不同阶段食品价格与非食品价格的传导机制——基于两轮食品通胀高峰的经验研究

运用VAR模型,选取2007年1月—2009年10月和2009年11月—2013年6月两个阶段的月度数据,采用累积脉冲响应函数和方差分解的方法研究食品价格与非食品价格的互动传导机理。累积脉冲响应函数的结果表明:第二阶段食品价格和非食品价格相互冲击的强度和冲击持续的时间长度都比第一阶段大;在两个阶段,食品价格对非食品价格冲击的反应速度和强度均强于后者对前者的冲击;两者的互动影响都是正向的,且具有滞后性。方差分解的结果显示:两个阶段非食品价格对食品价格变动的解释程度都比后者对前者变动的解释程度高,第二阶段两者对对方变动的解释程度均有明显提高。

Transfer Pricing Rules of Food and Non-food between Food Inflation Peaks

Using VAR model to interpret the monthly data from January 2007 to October 2009 and from 2009 November to June 2013, this paper studied the transfer pricing rules to food and nonfood between food inflation peaks by cumulative impulse response function and variance decomposition. The results of cumulative impulse response function show that food pricing and non-food pricing had stronger and most durable impact to each other in the second case than in the first one, that food pricing showed speedier and stronger response to non-food price shock than the other way round in both cases, and that the interaction between them were all positive and with a time lag. Variance decomposition results show that, non-food pricing could better explain the food pricing change than the other way round in both cases, food pricing and non-food pricing could explain the other better in the second case.