经济政策不确定性对物价水平的影响研究
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摘要
采取贝克的经济政策不确定性指数,运用基于向量自回归模型的广义脉冲响应函数法与方差分解法实证分析经济政策不确定性对物价水平及其分类价格指数的影响。从脉冲响应函数上看,PPI和CPI及各分类价格指数均受到经济政策不确定性的负向影响,其中,与CPI受到经济政策不确定性影响相比,PPI受到经济政策不确定性冲击力度较大,持续时间相对较短,但影响更大;农村居民消费价格指数受经济政策不确定性影响比城市居民消费价格指数要大;消费品在居民消费支出中占比越大,其价格指数受经济政策不确定性影响越大。通过方差分解得出,经济政策不确定性对各价格指数变动的贡献度存在差异,其中,对CPI及其各分类指数变动的贡献度高于对PPI及其各分类指数变动的贡献度;对农村居民消费价格指数变动的贡献度高于对城市居民消费价格指数变动的贡献度;对各消费价格分类指数变动的贡献度差异不大。
This paper adopts the vector autoregressive model to analyze the impact of economic policy uncertainty on price level by using policy uncertainty index proposed by Baker. The impulse response results show that policy uncertainty has a negative impact on price level and classification price index. The impact on PPI was stronger and shorter than on CPI. The consumer price index of rural residents is affected by the economic policy uncertainty more than the consumer price index of city residents is. The more consumers spend on consumer goods,the greater impact economic policy uncertainty has on consumer goods price index. The variance decomposition results show that the contributions of economic policy uncertainty to the price index changes were different. The contribution to CPI and its classification index is higher than that to PPI and its classification index. The contribution to the change of the rural residents' consumer price index is higher than that of the urban residents' consumer price index. There is little difference in the contribution of each consumer price index.
This paper adopts the vector autoregressive model to analyze the impact of economic policy uncertainty on price level by using policy uncertainty index proposed by Baker. The impulse response results show that policy uncertainty has a negative impact on price level and classification price index. The impact on PPI was stronger and shorter than on CPI. The consumer price index of rural residents is affected by the economic policy uncertainty more than the consumer price index of city residents is. The more consumers spend on consumer goods,the greater impact economic policy uncertainty has on consumer goods price index. The variance decomposition results show that the contributions of economic policy uncertainty to the price index changes were different. The contribution to CPI and its classification index is higher than that to PPI and its classification index. The contribution to the change of the rural residents' consumer price index is higher than that of the urban residents' consumer price index. There is little difference in the contribution of each consumer price index.
引文
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[3]李凤羽,杨墨竹.经济政策不确定性会抑制企业投资吗?---基于中国经济政策不确定指数的实证研究[J].金融研究,2015(4):115-129.
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[6]王化成,刘欢,高升好.经济政策不确定性、产权性质与商业信用[J].经济理论与经济管理,2016(5):34-45.
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[11]刘洪铎,陈和.目的国经济政策不确定性对来源国出口动态的影响[J].经济与管理研究,2016(9):18-26.
[12]冯美星,潘群星.经济政策不确定性与原油价格动态相关性研究[J].广西社会科学,2016(3):72-76.
[13]朱孟楠,闫帅.经济政策不确定性与人民币汇率的动态溢出效应[J].国际贸易问题,2015(10):111-119.
[14]JONES P M,OLSON E.The time-varying correlation between uncertainty,output,and inflation:Evidence from a DCC-GARCHmodel[J].Economics Letters,2013,118(1):33-37.
[15]黄宁,郭平.经济政策不确定性对宏观经济的影响及其区域差异---基于省级面板数据的PVAR模型分析[J].财经科学,2015(6):61-70.
(1)自2001年以来,四类支出各自在城镇居民和农村居民生活消费支出中占比基本在10%以上,且合计占比均在70%以上。
[2]郑立东,程小可,姚立杰.经济政策不确定性、行业周期性与现金持有动态调整[J].中央财经大学学报,2014(12):68-78.
[3]李凤羽,杨墨竹.经济政策不确定性会抑制企业投资吗?---基于中国经济政策不确定指数的实证研究[J].金融研究,2015(4):115-129.
[4]韩国高.政策不确定性对企业投资的影响:理论与实证研究[J].经济管理,2014(12):62-71.
[5]陈国进,王少谦.经济政策不确定性如何影响企业投资行为[J].财贸经济,2016(5):5-21.
[6]王化成,刘欢,高升好.经济政策不确定性、产权性质与商业信用[J].经济理论与经济管理,2016(5):34-45.
[7]HOLLAND A S.Inflation and uncertainty:tests for temporal ordering[J].Journal of Money,Credit and Banking,1995:827-837.
[8]BORN B,PFEIFER J.Policy risk and the business cycle[J].Journal of Monetary Economics,2014,68(1):68-85.
[9]金雪军,钟意,王义中.政策不确定性的宏观经济后果[J].经济理论与经济管理,2014(2):17-26.
[10]田磊,林建浩.经济政策不确定性兼具产出效应和通胀效应吗?来自中国的经验证据[J].南开经济研究,2016(2):3-24.
[11]刘洪铎,陈和.目的国经济政策不确定性对来源国出口动态的影响[J].经济与管理研究,2016(9):18-26.
[12]冯美星,潘群星.经济政策不确定性与原油价格动态相关性研究[J].广西社会科学,2016(3):72-76.
[13]朱孟楠,闫帅.经济政策不确定性与人民币汇率的动态溢出效应[J].国际贸易问题,2015(10):111-119.
[14]JONES P M,OLSON E.The time-varying correlation between uncertainty,output,and inflation:Evidence from a DCC-GARCHmodel[J].Economics Letters,2013,118(1):33-37.
[15]黄宁,郭平.经济政策不确定性对宏观经济的影响及其区域差异---基于省级面板数据的PVAR模型分析[J].财经科学,2015(6):61-70.
(1)自2001年以来,四类支出各自在城镇居民和农村居民生活消费支出中占比基本在10%以上,且合计占比均在70%以上。