本文關(guān)鍵詞：大宗商品期貨價(jià)格對(duì)我國(guó)通貨膨脹的傳導(dǎo)效應(yīng)研究　出處：《浙江財(cái)經(jīng)大學(xué)》2017年碩士論文　論文類型：學(xué)位論文

  更多相關(guān)文章： 大宗商品期貨價(jià)格 我國(guó)CPI 傳導(dǎo)渠道

【摘要】：自從中國(guó)加入世界貿(mào)易組織后,其對(duì)外經(jīng)濟(jì)的聯(lián)動(dòng)性越來(lái)越緊密,我國(guó)CPI受?chē)?guó)內(nèi)外的大宗商品價(jià)格波動(dòng)的影響也越來(lái)越深。近十幾年來(lái),大宗商品期貨價(jià)格歷經(jīng)了大漲、大跌、平緩變動(dòng)的循環(huán)歷程。在2015年,國(guó)際大宗商品又迎來(lái)了一波新的跌潮,這也極大地影響了我國(guó)的PPI和CPI的走勢(shì),從而影響我國(guó)社會(huì)經(jīng)濟(jì)的發(fā)展。由于大宗商品期貨價(jià)格的波動(dòng)要先于消費(fèi)者價(jià)格指數(shù)和生產(chǎn)者價(jià)格指數(shù),故可以以大宗商品期貨價(jià)格作為預(yù)警指標(biāo),及時(shí)對(duì)通貨膨脹預(yù)期進(jìn)行有效管理。本文基于2006年1月至2016年6月的相關(guān)數(shù)據(jù),采用小波分析(MODWT與交叉小波變換分析相結(jié)合)的方法來(lái)研究大宗商品期貨價(jià)格對(duì)我國(guó)CPI的影響。本文實(shí)證部分首先分析了大宗商品期貨價(jià)格影響CPI的不同傳導(dǎo)途徑,分為直接影響和間接影響。直接影響主要分析了國(guó)際大宗商品期貨價(jià)格對(duì)我國(guó)CPI的影響和國(guó)內(nèi)大宗商品期貨價(jià)格對(duì)我國(guó)CPI的影響,并分析了國(guó)際大宗商品期貨價(jià)格對(duì)我國(guó)國(guó)內(nèi)大宗商品期貨價(jià)格的影響。間接影響主要分析國(guó)際大宗商品期貨價(jià)格對(duì)我國(guó)PPI的走勢(shì)影響�；谝陨系姆治鼋Y(jié)果,進(jìn)一步構(gòu)建了一個(gè)多因素綜合模型,采用VAR模型來(lái)分析國(guó)內(nèi)大宗商品期貨價(jià)格和其他宏微觀因素(包括貨幣因素)對(duì)CPI總指數(shù)的波動(dòng)貢獻(xiàn)度。研究發(fā)現(xiàn),大宗商品期貨價(jià)格影響我國(guó)物價(jià)水平的三條現(xiàn)/期貨傳導(dǎo)渠道都顯示有效,其中第二條渠道:CRB—CFCI—CPI最為顯著。接下來(lái)是直接影響渠道:CRB—CPI,最后借由PPI傳導(dǎo)的渠道可能存在末端失效的情況(CPI和PPI總指數(shù)在近幾年存在小幅度的“背離”),但CRB—PPI這段仍有效。而在國(guó)內(nèi)大宗商品期貨中糧食期貨和農(nóng)產(chǎn)品期貨對(duì)我國(guó)消費(fèi)者物價(jià)水平的貢獻(xiàn)度最高。研究還發(fā)現(xiàn)大宗商品期貨通過(guò)我國(guó)的貨幣供應(yīng)量來(lái)影響我國(guó)CPI的傳導(dǎo)渠道并不顯著(在其他因素的共同影響下,貨幣因素對(duì)CPI的影響被削弱了),但美國(guó)CPI對(duì)我國(guó)CPI波動(dòng)的貢獻(xiàn)度仍較大。本文在研究?jī)?nèi)容、研究方法和結(jié)構(gòu)應(yīng)用上都實(shí)行了一定的突破。在以往學(xué)者的相關(guān)研究中,大多都僅僅分析了國(guó)際大宗商品期貨價(jià)格對(duì)我國(guó)CPI的影響,而且關(guān)于傳導(dǎo)機(jī)制及綜合因素的研究較少。在分析方法上,以往的相關(guān)研究中,大多采用原數(shù)據(jù)直接進(jìn)行分析,通過(guò)多元線性回歸和格蘭杰因果檢驗(yàn)來(lái)進(jìn)行相關(guān)性分析。這些分析都單單基于時(shí)間維度來(lái)研究,結(jié)果的有效性不佳。本文通過(guò)極大重疊小波變換對(duì)數(shù)據(jù)進(jìn)行小波分解,分為短期、中期及長(zhǎng)期三大尺度,采用小波相干、互譜分析等進(jìn)行多尺度的相關(guān)性分析,從時(shí)頻-域頻兩個(gè)尺度來(lái)分析,以確保結(jié)果的有效性。最后納入貨幣因素,通過(guò)構(gòu)建VAR模型來(lái)分析各變量對(duì)CPI變動(dòng)的貢獻(xiàn)度,以研究在多因素體系中各變量是否依然有效。在結(jié)果的運(yùn)用上,以往的研究大都未系統(tǒng)地將分析結(jié)果與我國(guó)通貨膨脹預(yù)期管理相掛鉤。本文利用研究結(jié)果提出以大宗商品期貨價(jià)格為“信號(hào)”進(jìn)行通貨膨脹預(yù)期管理,在為政府更有效地加強(qiáng)預(yù)期管理、調(diào)控CPI提供新的視角的同時(shí)還為企業(yè)和個(gè)人投資者提出了如何利用有效的通脹預(yù)期來(lái)改變自身的經(jīng)濟(jì)行為。
[Abstract]:Chinese since joining the world trade organization, the linkage of the foreign economy more closely, the impact of China's CPI by commodity price fluctuations both in China and abroad is more and more deep. In recent years, commodity futures prices rose after the crash, the cycle of change, gradual process. In 2015, the international commodity ushered in a new wave of falling tide, which has greatly affected China's PPI and CPI trend, thus affecting China's economic and social development. Because the commodity futures price volatility ahead of the consumer price index and producer price index, it can be in commodity futures prices as early warning indicators, timely and effective the management of inflation expectations. The related data from January 2006 to June 2016 based on wavelet analysis (MODWT analysis and Cross Wavelet Transform) method to study the commodity futures price The influence of CPI in our country. In the empirical part of this paper first analyzes the commodity futures prices affect the different pathways of CPI, divided into direct and indirect influence. Direct influence mainly analyzes the impact of international commodity futures price impact on China's CPI and domestic commodity futures price of CPI in China, and analysis the impact of international commodity futures prices of China's domestic commodity futures prices. The indirect influence of the international commodity futures prices on China's PPI trend. Based on the above analysis results, further builds a comprehensive model of multiple factors, using VAR model to analyze the domestic commodity futures prices and other macro the factors (including monetary factors) of CPI index fluctuation contribution. The study found that the price level in China is now three / futures commodity futures price transmission channel Are shown to be effective, including second channels: CRB - CFCI - CPI was the most significant. The next is the direct influence channels: CRB - CPI, finally by PPI transmission channels may exist at the end of the failure (CPI and PPI index in recent years are small "departure"), but CRB this PPI is still valid. In the domestic commodity futures in the contribution of grain futures and agricultural products futures to China's consumer price level is the highest. The study also found that commodity futures through China's money supply to influence the transmission channel of CPI in China is not significant (currency factors of CPI was weakened in the common influence factor under him), but the United States, CPI CPI of China wave contribution is still large. In this paper, research contents, research methods and structure of application have made some breakthrough. The related research in the past scholars, mostly just analysis The impact of international commodity futures price of CPI in China, and the research on the transmission mechanism and comprehensive factors less. In the analysis, the related research in the past, most of the original data to direct analysis, correlation analysis was carried out by multiple linear regression and Grainger causality test. These analyses are based solely on time dimension poor study, the validity of the results. The maximum overlap wavelet transform to data using wavelet decomposition, divided into short-term, medium-term and long-term three large scale, using wavelet coherence correlation analysis, cross spectrum analysis and multi-scale analysis, time frequency and frequency domain from two dimensions, to ensure the validity of the results finally into the monetary factors, the variables on the contribution of CPI to analyze the changes by constructing a VAR model, in order to study multi factor system variables are still effective in the results of the application, Most of the previous studies are not systematic analysis results and China's inflation expectations management is linked with the research results presented in this paper. The commodity futures prices for the "signal" in the management of inflation expectations, the government effectively expected to strengthen the management and regulation of CPI to provide a new perspective for enterprise and individual investors are also put forward how to effectively use the inflation expectations to change its economic behavior.

【學(xué)位授予單位】：浙江財(cái)經(jīng)大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2017
【分類號(hào)】：F822.5;F724.5

【參考文獻(xiàn)】

相關(guān)期刊論文 前10條

1 程均麗;李雪;劉梟;;中國(guó)通貨膨脹預(yù)期異質(zhì)性研究——兼論我國(guó)中央銀行的通貨膨脹預(yù)期管理[J];經(jīng)濟(jì)評(píng)論;2015年06期

2 羅曉們;陳亞雯;;國(guó)際通貨膨脹預(yù)期管理方法評(píng)析及對(duì)中國(guó)的啟示[J];經(jīng)濟(jì)問(wèn)題探索;2014年04期

3 江春;李小林;張倉(cāng)耀;;中國(guó)貨幣供給變動(dòng)與物價(jià)變動(dòng)之間的關(guān)系——基于Morlet小波時(shí)頻相關(guān)性分析[J];南方經(jīng)濟(jì);2013年06期

4 張?zhí)祉?;國(guó)際大宗商品價(jià)格沖擊會(huì)影響國(guó)內(nèi)的通貨膨脹嗎?——基于跨國(guó)數(shù)據(jù)的經(jīng)驗(yàn)研究[J];投資研究;2013年06期

5 王飛;孫維堯;;國(guó)際大宗商品價(jià)格與國(guó)內(nèi)物價(jià)水平的影響關(guān)系研究——基于美國(guó)量化寬松貨幣政策環(huán)境下的分析[J];價(jià)格理論與實(shí)踐;2013年01期

6 李乾孫;翁鳴曉;;庫(kù)存周期與大宗商品價(jià)格[J];上海金融;2012年09期

7 金成曉;盧穎超;;國(guó)外通貨膨脹預(yù)期管理研究的新進(jìn)展及其借鑒意義[J];江西社會(huì)科學(xué);2012年06期

8 王曉芳;王永寧;李潔;;國(guó)際大宗商品期貨價(jià)格與中國(guó)CPI波動(dòng)關(guān)系的經(jīng)驗(yàn)研究[J];財(cái)貿(mào)經(jīng)濟(jì);2011年06期

9 裴輝儒;陳領(lǐng);孫曉亮;;以農(nóng)產(chǎn)品期貨價(jià)格發(fā)現(xiàn)建立CPI預(yù)警機(jī)制[J];商場(chǎng)現(xiàn)代化;2011年14期

10 常清;趙冬梅;胡捷帆;;CRB對(duì)我國(guó)CPI價(jià)格指數(shù)的關(guān)系引導(dǎo)性研究[J];金融理論與實(shí)踐;2010年10期

相關(guān)碩士學(xué)位論文 前1條

1 曹建軍;國(guó)際大宗商品價(jià)格波動(dòng)對(duì)國(guó)內(nèi)物價(jià)水平的影響研究[D];南京財(cái)經(jīng)大學(xué);2011年

，

本文編號(hào)：1406994