本文關鍵詞：國際大宗商品價格波動與中國物價水平變動的相關性研究　出處：《山東師范大學》2017年碩士論文　論文類型：學位論文

  更多相關文章： 國際大宗商品 物價水平 CPI CRB指數(shù) VAR模型

【摘要】：長期以來,大宗商品價格一直是重要的經濟變量,是非常重要的戰(zhàn)略性生活物資和生產物資,對一國宏觀經濟發(fā)展起到非常重要的作用,能夠影響世界經濟走勢和工業(yè)化國家物價水平。近十年來世界經濟形勢起伏不定,大宗商品價格先后出現(xiàn)多輪暴漲暴跌,波動不斷加大。從2008年6月的最高點462.74到2005年2月的最低點159.78點,上下波動300多點。然后開始了新一輪先上漲后下跌的過程。2014年下半年開始最近一輪下跌周期,已持續(xù)一年多,截止2016年2月份,已經達到歷史最低點154.85點。隨著中國加入WTO,以及中國對大宗初級商品的大規(guī)模需求,國際大宗商品的價格頻繁波動勢必會影響中國的經濟狀況,從而影響中國物價水平,新常態(tài)下中國經濟下行壓力增大,對于大宗商品價格波動的輸入效應,尤其是現(xiàn)階段大宗商品價格暴跌對中國經濟和物價水平波動究竟會帶來怎樣的影響值得研究。論文檢驗了國際大宗商品價格波動與我國的物價水平的相關性,尤其是前者對后者具有的預期和傳導作用,為實踐提供理論依據(jù)。論文在總結國內外關于大宗商品價格傳導效應的研究現(xiàn)狀以及大宗商品引發(fā)國內物價水平變動的研究現(xiàn)狀的基礎上,詳細分析了國際大宗商品價格波動影響我國物價水平的傳導機制,包括理論基礎,傳導條件和傳導路徑。選取最新的大宗商品期貨價格指數(shù)——CRB指數(shù),居民消費價格指數(shù)PPI,生產者物價指數(shù)PPI及貨幣供應量M2進行實證研究,分析大宗商品的價格波動與我國物價水平變動之間的相關性關系。論文選擇2009年1月至2016年6月期間的變量數(shù)據(jù)并將數(shù)據(jù)分為兩個階段,分別是國際大宗商品上漲階段和國際大宗商品下降階段,使用EVIEWS軟件進行實證研究,首先分析各變量之間的相關性,發(fā)現(xiàn)不論是上升階段還是下降階段,各變量之間均具有顯著的相關性,但是下降階段的相關性沒有上升階段的相關性明顯。為了進一步研究變量之間的相關程度,進而應用向量自回歸模型(VAR),將數(shù)據(jù)帶入Johansen協(xié)整檢驗、Granger因果檢驗、脈沖響應函數(shù)、方差分解等模型進行分析,檢驗結果同樣表明大宗商品價格下跌階段我國物價水平受大宗商品的影響程度較小,說明我國的物價水平存在價格“剛性”,具有易漲不易跌的特點。最后,論文通過對實證結果的分析,認為國際大宗商品價格的上漲階段,其價格上漲對中國物價水平上升的推動作用明顯,但是在大宗商品價格下跌階段,其波動與我國物價水平之間的相關性減弱,說明下跌階段中國物價不易受國際大宗商品價格下跌的影響。論文認為,現(xiàn)階段世界經濟走勢依然不容樂觀,會對中國經濟帶來進一步的通貨緊縮風險,中國仍需警惕這種風險的產生;同時中國應合理利用大宗商品下跌階段的時期,初級產品價格降低帶來的成本紅利,大力發(fā)展國內經濟。
[Abstract]:For a long time, commodity price has been an important economic variable, is a very important strategic living materials and production materials, and plays a very important role in the macroeconomic development of a country. Can affect the trend of the world economy and the level of prices in industrialized countries. In the past decade, the world economic situation has fluctuated, commodity prices have seen several rounds of sharp rises and plummeted. Volatility has been increasing from its peak of 462.74 on June 2008 to its lowest point of 159.78 in February 2005. Up and down more than 300 points. Then began a new round of rise and then fall process. 2014 started the latest round of decline cycle, has continued for more than a year, until February 2016. It has reached an all-time low of 154.85. With China's entry into the WTO, and China's massive demand for commodities. The frequent fluctuation of international commodity prices will inevitably affect China's economic situation, thus affecting China's price level. Under the new normal, the downward pressure of China's economy will increase, and the input effect of commodity price volatility will be increased. In particular, the impact of commodity price collapse on China's economy and price level fluctuations is worth studying. This paper examines the correlation between international commodity price volatility and China's price level. In particular, the former has the expectation and conduction function to the latter. On the basis of summarizing the current research situation of commodity price conduction effect at home and abroad and the research status of domestic price level change caused by commodity. The transmission mechanism of international commodity price fluctuation affecting China's price level is analyzed in detail, including the theoretical basis, transmission conditions and transmission path. The latest commodity futures price index, CRB index, is selected. Consumer price index (PPI), producer price index (PPI) and money supply M2 (M2) are studied empirically. This paper analyzes the correlation between the price fluctuation of commodities and the change of price level in China. The paper selects the variable data from January 2009 to June 2016 and divides the data into two stages. It is the international commodity rising stage and the international commodity declining stage, using the EVIEWS software to carry on the empirical research, first analyzes the correlation between the variables. It was found that there was a significant correlation between the variables in both the ascending stage and the descending stage. In order to further study the correlation between variables, the vector autoregressive model was applied. The data are introduced into the Johansen cointegration test to analyze the Granger causality test, impulse response function, variance decomposition and so on. The test results also show that China's commodity price level is less affected by commodities in the stage of commodity price decline, indicating that China's price level is "rigid", with the characteristics of easy to rise and not to fall. Finally. Through the analysis of the empirical results, the paper thinks that the rising stage of international commodity prices, its price rise on China's price level to promote the role is obvious, but in the stage of commodity price decline. The correlation between the fluctuation and the price level of China is weakened, which indicates that Chinese prices are not easy to be affected by the international commodity price fall in the falling stage. The paper thinks that the trend of the world economy is still not optimistic at the present stage. It will bring further deflationary risk to the Chinese economy, and China still needs to be on guard against this risk. At the same time, China should make good use of the cost dividend brought by lower commodity prices during the period of commodity decline and vigorously develop the domestic economy.
【學位授予單位】：山東師范大學
【學位級別】：碩士
【學位授予年份】：2017
【分類號】：F713.35;F726

【參考文獻】

相關期刊論文 前10條

1 金瑞庭;;國際大宗商品價格走勢及應對策略[J];宏觀經濟管理;2016年02期

2 王繼源;陳璋;龍少波;周曉波;;國際大宗商品價格下跌的成本紅利——基于Ghosh價格變動模型的行業(yè)影響測算[J];價格理論與實踐;2015年12期

3 王繼源;龍少波;胡國良;陳光;;國際大宗商品價格下跌會否帶來輸入性通縮——一個非競爭投入產出價格影響模型分析框架[J];統(tǒng)計與信息論壇;2015年12期

4 黃鈁;;國際大宗商品價格下跌對我國經濟的影響探析[J];價格理論與實踐;2015年09期

5 聞岳春;王婕;程天笑;;國內股市與國際股市、大宗商品市場的溢出效應研究[J];國際金融研究;2015年08期

6 賈儒楠;邢s，

本文編號：1375585