进口大宗商品和通货膨胀

发布时间：2018-01-04 06:03

  本文关键词：进口大宗商品和通货膨胀　出处：《中国社会科学院研究生院》2016年博士论文　论文类型：学位论文

  更多相关文章： 进口大宗商品 通胀率 通货膨胀 政策 传导

【摘要】：进口大宗商品和通货膨胀之间具有紧密的联系,大宗商品价格冲击给经济带来过通货膨胀高企和经济增长减缓的双重打击,而这种影响往往超出宏观经济政策调控能力。目前,我国对部分大宗商品的进口依存度比较高,而且我国进口市场、金融市场和经济政策对国际大宗商品价格的影响力不足,致使大宗商品进口价格具有较大程度的外生性。时值人民币汇率改革如火如荼推进之际,我们不能不认真思索,进口大宗商品的价格变化是怎样的?进口大宗商品价格变化会如何影响国内通胀率?大宗商品价格冲击的通货膨胀传导机制是什么?进口大宗商品的影响是否可以在宏观经济管理部门的掌控之中?本文的研究正是试图寻求这些问题的答案。本文的研究思路是:首先,以大宗商品进口依存度为标准选择进口大宗商品的代表性品种,并通过主成分分析方法得到资源性产品和农产品两类大宗商品进口价格指数,以衡量大宗商品真实进口价格的变化情况;其次,鉴于我国通胀率变化所具有的结构性特征和非线性特征,通过马尔可夫区制转移模型检验不同状态下包括大宗商品进口价格指数在内的若干因素对不同通胀率度量指标及其之间关系的影响;再次,进一步定性分析进口大宗商品价格冲击的通货膨胀传导机制,比较不同时期传导机制的变化,梳理不同的传导机制及其综合传导过程,探讨传导机制中的变化因素及其影响等,以期更深入地探究进口大宗商品和通货膨胀之间的联系;最后,在时间不一致性假设前提下,分析货币和财政政策冲击对进口大宗商品价格和通货膨胀的影响,以期了解在二者存在紧密联系的背景下宏观经济政策如何在控制通货膨胀和促进经济增长之间合理地抉择并发挥积极的作用。本文的研究结论和创新之处可以概括为:第一,提出了大宗商品进口价格指数的构建方案,包括分析进口大宗商品价格中的外生性成分、统计大宗商品进口依存度以选择代表性品种,以及分别提取资源性产品和农产品两类进口大宗商品真实价格变化率的主成分等,并识别出所构建的大宗商品进口价格指数的主要影响因素包括进口大宗商品的定价机制和存用比情况等;第二,拓展了关于通胀率非线性变化特征的研究,利用马尔可夫区制转移模型检验了进口大宗商品价格的通胀率影响,比较了不同因变量、自变量和控制变量组合下模型的拟合优度和估计效率,并发现资源性产品比农产品对产成品通胀率和消费品通胀率之间差异的影响要大,并且在工业增加值上升时,通胀率的差异会相对缩小,而在工业增加值下降时,差异将相对扩大;第三,总括了大宗商品价格冲击在供给侧和需求侧两种途径下对通货膨胀的对称性和非对称性传导机制,识别了影响传导机制的变化因素如需求弹性、市场情绪和货币政策等,并认为对于货币影响力相对较弱的国家来说,大宗商品价格冲击触发通货膨胀是一个较大概率事件;第四,探讨了宏观经济政策相机抉择可能产生的时间不一致性和选择两难性,使用信息容量大、参数时变的TVP-FAVAR模型克服了计量模型本身产生的“价格之谜”并突破了模型变量之间的线性约束条件,实证分析了货币和财政政策冲击在短期内和长期内对进口大宗商品价格和国内通货膨胀可能产生的二次传导问题,并认为,当大宗商品价格暴涨戳破了经济“高增长、低通胀”的美景时,宏观经济管理部门应谨慎使用扩张性财政政策,而应尝试使用具有自动稳定功能的税收政策来促进经济复苏。
[Abstract]:A close link between import commodities and inflation, commodity price shock to the economy brought about a double whammy of high inflation and slowing economic growth, and this effect is often beyond the control of macroeconomic policy. At present, China's relatively high dependence on imports of some commodities, and China's import market, influence the financial market and economic policies on international commodity prices, resulting in commodity import prices is exogenous greatly. The RMB exchange rate reform like a raging fire to promote occasion, I have not seriously thought, changes in the price of imported commodities is? The import commodity price changes will affect domestic inflation what? Is the commodity price shock to the inflation transmission mechanism? Effects of import commodities can in the macro economic management department Door control? This paper is trying to find the answers to these questions. The idea of this paper is: firstly, the commodity import dependency as the standard selection of imported commodities of representative varieties, and resource products and agricultural products in two categories of commodities import price index by principal component analysis method, to to measure the changes of real commodity import prices; secondly, in view of the structural characteristics and nonlinear characteristics of China's inflation rate changes with the number of factors through Markov regime switching model test under different conditions including commodity import price index, the effect of different metrics and the relationship between the rate of inflation; thirdly, further qualitative analysis the inflation transmission mechanism of import commodity price shock, changes in different periods of the conduction mechanism, combing different conduction mechanism The process and comprehensive discussion of conduction, influence factors and changes in transmission mechanism, explore between import commodities and inflation linked to more deeply; finally, the time inconsistency assumption, analysis of the effect of monetary and fiscal policy impact on imported commodity prices and inflation, in order to understand in two there is close contact under the background of macroeconomic policy how to control inflation and promoting economic growth, rational choice and play a positive role. In this paper, the research conclusions and innovations can be summarized as follows: first, this paper presents a scheme of building commodity import price index, including the analysis of exogenous components of imported commodities prices. Statistics of commodity import dependence to select representative varieties, and were extracted from the resource products and agricultural products in two categories of imported commodities real The main classification of the rate of change of prices, and identify the main influencing factors of commodity import price index of commodities including import pricing mechanism and deposit ratio by second, etc.; expand the research on inflation nonlinear change features. Using the Markov regime switching model to test the impact of imported commodity prices the inflation rate, compared with the different dependent variables, independent variables and control variables under the combination of the goodness of model and estimation efficiency, and find the resource products of agricultural products of finished goods between inflation and consumer inflation differences should be large, and the industrial added value increased, the difference in inflation will be relatively small. While the decline in industrial added value, the difference will be enlarged relatively; third, in the commodity price shock on the supply side and demand side two ways of inflation and symmetry. Asymmetric transmission mechanism, transmission mechanism changes to identify factors such as demand elasticity, market sentiment and monetary policy, and that the influence of currency relatively weak countries, the commodity price shock triggered inflation is a high probability event; fourth, discusses the choice of macroeconomic policies may have time inconsistent camera and the dilemma of the use of large information capacity, TVP-FAVAR model overcomes the time-varying parameters of the econometric model itself "price puzzle" and break the model variables between the linear constraint conditions, the empirical analysis of monetary and fiscal policy shocks in the short term and long term of import commodity prices and domestic inflation may the two conduction problem, and that, when commodity prices soared broke high economic growth, low inflation "beauty, macro economy Management should use expansionary fiscal policy prudently, and should try to use a tax policy with automatic stability to promote economic recovery.

【学位授予单位】：中国社会科学院研究生院
【学位级别】：博士
【学位授予年份】：2016
【分类号】：F822.5;F752.61
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本文编号：1377333