摘要
本文从结构突变的视角,考察国际大宗商品价格波动对中国经济的影响规律。首先,运用内生多重结构突变的Bai-Perron检验,发现从1990~2015年的国际原油价格指数、工业投入品(包括金属和农产品)价格指数、中国工业增加值增长速度、消费物价指数等4个指标均存在结构突变现象。然后,利用退势处理方法去除这4个指标的结构突变影响,并运用结构向量自回归(SVAR)模型,建立了这4个指标之间的动态关系系统。脉冲响应分析表明,国际原油价格上升,短期内会减缓我国经济增长速度,但中期内反而会对经济有小幅刺激作用,同时会逐渐拉升我国物价水平;工业投入品价格上升也会减缓我国经济增长速度,但会先拉升后降低物价水平。本文通过考虑结构突变这一重要因素,能更精确地揭示国际大宗商品价格波动对中国经济的影响情况。
In this paper,the impact of international commodity prices fluctuation on China＇s economy is investigated from the perspective of structural mutation.At first,by endogenous multiple structural break Bai-Perron testing method,we find the existence of structural break phenomenon in the international crude oil price index,industrial inputs（including metals and agricultural products）price index,China＇s industrial added value growth rate and consumer price index from 1990 to 2015.Then,the structural break of the four indexes is removed by the de-trending method,and the dynamic relationship among these four indexes is established by using the structure vector auto regressive（SVAR）model.Impulse response analysis shows that if the international crude oil prices rising,it will slow down China＇s economic growth rate in short term,but in the medium term it has a slight stimulating effect on the economy,at the same time it will gradually pull the price level of China.When the industrial inputs price increases,it will also slow down China＇s economic growth rate,and the price level firstly increases then decreases.In this paper,by considering the important factor of structural break,the influence of international commodity price fluctuation on China＇s economy can be revealed more accurately.
出处
《工业技术经济》
CSSCI
北大核心
2017年第4期122-130,共9页
Journal of Industrial Technological Economics
基金
北京市自然科学基金面上项目(项目编号:9152007)
