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1 : 3 :,,:,, ; SVAR, 1 PPI,,6 PPI ; CPI, CPI : SVAR, (CPI),,,(PPI),,,,, 2008, ,,,, 6 20,, 1713 %, 711 %, 818 %,,, Lin &Liu (2009),,,,2008,,, 2009,, 50 %,,,,,,, 3,, :361005, edu. cn ( ), 66

2 ?,,? (SVAR),,:VAR () VAR Cugado & P rez de Gracia (2003),, :,, Cugado & P rez de Gracia (2005), 6, (2006),, CPI Cologni & Manera (2008) VAR,,,,,, () Berumen & Tagg (2002) 1990,, :, ;, (2002),25 % 150 % 11 (2007),, (2008),, () (2002) (CNAGE),5, 10 %22, : 5, 10 %, 0121 % % 0197 % 0105 % %Doroodian & Boyd (2003) CGE, :70,,, (2008) CGE,,,, 67

3 : () (2005), Baffes (2007) 35, 0116,, Chen (2008) 19,, (2008) VAR,, CPI,,,, (2007) (2008),,,,, (), (,2006),, 1. :, ;, ;, 2. (1),(), (),: : n P j = m ij P i, j = 1,2,, n (1) i = 1 P 1 = m 11 P 1 + m 21 P 2 + m 31 P m n- 1,1 P n- 1 + m n,1 P n P 2 = m 12 P 1 + m 22 P 2 + m 32 P m n- 1,2 P n- 1 + m n,2 P n P 3 = m 13 P 1 + m 23 P 2 + m 33 P m n- 1,3 P n- 1 + m n,3 P n 1 % 68

4 P n- 1 = m 1, n- 1 P 1 + m 2, n- 1 P 2 + m 3, n- 1 P m n- 1, n- 1 P n- 1 + m n, n- 1 P n (2),P i P j i j () ; m ij (2), : m n1 m n2 m n3 P n = ( E - M T n- 1) P 1 P 2 P 3 (3) m n, n- 1 P n- 1, E n ; M T n - 1n M,n n ( n - 1) (3) n () P n,1 ( n - 1) () : P 1 P 2 P 3 = ( E - M n- 1 ) - 1 T m n1 m n2 m n3 P n (4) P n- 1 m n, n- 1 P n, (4) () (2),, GDP ;,,, ;, (4),,: n PI i = n P j X i j X i j, i = 1,2,,5, j = 1,2,, n (5) j = 1 j = 1,PI 1,PI 2,PI 3,PI 4,PI 5 GDP ;P j () P n,j ; X 1 j, X 2 j, X 3 j, X 4 j j ; ; X 5 j j (),,, 69

5 : , 2002, ,,,,2005,, :, , ;, , , ;,, ,, () , 2002,2005,,, 1.,,,1 1, : (1) 10 %: PPI > GDP > > CPI >,, 2002,6819 %,1115 % ( 7 %,415 %),1916 % 2005, 71 %,1014 %(613 %,411 %), 1816 %,,,,,PPI,CPI ; ; GDP CPI,PPI,GDP PPI CPI (2) 2002,,, 1 : 10 %PPI : :hp :ΠΠwww. sas. gov. cn

6 (1139 %) > (1111 %) > (0192 %) > (0179 %) ; 10 %CPI GDP, > > > (2008), ,, 1 10 % 10 % CPI ( %) ( %) ( %) PPI ( %) GDP ( %) PPI CPI,:,,,2002, 9912 %78 %, %,,,, 2002, 1619 % 915 % 2216 % 7612 % 97 %,414 % 616 % 111 % % , ,, (3),,,,,CPI PPI,,,CPI PPI ;,,,,, PPI,,,, 2002 (PPI) 1386,, %, 16 % 71

7 :,,,,, 2.,,,,, (1) 2002 :, ;,, ;,, ;,, 2005 :,;, (2) A P n, B C P n - 2,P n - 1 :,, (5) A P n, P 1 1,P 1 2,P 1 3,,P 1 n - 1 T, B C, P 1 n - 2,P 1 n - 1 ;,, A P n, B C P 1 n - 2 P 1 n - 1,B C (5) B C P 1 n - 2 P 1 n - 1, : P 2 1,P 2 2,P 2 3,,P 2 n - 3 T P 3 1,P 3 2,P 3 3,,P 3 n - 3 T,,, B C 0, B C : n- 3 PI i = j = 1 (3) n (P 1 j - P 2 j - P 3 j ) X i j + P n X i n j = 1 X i j, i = 1,2,,5 (6) 2 1 2,,,,, ,, A Pn,A A 72

8 % 10 % CPI ( %) ( %) ( %) PPI ( %) GDP ( %) % CPI ( %) ( %) ( %) PPI ( %) GDP ( %) ,,,,,,, 8311 % 8513 % 8212 % 4915 %7217 % 2002,7214 %,,,, ;,,,,, 4112 % 3719 % 4214 % 3017 % 34 % 2002,4717 %,,,, 3519 %,,,,,, 1213 % 10 % 1313 % 1013 %814 % 2002, 8019 %, 115 %,,,,,, ;,,, 2002, 0165 % 0105 % 3128 %2218 % 73

9 :,,,,, 2005,,,, 1415 % 1319 % 1418 % 1518 % 1315 % ;,,,, 915 % 1011 % 913 % 814 %1011 %,, 3, :,,,;,,,,,,? (Recursive Srucural Vecor Auoregressive, RSVAR) McCarhy(2000) PPI CPI,,,Hahn (2003), Faruqee (2004), Billmeier &Bonao (2004) (2008) (), (Coal, Oil & Elecriciy Price Index, COE) ;(PPI) (CPI), McCarhy (2000), :, COE,PPI CPI, : COE PPI CPI,, : - 1 ; ;, COE PPI CPI : L n ( COE ) = E - 1 [L n ( COE ) ] + Ln( COE) (7) L n ( PPI ) = E - 1 [ L n ( PPI ) ] + 1 L n ( CPI ) = E - 1 [L n ( CPI ) ] + 1 Ln( COE) Ln( COE) Ln( PPI) (8) Ln( PPI) + Ln( CPI) (9), Ln ( COE ) Ln ( PPI ) Ln ( CPI ) COE PPI CPI, COE PPI CPI ; Ln( COE) Ln( PPI) Ln( CPI) - 1 COE PPI CPI ; E - 1 COE PPI CPI, 2002,2 %012 %

10 SVAR : B 0 y = B ( L) y (10), B 0 ; y [ Ln ( COE ), Ln ( PPI ), Ln ( CPI ) ] T, B ( L) ; [ SVAR : Ln( COE), Ln( PPI), Ln( CPI) ] T, y = B B ( L) y B (11) B 0 SVAR B 0 k ( k - 1)Π2 = 3 ( k SVAR, k = 3) B 0 1,SVAR SVAR, SVAR : K2,C2 AB2, AB2 SVAR, SVAR AB2, A = B (12) A B, : A = C(1) 1 0 C(2) C(3) 1 C( i), i = 1,2, 6 () B = C(4) C(5) C(6) , ,,, 1999,1999 1,, ,,, ,, Granger, Granger F F,, Granger, COE PPI CPI 11 ADF,,,,SIC ( 4), Ln ( COE) Ln ( PPI) Ln ( CPI),, Granger, :hp :ΠΠwww. pbc. gov. cnπ; (2004), 75

11 : 4 (C,T,L) ADF 1 % SIC Ln(COE) (C,T,1) Ln(COE) (C,0,0) Ln(PPI) (C,T,13) Ln(PPI) (0,0,5) Ln(CPI) (C,T,1) Ln(CPI) (0,0,0) : (1) Ln ; (2); (3) (C,T,L) C T L ADF 2. Granger Granger (,2005),X Y,X Y(,2006) Granger, COE PPI CPI Granger, 1-10 Ln ( COE ) Ln ( PPI ) Ln ( CPI ) Granger : 1, COE PPI PPI CPI, ; 2-4, COE PPI PPI CPI,COE CPI, CPI PPI, 2, ; 5, PPI COE,; 6,1, COE PPI CPI, COE PPI PPI CPI,COE CPI ; 2,,, COE PPI CPI () I(1),, VAR 1 (,2006),VAR,COE PPI CPI, Johansen,, VAR VAR, 25,LR FPE AIC SC HQ 13, 13 VAR (13),,39, A B,A B : A = , B = A B, PPI CPI (2006) 13, Eviews6 User s Guide II,, 76

12 , CPI PPI 1 2 3,1 30, ,PPI,,PPI %, %,6, 1 PPI,,6 PPI, 1 PPI,,, PPI 2 CPI 3 CPI PPI ,CPI,1 30 0, %0108 %, ,CPI,, , %,CPI 1812 %,CPI ,CPI PPI,1 4 0, %,, %,PPI 5 CPI, CPI,PPI CPI PPI, CPI 8,,,,PPI,CPI,CPI, CPIPPI,CPI,, 5 77

13 : ( %) PPI COE CPI COE CPI PPI PPI COE CPI COE CPI PPI PPI COE CPI COE CPI PPI :PPI COE PPI COE, () : PPI > GDP > > CPI > () 2002,,, 2005, (),, (), :,,,;,, () 1 PPI,,6 PPI ; ,CPI,,CPI ; PPI 5 CPI, CPI,,,,,,,,,2006 : : Eviews,,2008 : () :, 7 30,2008 :,

14 ,2008 ::(CGE), 11, 2009 :, 11,2006 :, 12,2006 :,,2007 :, 11,2008 :, 7,2005 :Granger,() 4,2002 :, 5,2006 : :,,2006 : , 4,2002 :, 5,2005 :, 12,2004 :Granger,() 3,2008 :, 5 Baffes, J., 2007,Oil Spills on Oher Commodiies, Resources Policy, Vol. 32 (3), PP Berumen, H. and H. Tagg, 2002,Inflaionary Effec of Crude Oil Prices in Turkey, Physica A : Saisical Mechanics and is Applicaions, Vol. 316 (1 4), PP Billmeier, A. and L. Bonao, 2004,Exchange Rae Pass2hrough and Moneary Policy in Croaia, Journal of Comparaive Economics, Vol. 32 (3), PP Chen, S.2S., 2009,Oil Price Pass2hrough ino Inflaion, Energy Economics, Vol. 31 (1), PP Cologni, A. and M. Manera, 2008,Oil Prices, Inflaion and Ineres Raes in A Srucural Coinegraed VAR Model for he G27 Counries, Energy Economics, Vol. 30 (3), PP Cugado, J. and F. P rez de Gracia, 2003,Do Oil Price Shocks Maer? Evidence for Some European Counries, Energy Economics, Vol. 25 (2), PP Cugado, J. and F. P rez de Gracia, 2005,Oil prices, Economic Aciviy and Inflaion : Evidence for Some Asian Counries, Quarerly Review of Economics and Finance, Vol. 45 (1), PP Doroodian, K. and R. Boyd, 2003, The Linkage Beween Oil Price Shocks and Economic Growh wih Inflaion in he Presence of Technological Advances : A CGE Model, Energy Policy, Vol. 31 (10), PP Π14. Faruqee, H., 2004,Exchange Rae Pass2Through in he Euro Area : The Role of Asymmeric Pricing Behavior,IMF Working Paper, No. Hahn, E., 2003,Pass2Through of Exernal Shock o Euro Area Inflaion, Working Paper, European Cenral Bank. He, Z. and K. Maekawa, 2001,On Spurious Granger Causaliy, Economics Leers, Vol. 73 (3), PP Lin Boqiang, Liu Jianghua, 2009,Esimaing Coal Producion Peak and Trend of Coal Impor in China, Energy Policy (available on line), hp :ΠΠwww. sciencedirec. comπscienceπaricleπb6v2w24xgchxx23π2πbc6286b51080b774d19eb89467ad4ed6? &zone = raall. Mc Carhy, J., 2000,Pass2Through of Exchange Raes and Impor Prices o Domesic Inflaion in Some Indusrialized Economies, Saff Repors, No. 11, Federal Reserve Bank of New York. ( 150 ) 79

15 :,, ;, 0154,27 % ; 85 % 2 2,FDI FDI,FDI FDI ; FDI, FDI,,,,,,,,, ( Krugman),, ( :) ( : ) ( 79 ) Impac of Energy Price Increase on General Price Level in China : A Sudy Based on Inpu2oupu Model and Recursive SVAR Model Lin Boqiang and Wang Feng (Xiamen Universiy) Absrac :The impac mechanism of energy price on China s general price level is one of he imporan issues needed o be sudied in he process of reforming energy pricing mechanism. I is also imporan for he macroeconomic decision2making. This paper firsly applies inpu2oupu price impac model o simulae he variaions of China s general price level caused by energy price increases in wo scenarios : (i) energy price is conrolled by, and (ii) is no conrolled by he governmen. The resuls show ha even assuming he increases of energy prices could be ransmied compleely and smoohly ino he general price level, he energy price increase has relaively weak impac on he general price level, if he effec of price expecaion is no considered. Price conrol does have cerain impac on he passing2hrough of he energy price ino he general price level. Furher, based on he recursive SVAR model, his paper also invesigaes he ime2lags beween he energy price increases and he rises of general price level. The resuls indicae ha he increase in energy price has lile impac on PPI in he firs monh bu will cause PPI o increase significanly afer six monhs. Because of he weak impac on CPI, he lag ime from energy price increase o CPI could no be fully displayed. However, he increase in PPI will have a persisen impac on CPI, afer a five monhs lag. Key Words : Energy Price ; General Price Level ; Inpu2oupu Model ;SVAR Model JEL Classificaion :Q43, D57, C22 ( : ) ( : ) 150

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《金融评论》投稿封面 The Choice of he Inermediae Targe of Moneary Policy in China 968 993 5 0073 85957073683550599 yqzhang@cass.org.cn MM 994Q-008Q4 VECM M M GDPCPI M M M 007 VECM JEL E5C3E58 The Choice of he Inermediae Targe