本文關(guān)鍵詞：進口大宗商品和通貨膨脹　出處：《中國社會科學院研究生院》2016年博士論文　論文類型：學位論文

  更多相關(guān)文章： 進口大宗商品 通脹率 通貨膨脹 政策 傳導

【摘要】：進口大宗商品和通貨膨脹之間具有緊密的聯(lián)系,大宗商品價格沖擊給經(jīng)濟帶來過通貨膨脹高企和經(jīng)濟增長減緩的雙重打擊,而這種影響往往超出宏觀經(jīng)濟政策調(diào)控能力。目前,我國對部分大宗商品的進口依存度比較高,而且我國進口市場、金融市場和經(jīng)濟政策對國際大宗商品價格的影響力不足,致使大宗商品進口價格具有較大程度的外生性。時值人民幣匯率改革如火如荼推進之際,我們不能不認真思索,進口大宗商品的價格變化是怎樣的?進口大宗商品價格變化會如何影響國內(nèi)通脹率?大宗商品價格沖擊的通貨膨脹傳導機制是什么?進口大宗商品的影響是否可以在宏觀經(jīng)濟管理部門的掌控之中?本文的研究正是試圖尋求這些問題的答案。本文的研究思路是:首先,以大宗商品進口依存度為標準選擇進口大宗商品的代表性品種,并通過主成分分析方法得到資源性產(chǎn)品和農(nóng)產(chǎn)品兩類大宗商品進口價格指數(shù),以衡量大宗商品真實進口價格的變化情況;其次,鑒于我國通脹率變化所具有的結(jié)構(gòu)性特征和非線性特征,通過馬爾可夫區(qū)制轉(zhuǎn)移模型檢驗不同狀態(tài)下包括大宗商品進口價格指數(shù)在內(nèi)的若干因素對不同通脹率度量指標及其之間關(guān)系的影響;再次,進一步定性分析進口大宗商品價格沖擊的通貨膨脹傳導機制,比較不同時期傳導機制的變化,梳理不同的傳導機制及其綜合傳導過程,探討傳導機制中的變化因素及其影響等,以期更深入地探究進口大宗商品和通貨膨脹之間的聯(lián)系;最后,在時間不一致性假設前提下,分析貨幣和財政政策沖擊對進口大宗商品價格和通貨膨脹的影響,以期了解在二者存在緊密聯(lián)系的背景下宏觀經(jīng)濟政策如何在控制通貨膨脹和促進經(jīng)濟增長之間合理地抉擇并發(fā)揮積極的作用。本文的研究結(jié)論和創(chuàng)新之處可以概括為:第一,提出了大宗商品進口價格指數(shù)的構(gòu)建方案,包括分析進口大宗商品價格中的外生性成分、統(tǒng)計大宗商品進口依存度以選擇代表性品種,以及分別提取資源性產(chǎn)品和農(nóng)產(chǎn)品兩類進口大宗商品真實價格變化率的主成分等,并識別出所構(gòu)建的大宗商品進口價格指數(shù)的主要影響因素包括進口大宗商品的定價機制和存用比情況等;第二,拓展了關(guān)于通脹率非線性變化特征的研究,利用馬爾可夫區(qū)制轉(zhuǎn)移模型檢驗了進口大宗商品價格的通脹率影響,比較了不同因變量、自變量和控制變量組合下模型的擬合優(yōu)度和估計效率,并發(fā)現(xiàn)資源性產(chǎn)品比農(nóng)產(chǎn)品對產(chǎn)成品通脹率和消費品通脹率之間差異的影響要大,并且在工業(yè)增加值上升時,通脹率的差異會相對縮小,而在工業(yè)增加值下降時,差異將相對擴大;第三,總括了大宗商品價格沖擊在供給側(cè)和需求側(cè)兩種途徑下對通貨膨脹的對稱性和非對稱性傳導機制,識別了影響傳導機制的變化因素如需求彈性、市場情緒和貨幣政策等,并認為對于貨幣影響力相對較弱的國家來說,大宗商品價格沖擊觸發(fā)通貨膨脹是一個較大概率事件;第四,探討了宏觀經(jīng)濟政策相機抉擇可能產(chǎn)生的時間不一致性和選擇兩難性,使用信息容量大、參數(shù)時變的TVP-FAVAR模型克服了計量模型本身產(chǎn)生的“價格之謎”并突破了模型變量之間的線性約束條件,實證分析了貨幣和財政政策沖擊在短期內(nèi)和長期內(nèi)對進口大宗商品價格和國內(nèi)通貨膨脹可能產(chǎn)生的二次傳導問題,并認為,當大宗商品價格暴漲戳破了經(jīng)濟“高增長、低通脹”的美景時,宏觀經(jīng)濟管理部門應謹慎使用擴張性財政政策,而應嘗試使用具有自動穩(wěn)定功能的稅收政策來促進經(jīng)濟復蘇。
[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.

【學位授予單位】：中國社會科學院研究生院
【學位級別】：博士
【學位授予年份】：2016
【分類號】：F822.5;F752.61
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本文編號：1377333