政策漂移、大宗商品价格波动与通货膨胀  

Policy Drift,Bulk Commodity Price Fluctuation and Inflation

作　　者：黄恒 齐保垒 孙国茂[3] Huang Heng;Qi Baolei;Sun Guomao(School of Economics and Management,Xinjiang University,Urumqi 830046,China;School of Management,Xi’an Jiaotong University,Xi’an 710049,China;School of Economics,Qingdao University,Qingdao Shandong 266000,China)

机构地区：[1]新疆大学经济与管理学院,乌鲁木齐830046 [2]西安交通大学管理学院,西安710049 [3]青岛大学经济学院,山东青岛266000

出　　处：《统计与决策》2023年第6期131-136,共6页Statistics & Decision

摘　　要：文章采用含随机波动的时变向量自回归模型(TVP-SV-VAR),对政策漂移视域下的大宗商品价格波动与通货膨胀之间的时变关系进行实证研究,结果表明:(1)政策漂移与大宗商品价格波动之间存在双向影响关系,其交互效应使得我国政策漂移具有较强的自我实现机制;(2)政策漂移会通过直接和间接效应的叠加影响提升我国通货膨胀水平;(3)生产者价格指数作为通货膨胀的先行指标包含了较多大宗商品的价格变动,且主要体现为生产资料的价格变动;(4)大宗商品价格变动对消费者价格指数的影响有一定的滞后效应,且对城市消费价格的冲击较农村更大。This paper uses the Time Varying Parameter-Stochastic Volatility-Vector Auto Regression(TVP-SV-VAR)model to empirically study the time-varying relationship between bulk commodity price fluctuations and inflation in the view of policy drift.The results go as the following:(1)There is a two-way relationship between policy drift and bulk commodity price fluctuations,and the mutual effect makes China’s policy drift have a strong self-actualization mechanism.(2)Policy drift increases China’s inflation level through the superposition of direct and indirect effects.(3)As a leading indicator of inflation,Producer Price Index(PPI)includes the price changes of many bulk commodities and is mainly reflected in the price changes of means of production.(4)The change of bulk commodity price has a certain lag effect on the consumer price index,and the impact of urban consumer price is greater than that of rural areas.

关 键 词：政策漂移 大宗商品价格波动 通货膨胀 TVP-SV-VAR模型 

分 类 号：F120[经济管理—世界经济] F822.5