国际原油价格对中国通货膨胀的非线性冲击  

The nonlinear impact of international crude oil prices on China’s inflation

作　　者：张源野 叶阿忠 李田田 ZHANG Yuan-ye;YE A-Zhong;LI Tian-tian(School of Economics and Management,Fuzhou University,Fuzhou,Fujian 350108)

机构地区：[1]福州大学经济与管理学院,福建福州350108

出　　处：《价格月刊》2024年第2期38-48,共11页

基　　金：国家自然科学基金面上项目“半参数门限空间滞后模型理论研究及其应用”(编号:72073030)。

摘　　要：为更好了解国际油价冲击下的通胀风险,分别以国际原油价格、PPI和CPI为门槛变量,使用门槛向量自回归模型与广义脉冲响应函数分析了国际原油价格波动对中国PPI和CPI的冲击。研究发现:国际原油价格波动对中国的PPI和CPI有显著影响,且影响程度和方向取决于国际原油价格、PPI和CPI所处的门槛区间。当国际原油价格处于不同水平时,国际油价冲击造成的影响各有不同。当通货膨胀处于较高水平时,国际油价冲击对通货膨胀造成的影响较大,反之,则影响较小。此外,国际原油价格冲击对通货膨胀的影响具有非对称性,但国际油价上涨造成的影响并没有总是大于下跌冲击。In order to better understand the inflation risk under the international oil price shock,this paper takes the international crude oil price,PPI and CPI as threshold variables,and uses the threshold vector autoregressive model and generalized impulse response function to analyze the impact of international crude oil price fluctuations on China’s PPI and CPI.The results show that the fluctuation of international crude oil prices has a significant impact on China’s PPI and CPI,and the degree and direction of the impact depends on the threshold range of international crude oil prices,PPI and CPI.When the international crude oil price is at different levels,the impact of the international oil price shock is different.When inflation is at a high level,the impact of international oil price shocks on inflation is greater,and vice versa.In addition,the impact of international crude oil price shocks on inflation is asymmetric,but the impact of rising international oil prices is not always greater than that of falling shocks.

关 键 词：门槛向量自回归 广义脉冲响应 国际原油价格 PPI CPI 

分 类 号：F726[经济管理—产业经济]