI in China, and the research on the transmission mechanism and comprehensive factors less. In the analysis, the related research in the past, most of the original data to direct analysis, correlation analysis was carried out by multiple linear regression and Grainger causality test. These analyses are based solely on time dimension poor study, the validity of the results. The maximum overlap wavelet transform to data using wavelet decomposition, divided into short-term, medium-term and long-term three large scale, using wavelet coherence correlation analysis, cross spectrum analysis and multi-scale analysis, time frequency and frequency domain from two dimensions, to ensure the validity of the results finally into the monetary factors, the variables on the contribution of CPI to analyze the changes by constructing a VAR model, in order to study multi factor system variables are still effective in the results of the application, Most of the previous studies are not systematic analysis results and China's inflation expectations management is linked with the research results presented in this paper. The commodity futures prices for the "signal" in the management of inflation expectations, the government effectively expected to strengthen the management and regulation of CPI to provide a new perspective for enterprise and individual investors are also put forward how to effectively use the inflation expectations to change its economic behavior.

【学位授予单位】：浙江财经大学
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：F822.5;F724.5

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