价格国际传递链中的“中国因素”研究——基于非线性Granger因果检验  

Research on the Role of China in International Transmission of Price──An Analysis Based on A Nonlinear Granger Causality Test

作　　者：杨子晖[1] 温雪莲[2] 

机构地区：[1]中山大学岭南学院 [2]华南师范大学经济管理学院

出　　处：《统计研究》2010年第2期87-93,共7页Statistical Research

基　　金：教育部人文社会科学研究青年基金项目(项目批准号:08JC790104);2008年广东省学科专项资金建设项目(育苗工程项目);中山大学经济研究所基地建设经费资助

摘　　要：传统的Granger因果检验方法在现代经济学研究领域中得到了广泛的应用,然而,近年来的研究却发现,传统的Granger因果检验方法可能因忽略变量间的非线性关系而导致结论出现显著偏差。有鉴于此,本文首次采用最新发展的非线性Granger因果检验方法——Diks和Panchenko(2006)提出的非参检验方法,对中国在价格国际传递链中的地位与作用展开非线性研究。研究结果表明,通货膨胀在国际传递过程中呈现出显著的非线性动态变化趋势,而进一步的分析则发现在价格水平非线性传递中,作为世界第一大经济实体的美国发挥着主导作用,而中国对贸易伙伴国物价水平的冲击则十分微小,中国既无输出通货紧缩,也无输出通货膨胀。与此同时,本文还发现,现阶段中国物价水平呈现明显的外部"输入性"特征,因此,为了实现物价的长期稳定,我们必须在较好地应对国际冲击的同时,防范"输入型通货紧缩"与"输入型通货膨胀"的引发风险。Traditional Granger causality tests are widely applied in modern economic research,however,recent research points out that if ignoring nonlinear relationship between variables,conclusions based on traditional Granger causality tests may be biased. So using the more recently developed technique of a nonlinear Granger causality test（Diks和Panchenko,2006）,this paper investigates the role that China plays in the international transmission of inflation in nonlinear framework. The results indicate that inflation series exhibit significant nonlinear dynamics feature and the US,as the largest economic force in the world,plays the most important role in the international transmission of inflation,however,inflation in China has a little impact on its trading partners inflation,implying that China has not exported its deflation and/or inflation to the global. Moreover,our evidence also indicates that inflation in China exhibits external imported feature,so in order to achieve the goal of long-term price stability,we should deal well with external shocks and avoid the risk of ＂imported deflation＂ and ＂imported inflation＂.

关 键 词：价格国际传递 非线性Granger因果检验 价格平稳 

分 类 号：C812[社会学—统计学]