价格传导链的非线性研究:正向传导还是反向倒逼？
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| Title | A Nonlinear Research on the Price Transmission Mechanism: Positive Price Transmission or Reversed Price Transmission?
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| 作者 | 杨子晖 赵永亮 柳建华 |
| Author | Yang Zihui , Zhao Yongliang and Liu Jianhua |
| 作者单位 | 中山大学岭南学院；暨南大学经济学院 |
| Organization | Lingnan College, Sun Yat-sen University; College of Economics, Jinan University |
| 作者Email | z_hyoung@yahoo.com.cn；ericjue@sohu.com；illow0703@163.com |
| 中文关键词 | 反向倒逼机制 成本推动 需求拉动 非线性Granger因果检验 非线性动态分析 |
| Key Words | Reversed Price Transmission; Cost-Push Inflation; Demand-Pull Inflation; Nonlinear Granger Causality Test; Nonlinear Dynamic Analysis |
| 内容提要 | 本文首次采用最新发展的非线性Granger因果检验等技术方法，从非线性的研究视角对中国等多个国家的CPI与PPI之间的非线性传导机制及作用关系展开深入研究，并从动态分析的角度深入考察非线性传导机制在不同时期的演变轨迹。本文研究发现，在中国等国家总体上存在着由PPI到CPI的非线性传导机制，因此，上游成本价格的增加将向下游消费价格正向传递，使得中国面临着“成本推动型通胀”的压力，而且外部物价的冲击也容易引发国内物价的波动，进而加大了“输入型通胀”的风险。与此同时，本文的非线性动态分析则进一步显示，下游价格对上游价格的反向倒逼机制同样日益凸现，使得中国可能面临着成本推动因素与需求拉动因素交织作用的复杂情境，从而加剧了物价宏观调控的难度与未来通胀风险的不确定性。而且，本研究进一步指出，CPI与PPI之间的传导机制并非“静态不变”，在物价调控中单一地墨守“需求调节为主”或者“供给调节为主”的原则均未必十分恰当，依据通胀驱动机制的动态演变实施“相机抉择”的宏观调控显得更为重要。最后，本文也指出，传统研究可能因忽略价格传导的非线性机制而导致结论出现较大偏差。 |
| Abstract | Using the more recently developed technique of a nonlinear Granger causality test by Diks and Panchenko (2006), this paper investigates the nonlinear transmission mechanism between the producer and the consumer prices, and then explores the evolutional trace of nonlinear transmission mechanism based on nonlinear dynamic analysis. Our results indicate that for the countries such as China there is a nonlinear causal relation from PPI to CPI, implying price increases at the early stages of production will lead to increases in consumer prices at the late stage and this will boost cost-push inflationary pressure and raise the risk of imported inflation in these countries. Our evidence based on nonlinear dynamic analysis indicates that reversed price transmission from the prices in the late stage to the prices in the early stage is more and more obvious, this will lead to a more complicated situation, and increase difficulty of macro-control and uncertainty in the economy's growth in China. This study also points out that since the transmission mechanism between CPI and PPI is not static, discretionary policies based on the dynamic transmission mechanism is preferable to simple rule policies of demand management or supply management. At last, we further point out that conclusions from traditional studies may be biased since they do not take account of the nonlinear character of price transmission mechanism. |
| 文章编号 | WP319 |
| 登载时间 | 2012-07-31 |
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