摘要
本文以研究国际原油价格波动对我国物价的影响及其传导途径为目的。为了定量的分析其影响和传导途径,主要选取了1999年1月～2009年6月期间各主要变量的月度数据,采用Ganger因果关系检验方法以及VAR模型的脉冲响应函数分析方法,深入分析了国际原油价格变动对国内物价传导的一般途径和传导效应。实证分析结果表明,在油气产品传导途径上,国际原油价格的波动对CPI具有直接影响作用;在有机化工产品传导路径上,国际原油价格冲击对CPI具有间接的影响。对国际原油价格波动、PPI以及CPI3者之间的关系进行实证分析表明,原油价格波动是PPI变动的单向Granger因,同时PPI又是CPI变动的单向Granger因,并据此得出了相应的政策启示。
Because China is a net oil importer,sharp fluctuations in international crude oil prices in these years would undoubtedly bring an impact on China＇s macro-economy.The main purpose of this paper was to investigate in detail the impacts of fluctuations in international crude oil prices on China＇s price and its mechanism.In order to quantify their impacts and transduction pathway,The Granger causality test and VAR model impulse response function were utilized to examine the data of the period January 1999 to June 2009 in this study.Through empirical analyses,it was concluded that in the upper reaches of the transduction pathway of the oil and gas products,the international crude oil fluctuations show a time lag effect on domestic oil and gas product prices.In the middle and lower reaches of the conduction path,fluctuations in oil prices down transmission become smoother.Since the fierce competition in transportation industry,however,the effect of oil volatility conducts partly,while changes in gasoline prices will directly affect the change in CPI.Fluctuations in oil price will exert a direct impact on the purchasing price index for raw materials,fuel,and power,thus causing fluctuations in prices of industrial fuel,and leading to the change in PPI further.It was also found that in the upper reaches of the propagation path of organic chemical products,crude oil processing industry can pass down the cost of crude oil prices through organic chemical products by virtue of its monopoly position.In the lower reaches of the transduction pathway,on the one hand,the effect of fluctuations in the prices of chemical raw materials can be smoothly passed to plastics,rubber,chemical fiber and other industrial products;on the other hand,prices of these products are subject to price fluctuations in the reverse effect.At the same time,there exists a bilateral interaction between the product price volatility and PPI.The empirical analysis of the relationship between the price fluctuations in crude oil,PPI and CPI showed that the fluctuation in crude oil price is the one-way Granger cause for the change of PPI,while PPI is the one-way Granger cause for the change in CPI.On the basis of the analysis and conclusions drawn above,some policy implications are given as follows.The government should not only strengthen the inspection and prediction systems about the international crude oil price fluctuations,but also develop our own oil futures markets as quickly as possible.At the same time,it was suggested that the government learn from the experience of the United States and Japan to strive for the pricing for international oil prices.The government should also promote the development of the domestic oil pricing mechanism.The market-oriented pricing mechanisms should be adopted for the timely adjustment of domestic oil prices.In order to remove institutional barrier in the propagation path of crude oil prices,the government needs to actively encourage private oil enterprises to participate in market competition,thus breaking the deadlock of the monopoly existing in the oil production and supply.
出处
《资源科学》
CSSCI
CSCD
北大核心
2009年第12期2110-2119,共10页
Resources Science
基金
教育部人文社会科学重点研究基地2008年度重大项目:"我国经济周期波动态势与宏观经济总量内在关联机制的动态计量研究"(编号:08JJD790133)
教育部人文社会科学研究应急项目:"金融危机中的经济形态关联性与市场反应机制研究"(编号:2009JYJR014)
吉林大学"985工程"研究生创新基金重点项目:"经济与金融时间序列非线性和非对称性的计量与应用研究"(编号:20081101)
