大宗商品价格冲击下国内外通货膨胀的空间关联性研究*

唐正明, 郭光远

国际金融研究 ›› 2018 ›› Issue (12) : 40-51.

国际金融研究 ›› 2018 ›› Issue (12) : 40-51.
环球金融

大宗商品价格冲击下国内外通货膨胀的空间关联性研究*

  • 唐正明, 郭光远
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摘要

本文通过改进Amiti et al.(2017)和Gopinath & Itskhoki(2010)的模型,基于大国开放经济下企业的一般定价框架和2005—2014年42国数据,利用空间计量分析方法,探讨国内外通货膨胀的空间关联性及其在大宗商品价格波动下的非对称性问题。研究发现,大国间的通货膨胀存在空间关联性,该关联性与国际市场份额正相关;大宗商品价格对国内通货膨胀产生非对称性传导,该冲击除了体现在边际成本渠道,还表现出受市场份额影响的策略互补性。实证发现,存在受国际市场份额正向影响下的国内外通货膨胀的空间关联性;大宗商品价格对我国通货膨胀的冲击主要源于能源价格的波动,这种传递效应与市场份额负相关,而且能源价格越高,其价格波动对通货膨胀的传递效应越显著。最后,本文为我国应对国际通货膨胀传导,尤其是应对大宗商品价格冲击的非对称性提供了政策启示和建议。

Abstract

This paper comprehensively improves the models of Amiti et al.(2017)and Gopinath & Itskhoki(2010)and uses the general pricing framework of enterprises in a large open country and the spatial econometric analysis of 42 countries' data from 2005 to 2014 to explore the spatial correlation of inflation at home and abroad and its asymmetry problem under the fluctuation of commodity price. Research findings are as followed. There is spatial correlation between inflation among large countries, which is positively related to international market share. The fluctuation of commodity price on domestic inflation is manifested not only in the marginal cost channel, but also in the strategic complementation influenced by market share. It is empirically found that there is a spatial correlation between inflation at home and abroad under the positive influence of international market share. The impact of commodity price on China's inflation is mainly due to the fluctuation of energy price, which is negatively related to market share. The higher the energy price, the more significant effect of the price fluctuation on inflation. The paper provides policy inspirations and suggestions for China to deal with the impact of international inflation, especially the asymmetry effect of commodity price fluctuations.

关键词

大宗商品价格冲击 / 输入型通货膨胀 / 空间关联 / 策略互补性 / 非对称性

Key words

Commodity Price Shock / Imported Inflation / Spatial-Temporal Coupling / Strategic Complementarity / Asymmetry

引用本文

导出引用
唐正明, 郭光远. 大宗商品价格冲击下国内外通货膨胀的空间关联性研究*[J]. 国际金融研究, 2018(12): 40-51
中图分类号: F821.5   

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基金

*本文获国家社会科学基金重大项目(16ZDA037)、国家社会科学基金一般项目(18BJL105)、国家社会科学基金青年项目(18CJL039、17CGJ013)、湖南省社会科学基金项目(16JD21)资助

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