物价体系的外部影响因素及其内部传导关系研究

发布时间：2018-05-03 20:05

本文选题：CPI + RPI　；参考：《中国海洋大学》2014年硕士论文

【摘要】：物价在宏观经济运行中扮演着重要的角色：一方面，物价水平是宏观经济运行的“指示器”，反映着经济的冷热，另一方面，它还是宏观经济的“调节器”，物价水平的上下波动可以起到调节市场的作用。本文试图考察我国近几年物价波动的外部影响因素以及物价指标体系的内部传导关系，以期对物价运行做一个全面深入的了解，为政策制定者更好地调控经济提供有用的参考。物价指标是一个体系，包括多种侧重点不同的价格指数。不同的价格指数有不同的影响因素，同一个因素对不同价格指数的影响也是不同的。价格指数之间也存在相互传导、相互影响的相关关系。本文在研究物价体系时，选取了三种有代表性的指数——居民消费价格指数(CPI)、商品零售价格指数(RPI)和工业品出厂价格指数(PPI)作为全文的研究对象。本文首先研究了影响物价变动的外部宏观经济因素，将其分为总需求因素、货币因素、利率因素和资产价格因素，选取这几类因素中有代表性的指标，分别对CPI、RPI、PPI建立VAR模型，通过脉冲响应分析和方差分解，研究各因素对这三类价格指数的动态影响，并对其作用效果进行差异性分析。结果显示，货币供给量、利率和资产价格对总体物价的影响比较大，相比之下，总需求因素的影响并不明显，其中，净出口的影响最大，投资次之，消费的影响最小。三种价格指数对每种影响因素的敏感度也不同，具体地说，CPI和PPI对投资和净出口较为敏感，RPI不敏感；但对于消费的影响，则是RPI较为敏感，CPI和PPI不敏感。对于货币供给和利率的影响，CPI和RPI较为敏感，而PPI不敏感。对于资产价格的影响，PPI最敏感，CPI次之，RPI最不敏感。进一步的，本文通过协整检验、格兰杰因果检验和脉冲响应分析，对三种价格指数之间的相互传导关系进行研究，考察三者之间长期和短期的传导效果并进行比较。结果显示，在长期内，CPI、RPI、PPI之间存在稳定的均衡关系。进一步的，CPI分别是PPI和RPI的单向格兰杰原因，而PPI和RPI则互为因果关系。在短期内，，CPI、PPI和RPI均受自身滞后值的影响最大。CPI的波动基本不受RPI、PPI的影响，RPI的波动受到CPI和PPI一定程度的影响，PPI也同时对CPI和RPI反应敏感。最后，在对研究结果进行总结的基础上，本文提出了几点政策建议，认为我国要加快转变经济发展方式，着力提高居民收入，扩大消费需求，减少外贸和投资的依存度，同时密切注意货币供应量、利率和资产价格对物价的冲击，保持物价水平的稳定。进一步的，要完善价格机制，保持物价体系内部运行的通畅。
[Abstract]:Prices play an important role in macroeconomic operation: on the one hand, the price level is the "indicator" of macroeconomic operation, reflecting the cold and hot of the economy, on the other hand, it is also the "regulator" of macroeconomic. The fluctuation of price level can play a role in regulating the market. This paper attempts to investigate the external influence factors of price fluctuation and the internal conduction relationship of price index system in China in recent years in order to make a comprehensive and in-depth understanding of price operation and to provide useful reference for policy makers to better regulate and control the economy. Price indicators are a system that includes a variety of price indices with different emphases. Different price indices have different influencing factors, and the same factors have different effects on different price indices. The price index also has the mutual conduction, the mutual influence correlation. In the study of price system, three representative indices, the consumer price index (CPI), the retail price index (RPI) and the ex-factory price index (PPI) of industrial products, are selected as the objects of this paper. In this paper, the external macroeconomic factors that influence the price change are studied, which are divided into the total demand factor, the monetary factor, the interest rate factor and the asset price factor. The representative indexes of these factors are selected, and the VAR model is established respectively. By means of impulse response analysis and variance decomposition, the dynamic effect of each factor on these three price indices is studied, and the difference of the effect is analyzed. The results show that the influence of money supply, interest rate and asset price on the overall price is relatively large. In contrast, the influence of the total demand factor is not obvious, among which, the net export is the most important, the investment is the second, and the consumption is the least. The sensitivity of the three price indices to each factor is also different. Specifically, PPI and PPI are more sensitive to investment and net exports. But for consumption, RPI is more sensitive to RPI and PPI. RPI and RPI are more sensitive to the influence of money supply and interest rate, but PPI is not. For the impact of asset prices, PPI is the most sensitive CPI followed by the least sensitive RPI. Furthermore, through cointegration test, Granger causality test and impulse response analysis, we study the interconductance between the three price indices, and compare the long and short term conduction effects among them. The results show that there is a stable equilibrium relationship between CPI and RPI PPI in the long run. Further CPI is the one-way Granger cause of PPI and RPI, while PPI and RPI are causality. In a short period of time, both PPI and RPI are most affected by their hysteresis. The fluctuation of CPI and PPI is not affected by CPI and PPI, and it is also sensitive to the reaction of CPI and RPI at the same time. Finally, on the basis of summing up the research results, this paper puts forward several policy suggestions, which suggest that China should speed up the transformation of economic development mode, focus on raising residents' income, expand consumption demand, and reduce dependence on foreign trade and investment. At the same time, pay close attention to the impact of money supply, interest rate and asset price on prices to maintain price level stability. Further, it is necessary to improve the price mechanism and keep the internal operation of the price system unobstructed.
【学位授予单位】：中国海洋大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F726;F224

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