输入型通胀还是本土价格回溢?——基于动态溢出与时变因果视角的分析  

Imported Inflation or Local Price“Spillback”?Based on the Perspective of Dynamic Spillover and Time-varying Causality

作　　者：隋建利[1] 张龙[1] 申瑛琦 Sui Jianli;Zhang Long;Shen Yingqi(School of Business and Management,Jilin University)

机构地区：[1]吉林大学商学与管理学院

出　　处：《经济科学》2023年第3期23-41,共19页Economic Science

基　　金：国家社会科学基金重大项目“新发展格局下中国经济韧性的形成机理、动态评价与政策协同研究”(项目编号:21&ZD073);吉林省教育厅科学研究项目“货币政策调控取向、多重预期与宏观调控跨周期设计研究”(项目编号:JJKH20220135SK)的阶段性研究成果。

摘　　要：本文基于CPI与PPI数据刻画中美物价水平的运行表象,进一步测度和识别中美各类物价水平之间的溢出效应和时变Granger因果关系。结果表明:第一,中美各类物价水平之间既有长期协同一致走势,也有个别阶段“错位”分布差异。第二,中美各类物价水平之间存在“互溢”影响,输入型通胀与本土价格回溢共存,物价水平溢出效应具有时变特征、国别差异和价格分类属性,中国市场面临输入型通胀压力。第三,中美各类物价水平不但具有国内传导路径,还具有跨国传递渠道。大多时点上,中美各类物价水平之间存在较强的Granger因果关系,但也存在个别时点上的“脱钩”现象。This paper portrays the fluctuation trend of price levels between China and the US based on the CPI and PPI data,and further identifies and analyzes the Granger causality and dy-namic spillover effects among the price levels.The research results are as follows.First,there are both long-term coordinated trends and staged distributional differences among the price levels of China and the US.Second,there is a significant spillover effect between China and the US in terms of price levels over the sample period,with imported inflation coexisting with local price spillback.Price spillovers have time-varying characteristics,country differences,and price clas-sification attributes.Chinese market is facing with imported inflationary pressure from the US market.Third,the price levels of China and the US not only have a domestic transmission path but also have a cross-country transmission channel.At most time points,there is a strong Grang-er causality between China and the US in price levels,but there is also a decoupling phenomenon at individual time points.

关 键 词：通货膨胀 物价互溢 TVP-VAR-DY模型 时变格兰杰(Granger)因果关系检验 

分 类 号：F015[经济管理—政治经济学]