中国居民消费品价格粘性研究：基于微观价格数据

发布时间：2018-06-03 11:05

本文选题：价格粘性 + 价格设定模式　；参考：《华侨大学》2014年硕士论文

【摘要】：价格粘性作为新凯恩斯主义经济学立论之基，在宏观经济系统中扮演着一个关键的角色。通过测算不同商品类别的价格粘性，识别市场价格是时间依存定价还是与状态依存定价，厘清价格粘性与通货膨胀持续性的关系。有助于理解市场化程度与企业行为，，分析货币政策对行业价格的影响，合理构建中国DSGE模型，为政府进行产业改革和制定相关经济政策提供微观证据。本文选取国务院发改委价格监测中心公布的中国36个主要城市居民消费月度监测数据作为研究样本，首先对我国居民消费品类别重新划分，主要分为农产品、加工食品、普通工业消费品、耐用品、普通服务和管制服务等，并对六大类价格粘性程度进行估算，估算内容包含总体、分类别商品（服务）的价格变化频率、上涨下跌倾向频率、变化幅度、上涨下跌倾向幅度等；其次，通过回归模型和通胀分解法检验了中国居民消费价格存在TDP和SDP两种价格设定模式，并进一步检验各部门价格设定模式所占比例；最后，运用单位根检验法和单位根计数法等方法估计了通胀持续性，分析各部门和总体通胀持续性特征，通过截面回归和Logit模型分析了居民消费价格粘性与通胀持续性的关系，主要结论如下：第一，总量价格调整频率为0.68，上涨倾向频率（0.43）大于下跌倾向频率（0.25），居民消费价格存在价格粘性异质性，呈易涨难跌情况。六大类居民消费价格中，农产品和耐用品价格变化频率最大，其次是普通消费品和加工食品；而普通服务与管制服务价格变化频率最小。不同部门涨跌幅度分布不一，农产品价格大幅调整次数较频繁，加工食品和服务类变化幅度主要集中在1%幅度内。第二，中国居民消费价格存在时间依存定价和状态依存定价两种模式。价格设定模式与市场化程度相对应。中国市场价格总体上服从状态相关定价模式，食品类特别是加工食品价格存在较强状态依存定价模式，表明食品类部门市场化程度较高，竞争激烈；而服务价格则是存在较强时间依存定价模式，表明服务业市场化程度低，存在一些市场失灵现象。第三，企业价格设定行为差异会影响价格粘性与通货膨胀持续的关系。在普通服务和管制服务部门，价格粘性与通胀持续性正相关，而在非服务部门，价格粘性与通胀持续性负相关。
[Abstract]:Price stickiness, as the foundation of neoKeynesian economics, plays a key role in macroeconomic system. By measuring the price stickiness of different commodity categories, we can identify whether market price is time dependent pricing or state dependent pricing, and clarify the relationship between price stickiness and inflation persistence. It is helpful to understand the degree of marketization and enterprise behavior, to analyze the influence of monetary policy on industry price, to construct Chinese DSGE model rationally, and to provide microcosmic evidence for the government to carry out industrial reform and formulate relevant economic policies. This paper selects monthly monitoring data of consumption of 36 major cities of China published by the Price Monitoring Center of the State Council Development and Reform Commission as the research sample. First of all, the categories of consumer goods in China are reclassified into agricultural products and processed foods. General industrial consumer goods, durable goods, general services and regulatory services, etc., and estimate the price stickiness of six major categories. The estimates include the frequency of price changes in the overall, subcategory goods (services), and the frequency of upward and downward trends. Secondly, through regression model and inflation decomposition method, we test the existence of TDP and SDP price setting mode, and further test the proportion of price setting model in different sectors. Finally, we use the unit root test method and the unit root count method to estimate the inflation persistence, analyze the characteristics of the inflation persistence in various departments and the overall, and analyze the relationship between the consumer price viscosity and the inflation persistence through cross-section regression and Logit model. The main conclusions are as follows: First, the frequency of total price adjustment is 0.68, and the frequency of rising tendency is 0.43) which is larger than that of falling tendency. Among the six categories of consumer prices, the prices of agricultural products and durable goods changed the most frequently, followed by ordinary consumer goods and processed food, while the prices of general services and regulated services changed the least frequently. The range of rise and fall is different in different departments, the price of agricultural products is adjusted frequently, the range of processed food and service is mainly in the range of 1%. Second, there are two modes of time dependent pricing and state dependent pricing in Chinese consumer prices. The price setting model corresponds to the degree of marketization. The price of Chinese market is generally based on the state-related pricing model, and there is a strong state-dependent pricing model for food, especially for processed food, which indicates that the market of food sector is highly market-oriented and the competition is fierce. The service price has a strong time dependent pricing model, which indicates that the service market is low and some market failures exist. Thirdly, the difference in price setting behavior will affect the relationship between price stickiness and inflation. In general and regulatory services, price stickiness is positively correlated with inflation persistence, while in non-service sectors, price stickiness is negatively correlated with inflation persistence.
【学位授予单位】：华侨大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F126.1;F224

【参考文献】