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本文检验了CRB指数与中国PPI/CPI的时间变动趋势及二者传导关系,并以1992-2009年的数据为样本,通过SVAR模型分析原油市场不同来源冲击对中国经济波动的动态影响。结果显示,国际大宗商品价格波动对PPI具有显著影响,且该作用在传导过程中被进一步放大;对CPI的影响相对较弱。石油供给冲击、中国经济需求冲击和预防性需求冲击导致的油价波动对中国经济波动的影响显著,而不同来源油价冲击的作用特征有所不同。
This paper examines the time trend of the CRB index and the Chinese PPI / CPI and their conduction relations. Using the data of 1992-2009 as a sample, this paper analyzes the dynamic impact of different sources of crude oil market shocks on China’s economic fluctuations through the SVAR model. The results show that international commodity price fluctuations have a significant impact on PPI, and this effect is further amplified in the conduction process; the impact on CPI is relatively weak. Oil supply shocks, fluctuations in oil prices caused by the impact of China’s economic demand and preventive demand shocks have a significant impact on China’s economic volatility, but different sources of oil shocks have different characteristics.