时变视阈下在险通货膨胀的跨国溢出研究  

A Study of the Cross-National Spillover of Inflation-at-Risk from a Time-Varying Perspective

作　　者：郑挺国[1] 巩璐 叶仕奇 Zheng Tingguo;Gong Lu;Ye Shiqi

机构地区：[1]厦门大学宏观经济研究中心、厦门大学经济学院统计与数据科学系、厦门大学王亚南经济研究院 [2]厦门大学邹至庄经济研究院 [3]中国科学院数学与系统科学研究院预测科学研究中心

出　　处：《世界经济》2024年第12期35-70,共36页The Journal of World Economy

基　　金：国家社会科学基金重大项目(23&ZD074);首批国家自然科学基金青年学生基础研究项目(博士研究生)(723B2020);中国博士后科学基金第76批面上项目(2024M763465)的资助。

摘　　要：百年未有之大变局背景下,极端事件频发,全球多个经济体的通货膨胀水平处于历史新高点。为充分考虑世界新格局下通货膨胀兼具的时变性与极端性特征,本文在时变视阈下刻画了在险通货膨胀的同期与跨期交互关系,并在分位数视角下扩展提出时变溢出指数测度与溢出网络构建方法,量化研究了各主要经济体在险通货膨胀的溢出现象。结果表明,各国通货膨胀的同期与滞后关系兼具分位点的异质性与显著时变性特征,且在重大事件下出现结构性变化;此外,总溢出指数在不同分位点呈U型特征,在极端低与温和通货膨胀状态下,欧美国家为通货膨胀风险的主要溢出方,在极端高的状态下,俄罗斯的通货膨胀风险溢出显著升高,而中国大多情况为通货膨胀的净溢入方。影响因素分析表明,通货膨胀在险溢出效应和风险积聚在尾部的非对称程度主要受全球通货膨胀水平、原油价格波动等多种因素的影响。Against a backdrop of unprecedented change,extreme events and record levels of inflation are taking place in economies around the world.To adequately consider the time-varying and extreme nature of inflation in this new global paradigm,this paper proposes and estimates a time-varying parameters quantile vector autoregressive(TVP-QVAR)model.The model aims to describe the contemporary and intertemporal relationships of inflation-at-risk from a time-varying perspective.Using a quantile-based approach,the paper also proposes an extended time-varying spillover index and a network construction method to quantify the mutual spillover characteristics of inflation-at-risk among major economies in high,moderate and low inflation scenarios.The results indicate that the contemporaneous and lagged inflation relationships between countries exhibit both heterogeneity at different quantiles and significant time-varying characteristics,with structural changes occurring in major events.The inflation-at-risk spillover analysis reveals a U-shaped pattern for the overall spillover index at different quantiles,being lower in the middle and higher at both ends.Notably,European and American countries are the primary sources of inflation risk spillover in extremely low and moderate inflation states.Conversely,during extremely high inflation,Russia’s inflation risk spillover significantly increases,while China primarily acts as a net recipient of inflation in most scenarios.Further analysis of the influencing factors suggests that inflation-at-risk spillover effects and the asymmetry of risk accumulation at the tail end are primarily influenced by global inflation levels,global economic conditions,crude oil price fluctuations,financial market volatility and uncertainty in US policies.This paper offers a new perspective for the study of time-varying complex economic systems in extreme situations and provides useful information for China to prevent imported inflation risks under a new development paradigm.

关 键 词：时变分位数向量自回归模型 在险通胀 溢出指数 网络分析 

分 类 号：F821.5[经济管理—财政学] F224