北京航空航天大学学报(社会科学版) ›› 2019, Vol. 32 ›› Issue (3): 73-79.DOI: 10.13766/j.bhsk.1008-2204.2017.0050

• 经济与管理 • 上一篇    下一篇

经济政策不确定性对物价水平的影响研究

丁存振, 肖海峰   

  1. 中国农业大学 经济管理学院, 北京 100083
  • 收稿日期:2017-03-07 出版日期:2019-05-25 发布日期:2019-06-03
  • 作者简介:丁存振(1988-),男,山东聊城人,博士研究生,研究方向为农业经济理论与政策.
  • 基金资助:

    农业部和财政部国家现代农业产业技术体系项目(CARS-39-22)

Impact of Economic Policy Uncertainty on Price Level

DING Cunzhen, XIAO Haifeng   

  1. School of Economics and Management, China Agricultural University, Beijing 100083, China
  • Received:2017-03-07 Online:2019-05-25 Published:2019-06-03

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。

关键词: 经济政策不确定性, 物价水平, 消费者价格指数, 脉冲响应函数, 方差分解

Abstract:

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.

Key words: economic policy uncertainty, price level, consumer price index, impulse response, variance decomposition

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