金融周期波动与价格结构转换——基于时变关联机制和区制转移特征的分析  

Volatility of Financial Cycle and Price Structure Changes——Analysis Based on Time-Varying Correlation Mechanism and Regime Switching Characteristic

作　　者：李梦嘉 金成晓[2,3] LI Meng-jia;JIN Cheng-xiao(Ocean College of Tangshan Normal University,Tangshan 063000,China;Center for Quantitative Economics,Jilin University,Changchun 130012,China;School of Business,Jilin University,Changchun 130012,China)

机构地区：[1]唐山师范学院海洋学院,河北唐山063000 [2]吉林大学商学院,吉林长春130012 [3]吉林大学数量经济研究中心

出　　处：《经济体制改革》2023年第2期148-157,共10页Reform of Economic System

基　　金：国家自然科学基金面上项目“中国金融周期的波动特征、形成机理及其与经济周期的动态关联机制研究”(71873056);教育部规划基金项目“基于状态识别与工具协调的货币政策与宏观审慎政策双支柱调控框架研究”(19YJA790036);唐山师范学院科学研究基金项目成果“财政支持沿海经济高质量发展机制与对策研究”(2023A02)。

摘　　要：CPI与PPI的相对变化及其所反映的上下游价格结构转换问题,在给宏观调控带来较大挑战的同时,也引发了学术界的广泛关注。在分析价格指数波动典型特征的基础上,运用TVP-VAR模型和TVTP-MS模型,实证分析金融周期波动与我国上下游价格结构转换的时变关联机制和区制转移特征。研究结果表明:上游价格水平相较下游价格水平对金融因素变化更敏感,在此过程中信贷量相较于资产价格对价格结构的影响表现出更明显的时变特征。同时,当价格结构处于稳定区制时,相较于高波动区制,金融周期波动对价格结构的影响更显著。未来,宏观政策需综合考虑多种因素,采用分类调控与依时调控相结合的方式,以保持物价整体平稳结构合理,助力经济高质量发展。The relative changes of Consumer Price Index CPI and Producer Price Index PPI and the upstream and downstream price structure shifts reflected by them,have brought a great challenge to macroeconomic regulation,and also aroused widespread concern in academia.Based on the analysis of the typical characteristics of price index fluctuations,the TVP-VAR model and TVTP-MS model are used to empirically analyze the time-varying correlation mechanism and regional switching characteristic of financial cycle and upstream and downstream price structure changes in China.The empirical results show that the upstream price is more sensitive to changes in financial variables than the downstream price,and the impact of credit changes on the price structure shows more obvious time-varying characteristics than that of asset prices in this process.Meanwhile,the impact of financial cycle fluctuations on the price structure is more pronounced when the price structure is in a stable regime than in a highly volatile regime.In the future,macro policy should take into account a variety of factors and adopt a combination of categorical regulation and timely regulation,maintain a stable and reasonable price structure to promote high-quality economic development.

关 键 词：金融周期 价格结构转换 TVP-VAR模型 TVTP-MS模型 

分 类 号：F822[经济管理—财政学]