论文部分内容阅读
食品通胀率与非食品通胀率之间的测量缺口近期持续扩大,引起了市场广泛关注。文章根据1994年1月至2010年8月的食品价格与非食品价格数据,运用两区制门槛误差修正模型研究两者的长期均衡关系和短期价格调整以及传导机制中的非线性特征。结果发现,食品通胀率与非食品通胀率存在门槛协整关系,而且估计缺口稳定,这表明测量缺口夸大了两者的真实偏离。文章还发现了食品价格传导的新信息内涵,即食品价格对非食品价格具有非线性的价格传导性:短期内偏离主要是食品价格上升造成,尤其是在高通货膨胀区制,偏离速度有加快趋势。两区制的Granger因果关系检验发现,在极端区制,食品价格通胀与非食品价格通胀具有双向的短期Granger原因,即两者相互领先;而在正常区制,食品价格通胀与非食品价格通胀具有双向的长期Granger原因。
The recent shortfall in the measurement gap between the inflation rate of food and that of non-food inflation has drawn wide attention in the market. Based on the data of food price and non-food price from January 1994 to August 2010, the paper studies the long-term equilibrium relationship and short-term price adjustment of the two systems and the nonlinear characteristics of the transmission mechanism by using the threshold correction model of two-zone system. The results showed that the food inflation and non-food inflation rate threshold cointegration relationship, and the estimated gap is stable, indicating that the measurement gap exaggerated the true deviation between the two. The article also found new connotation of food price transmission, that is, food price has non-linear price transmission to non-food price. In the short run, the deviation is mainly caused by the rise of food price, especially in the high inflation zone. The deviation speed is accelerating trend. The Granger causality test of the two-zone system shows that in the extreme zoning system, food-price inflation and non-food-price inflation have two-way short-term Granger causes, ie the two lead each other. In the normal zone system, food price inflation and non-food price inflation Long-term Granger cause with two-way.