经济经纬
經濟經緯
경제경위
Economic Survey
2013年
2期
116~120
,共null页
国际油价 物价水平 协整 状态空间模型
國際油價 物價水平 協整 狀態空間模型
국제유개 물개수평 협정 상태공간모형
International Crude Oil Price;Price Level;Co integration;State Space Model
国际油价波动通过产品供需、产业传递、货币政策等渠道传导至国内经济体系。笔者利用国际油价与国内CPI、PPI月度数据,检验变量的平稳性及协整关系,并以此为基础构建变系数状态空间模型描述变量间的动态关系。结果发现,国际油价波动确实影响国内CPI、PPI变动,价格弹性是可变的,在油价上升期大于下降期;国际油价波动对PPI的影响效应大于对CPI的影响效应。
國際油價波動通過產品供需、產業傳遞、貨幣政策等渠道傳導至國內經濟體繫。筆者利用國際油價與國內CPI、PPI月度數據,檢驗變量的平穩性及協整關繫,併以此為基礎構建變繫數狀態空間模型描述變量間的動態關繫。結果髮現,國際油價波動確實影響國內CPI、PPI變動,價格彈性是可變的,在油價上升期大于下降期;國際油價波動對PPI的影響效應大于對CPI的影響效應。
국제유개파동통과산품공수、산업전체、화폐정책등거도전도지국내경제체계。필자이용국제유개여국내CPI、PPI월도수거,검험변량적평은성급협정관계,병이차위기출구건변계수상태공간모형묘술변량간적동태관계。결과발현,국제유개파동학실영향국내CPI、PPI변동,개격탄성시가변적,재유개상승기대우하강기;국제유개파동대PPI적영향효응대우대CPI적영향효응。
The international cruel oil price Fluctuations has impact on domestic economy from several mechanisms included supply and demand of product and industries transmission and monetary policy.This paper builds a state space model with variable coefficients to describe the dynamic relationship by testing variables stability and co integration with monthly data between 1994 and 2011.The results show that the international crude oil prices fluctuations do affect CPI and PPI.The impact of domestic price level during the period of rising oil price is bigger than the effect size during the period of declining oil price.And the impact for oil price fluctuations on PPI is stronger than on CPI.
