本文關(guān)鍵詞：國(guó)際大宗商品價(jià)格波動(dòng)與中國(guó)物價(jià)水平變動(dòng)的相關(guān)性研究　出處：《山東師范大學(xué)》2017年碩士論文　論文類型：學(xué)位論文

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【摘要】：長(zhǎng)期以來(lái),大宗商品價(jià)格一直是重要的經(jīng)濟(jì)變量,是非常重要的戰(zhàn)略性生活物資和生產(chǎn)物資,對(duì)一國(guó)宏觀經(jīng)濟(jì)發(fā)展起到非常重要的作用,能夠影響世界經(jīng)濟(jì)走勢(shì)和工業(yè)化國(guó)家物價(jià)水平。近十年來(lái)世界經(jīng)濟(jì)形勢(shì)起伏不定,大宗商品價(jià)格先后出現(xiàn)多輪暴漲暴跌,波動(dòng)不斷加大。從2008年6月的最高點(diǎn)462.74到2005年2月的最低點(diǎn)159.78點(diǎn),上下波動(dòng)300多點(diǎn)。然后開(kāi)始了新一輪先上漲后下跌的過(guò)程。2014年下半年開(kāi)始最近一輪下跌周期,已持續(xù)一年多,截止2016年2月份,已經(jīng)達(dá)到歷史最低點(diǎn)154.85點(diǎn)。隨著中國(guó)加入WTO,以及中國(guó)對(duì)大宗初級(jí)商品的大規(guī)模需求,國(guó)際大宗商品的價(jià)格頻繁波動(dòng)勢(shì)必會(huì)影響中國(guó)的經(jīng)濟(jì)狀況,從而影響中國(guó)物價(jià)水平,新常態(tài)下中國(guó)經(jīng)濟(jì)下行壓力增大,對(duì)于大宗商品價(jià)格波動(dòng)的輸入效應(yīng),尤其是現(xiàn)階段大宗商品價(jià)格暴跌對(duì)中國(guó)經(jīng)濟(jì)和物價(jià)水平波動(dòng)究竟會(huì)帶來(lái)怎樣的影響值得研究。論文檢驗(yàn)了國(guó)際大宗商品價(jià)格波動(dòng)與我國(guó)的物價(jià)水平的相關(guān)性,尤其是前者對(duì)后者具有的預(yù)期和傳導(dǎo)作用,為實(shí)踐提供理論依據(jù)。論文在總結(jié)國(guó)內(nèi)外關(guān)于大宗商品價(jià)格傳導(dǎo)效應(yīng)的研究現(xiàn)狀以及大宗商品引發(fā)國(guó)內(nèi)物價(jià)水平變動(dòng)的研究現(xiàn)狀的基礎(chǔ)上,詳細(xì)分析了國(guó)際大宗商品價(jià)格波動(dòng)影響我國(guó)物價(jià)水平的傳導(dǎo)機(jī)制,包括理論基礎(chǔ),傳導(dǎo)條件和傳導(dǎo)路徑。選取最新的大宗商品期貨價(jià)格指數(shù)——CRB指數(shù),居民消費(fèi)價(jià)格指數(shù)PPI,生產(chǎn)者物價(jià)指數(shù)PPI及貨幣供應(yīng)量M2進(jìn)行實(shí)證研究,分析大宗商品的價(jià)格波動(dòng)與我國(guó)物價(jià)水平變動(dòng)之間的相關(guān)性關(guān)系。論文選擇2009年1月至2016年6月期間的變量數(shù)據(jù)并將數(shù)據(jù)分為兩個(gè)階段,分別是國(guó)際大宗商品上漲階段和國(guó)際大宗商品下降階段,使用EVIEWS軟件進(jìn)行實(shí)證研究,首先分析各變量之間的相關(guān)性,發(fā)現(xiàn)不論是上升階段還是下降階段,各變量之間均具有顯著的相關(guān)性,但是下降階段的相關(guān)性沒(méi)有上升階段的相關(guān)性明顯。為了進(jìn)一步研究變量之間的相關(guān)程度,進(jìn)而應(yīng)用向量自回歸模型(VAR),將數(shù)據(jù)帶入Johansen協(xié)整檢驗(yàn)、Granger因果檢驗(yàn)、脈沖響應(yīng)函數(shù)、方差分解等模型進(jìn)行分析,檢驗(yàn)結(jié)果同樣表明大宗商品價(jià)格下跌階段我國(guó)物價(jià)水平受大宗商品的影響程度較小,說(shuō)明我國(guó)的物價(jià)水平存在價(jià)格“剛性”,具有易漲不易跌的特點(diǎn)。最后,論文通過(guò)對(duì)實(shí)證結(jié)果的分析,認(rèn)為國(guó)際大宗商品價(jià)格的上漲階段,其價(jià)格上漲對(duì)中國(guó)物價(jià)水平上升的推動(dòng)作用明顯,但是在大宗商品價(jià)格下跌階段,其波動(dòng)與我國(guó)物價(jià)水平之間的相關(guān)性減弱,說(shuō)明下跌階段中國(guó)物價(jià)不易受國(guó)際大宗商品價(jià)格下跌的影響。論文認(rèn)為,現(xiàn)階段世界經(jīng)濟(jì)走勢(shì)依然不容樂(lè)觀,會(huì)對(duì)中國(guó)經(jīng)濟(jì)帶來(lái)進(jìn)一步的通貨緊縮風(fēng)險(xiǎn),中國(guó)仍需警惕這種風(fēng)險(xiǎn)的產(chǎn)生;同時(shí)中國(guó)應(yīng)合理利用大宗商品下跌階段的時(shí)期,初級(jí)產(chǎn)品價(jià)格降低帶來(lái)的成本紅利,大力發(fā)展國(guó)內(nèi)經(jīng)濟(jì)。
[Abstract]:For a long time, commodity price has been an important economic variable, is a very important strategic living materials and production materials, and plays a very important role in the macroeconomic development of a country. Can affect the trend of the world economy and the level of prices in industrialized countries. In the past decade, the world economic situation has fluctuated, commodity prices have seen several rounds of sharp rises and plummeted. Volatility has been increasing from its peak of 462.74 on June 2008 to its lowest point of 159.78 in February 2005. Up and down more than 300 points. Then began a new round of rise and then fall process. 2014 started the latest round of decline cycle, has continued for more than a year, until February 2016. It has reached an all-time low of 154.85. With China's entry into the WTO, and China's massive demand for commodities. The frequent fluctuation of international commodity prices will inevitably affect China's economic situation, thus affecting China's price level. Under the new normal, the downward pressure of China's economy will increase, and the input effect of commodity price volatility will be increased. In particular, the impact of commodity price collapse on China's economy and price level fluctuations is worth studying. This paper examines the correlation between international commodity price volatility and China's price level. In particular, the former has the expectation and conduction function to the latter. On the basis of summarizing the current research situation of commodity price conduction effect at home and abroad and the research status of domestic price level change caused by commodity. The transmission mechanism of international commodity price fluctuation affecting China's price level is analyzed in detail, including the theoretical basis, transmission conditions and transmission path. The latest commodity futures price index, CRB index, is selected. Consumer price index (PPI), producer price index (PPI) and money supply M2 (M2) are studied empirically. This paper analyzes the correlation between the price fluctuation of commodities and the change of price level in China. The paper selects the variable data from January 2009 to June 2016 and divides the data into two stages. It is the international commodity rising stage and the international commodity declining stage, using the EVIEWS software to carry on the empirical research, first analyzes the correlation between the variables. It was found that there was a significant correlation between the variables in both the ascending stage and the descending stage. In order to further study the correlation between variables, the vector autoregressive model was applied. The data are introduced into the Johansen cointegration test to analyze the Granger causality test, impulse response function, variance decomposition and so on. The test results also show that China's commodity price level is less affected by commodities in the stage of commodity price decline, indicating that China's price level is "rigid", with the characteristics of easy to rise and not to fall. Finally. Through the analysis of the empirical results, the paper thinks that the rising stage of international commodity prices, its price rise on China's price level to promote the role is obvious, but in the stage of commodity price decline. The correlation between the fluctuation and the price level of China is weakened, which indicates that Chinese prices are not easy to be affected by the international commodity price fall in the falling stage. The paper thinks that the trend of the world economy is still not optimistic at the present stage. It will bring further deflationary risk to the Chinese economy, and China still needs to be on guard against this risk. At the same time, China should make good use of the cost dividend brought by lower commodity prices during the period of commodity decline and vigorously develop the domestic economy.
【學(xué)位授予單位】：山東師范大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2017
【分類號(hào)】：F713.35;F726

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