摘要
石油作为一种重要的上游原材料产品,其价格与生产者价格指数(PPI)存在非常密切的联系。本文在菲利普斯曲线模型的理论框架下,根据我国1999第1季度-2011年第2季度的经验数据,应用非线性的平滑转换模型实证分析了国际原油价格波动对我国PPI的影响,实证研究发现:国际原油价格波动对于PPI的影响具有非线性效应,这说明国际油价波动对于国内物价水平冲击是不对称的。当国际原油价格低于阈值水平时,油价波动对PPI的影响程度较小;当国际原油价格高于阈值水平时,原油价格波动对PPI的影响程度较大;当国际原油价格处于阈值水平附近时,原油价格波动对PPI的影响将在两个机制之间平滑转换,并且机制转换速度非常快。
As an important upstream product, price of petroleum has a close relationship with the Producer Price Index （ PPI）. This paper, based on Phillips curve theoretical framework,uses quarterly data over the period from 1999Q1 to 2011 Q2 and applies smooth transition model to investigate the impact of international crude oil price shocks on China＇ s PPI. The results show that the impact of international crude oil price shocks on China＇ s PPI is nonlinear and asymmetric. When the international crude oil price is lower than the threshold level, the impact of oil price shocks on domestic price is relatively less; when the international crude oil price is higher than the threshold level, the impact of oil price shocks on domestic price is relatively large; when the international crude oil price is near the threshold value, the impact of oil price shocks on domestic price changes smoothly between the two mechanisms.
出处
《经济评论》
CSSCI
北大核心
2013年第1期71-77,共7页
Economic Review
基金
国家社科基金项目"产业结构升级视角下我国居民消费率的决定因素研究"(项目编号:11CJY076)
"金融干预视角下区域资本流动的空间关联与经济协调发展研究"(项目编号:12CJL060)
教育部人文社科基金项目"我国公共投资效率问题研究"(项目编号:12YJA790165)资助
关键词
油价波动
物价水平
平滑转换模型
The Fluctuation of Crude Oil Price
General Price Level
Smooth Transition Model
