通货膨胀的驱动类型甄别：成本推动、需求拉动、还是供需混合驱动？?——基于价格传导机制的门槛非对称性研究
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| Title | Identification of Inflation: Cost-Push Inflation, Demand-Pull Inflation or Cost-Demand Inflation
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| 作者 | 杨子晖 赵永亮 李广众 |
| Author | Yang Zihui, Zhao Yongliang and Li Guangzhong |
| 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 | yzh2016@gmail.com；ericjue@sohu.com；guangzhong@gmail.com |
| 中文关键词 | 成本推动 需求拉动 门槛非线性模型 非对称传导机制 |
| Key Words | Cost-Push Inflation; Demand-Pull Inflation; Threshold Nonlinear Model; Asymmetric Price Transmission Mechanism |
| 内容提要 | 本文首次采用前沿的门槛自回归模型、动量门槛自回归模型以及动量一致门槛自回归模型，对中国等发展国家价格传导的门槛非对称机制展开研究，以对通胀的驱动类型进行有效甄别。在此过程中，我们考察了CPI与PPI的非线性门槛协整关系，并在此的基础上结合门槛非对称误差修正模型对物价的非对称传导机制以及非对称冲击展开深入分析。本文研究发现，中国物价的正向传导与反向倒逼机制在短期交叉作用、相互牵引，使得通胀在短期呈现出“供需混合驱动”的特征，而长期中国存在着由PPI到CPI的正向传导机制，中国由此面临着“成本推动型通胀”的引发风险。同时，我们还发现中国在短期存在着由货币供应量到下游物价指数的驱动效应，因此，中国可通过“逆经济风”的货币政策来进行实时调节，以缓解消费价格指数短期上升的压力；此外，非对称冲击分析表明，价格传导存在显著的非对称效应，相对于负冲击，中国PPI对CPI的正冲击更具有长期持久性的影响，因此，在物价宏观调控中政策当局不仅需要考虑物价机制的传导方向，而且需要依据价格传导的非对称机制“相机抉择”地实施“非对称”的调控政策进行对冲干预，以实现物价的长期稳定。 |
| Abstract | In order to identity the inflation types, this paper utilizes threshold autoregressive, momentum threshold autoregressive, momentum consistent threshold autoregressive to investigate the asymmetric price transmission between the producer and the consumer prices. In particular, we study the threshold cointegration relationship between the price indexes, and then explore the asymmetric transmission shocks within the threshold asymmetric error correction model (TAECM). Our results indicate that there exit both forward and reverse transmissions between the producer and the consumer prices in the short-term, and there is unidirectional causality running from producer to consumer prices, implying the China face Cost-Demand inflation in short-term and Cost-Push inflation in long-term. In addition money supply imposes significant impact on CPI price in the short-term, so the authorities can alleviate the short-term inflationary pressure by relying on the monetary policies. The asymmetric analysis shows that the positive shocks from PPI exert more persistent impact on the CPI that the negative shocks do. This finding suggests that to achieve the goal of long-term price stability, the authorities need to take both the direction and asymmetric effect of price transmission into account. |
| 文章编号 | WP492 |
| 登载时间 | 2013-07-09 |
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