摘要
本文运用向量系统下的协整分析方法,针对1998—2009年不同生产和消费阶段的上中下游价格的动态传导特征以及货币因素对不同价格的驱动机制进行分析。研究结果表明,我国上中下游价格存在长期均衡关系,并且上中游价格对下游价格具有显著动态传递效应,而下游价格对中游价格以及中游价格对上游价格分别存在反向传导的倒逼机制。另外,货币因素对上游价格的动态驱动效果最为显著,但并没有直接作用于下游价格。因此,虽然货币政策的现时变化可能在一段时间内不会直接反映在下游居民消费价格的变化上,但却可以通过影响上游价格进而传导到下游价格。这种间接的动态传导机制对通胀预测及政策制定具有重要启示。
This paper employs vector cointegration method to analyze the nature of price transmission mechanism of different stages of processing and the driving mechanism of money on the different prices over 1998—2009.Empirical results show that there is a long-run equilibrium among the underlying prices.The prices in the early and intermediate stages have a significant causal relationship on the price in the late stage,while the reversed price transmission occurs between the underlying prices.In addition,money supply imposes significant impact on the price of the early stage,but manifests no significant driving force on the price of the late stage.This finding implies that albeit money does not have direct pressure on consumer price,it can pass the pressure through the price in the early stage of processing,which provides important implications to inflation forecasting and policy making.
出处
《经济研究》
CSSCI
北大核心
2010年第6期42-52,共11页
Economic Research Journal
基金
教育部“新世纪优秀人才支持计划”资助
关键词
长期均衡
价格倒逼
协整分析
通货膨胀
Long-run Equilibrium
Reversed Price Transmission
Cointegration Analysis
Inflation
