2011 5 207 JOURNAL OF XIAMEN UNIVERSITY Arts & Social Sciences No. 5 2011 General Serial No. 207 STR 361005 CPI 1990 2011 CPI CPI CPI Granger CPI CPI STR F061. 2 A 0438-0460 2011 05-0043 - 08 2010 10 4% Consumption Price Index CPI CPI CPI CPI CPI 2011-05 - 03 08&ZD034 09AZD045 07JJD790145 2009b051 43
2011 Cu ado Pérez de Gracia 2003 Cu ado Pérez de Gracia 2005 Cologni Manera 2008 VAR Berument Tasci 2002 Doroodian Boyd 2003 CGE LeBlanc Chinn 2004 Phillips Curve Framework lvarez 2009 DSGE 2006 CPI 2007 Grange 2007 10% CPI 0. 3% 2009 SVAR 2007 2010 VAR 1% PPI 0. 176% CPI 0. 124% CPI STR CPI STR STR STR Y t = 'z t + θ'z t G γ c s t + u t z t = w ' t x ' ' w ' t = 1 y t - 1 y t - p x ' t = 1 x 1t y kt = 0 1 m ' θ = θ 0 θ 1 θ m ' m + 1 1 u iid t ~ N 0 σ 2 G γ c s t s t γ c = c 1 c k ' G γ c s = 1 + exp - γπ K k = 1 s t - c k - 1 γ > 0 c 1 c k LSTR Exponential Smooth Transition Regression K = 1 LSTR1 K = 2 LSTR2 G γ c s t = 1 - exp - γ s t - c t 2 ESTR Logistic Smooth Transition Regression 44 STR STR
5 1. STR STR 0 STR STR STR STR STR STR P Lütkepohl Kr tzig 2004 1 STR H 04 β 3 = 0 H 03 β 2 = 0 β 3 = 0 H 02 β 1 = 0 β 2 = β 3 = 0 STR H 03 P LSTR2 LSTR1 2. 3. LM J - B ARCH - LM STR 1990 1 2011 1 WTI CPI CPI 2000 1 CPI 100 X12 CPI lncop lncpi ΔlnCOP ΔlnCPI lncop lncpi ΔlnCOP - t ΔlnCPI - t ΔlnCOP - t ΔlnCPI t 2009 PP Phillips - Perron Unit - root Test ADF 2010 1 lncpi lncop ΔlnCPI ΔlnCOP 45
2011 1 PP lncpi ΔlnCPI lncop ΔlnCOP PP 1% 5% 10% c t - 1. 484-3. 990-3. 430-3. 130 c 0-9. 091-3. 460-2. 880-2. 570 c t - 2. 895-3. 990-3. 430-3. 130 c 0-11. 585-3. 460-2. 880-2. 570 c t c t Granger CPI AIC SIC 4 2 2 Granger F P ΔlnCOP ΔlnCPI Granger 3. 8851 0. 0000 ΔlnCPI ΔlnCOP Granger 0. 6106 0. 8568 Granger 1% lncop lncpi CPI Granger CPI STR STR lncop lncpi 1. AIC SIC 5 ΔlnCPI = 0. 0955ΔlnCPI - 1-0. 0497ΔlnCPI - 3-0. 0717ΔlnCPI - 4 + 0. 9506ΔlnCOP P 3 3 F3 P ΔlnCPI - 4 LSTR2 2. STR LSTR2 Newton - Raphson BFGS 46
5 4 3 P F F4 F3 F2 ΔlnCPI - 1 3. 5478e - 11 5. 1874e - 02 1. 0404e - 10 1. 3185e - 02 LSTR2 ΔlnCPI - 4 3. 3862e - 14 5. 3083e - 01 6. 8834e - 15 2. 6863e - 01 LSTR2 ΔlnCPI - 5 2. 0317e - 14 4. 1141e - 05 5. 2847e - 14 7. 0765e - 01 LSTR2 TREND 4. 0905e - 56 3. 7157e - 03 1. 3483e - 12 3. 3544e - 46 LSTR1 4 LSTR2 p ΔlnCPI - 1 0. 226 28 0. 096 51 0. 0006 ΔlnCPI - 4-0. 003 95-0. 032 23 0. 0253 ΔlnCPI - 5-0. 085 08-0. 058 00 0. 0404 ΔlnCOP 2. 574 86 3. 423 19 0. 000 0 γ 0. 7133 9 0. 096 46 0. 0046 c 1 c 2-0. 135 60 0. 3185 4-0. 280 35 0. 303 61 0. 0001 0. 0005 R 2 珔 R 2 0. 827 43 0. 8281 LSTR ΔlnCPI = 0. 0965ΔlnCPI - 1-0. 0322ΔlnCPI - 3-0. 0580ΔlnCPI - 4 + 3. 4232ΔlnCOP 1 + exp - 0. 0965ΔlnCPI - 4 + 0. 2804 ΔlnCPI - 4-0. 303 61-1 1 1 + exp - 0. 096 46ΔlnCPI - 4 + 0. 280 35 lnδcpi - 4-0. 303 61-1 G γ c 1 c 2 s t γ = 0. 096 46 s t = lnδcpi - 4 c 1 = - 0. 280 35 c 2 = 0. 303 61 3. LM ARCH - LM 0. 7738 p = 0. 6262 6. 0338 p = 0. 6434 J - B 4. 0538 p = 0. 1317 LSTR 5 5 P F F4 F3 F2 ΔlnCPI - 4 8. 8977e - 01 9. 3257e - 01 5. 9395e - 01 4. 5776e - 01 5 5% 1 2 G 47
2011 1 ΔlnCPI - 1 ΔlnCPI 9. 67% CPI CPI CPI CPI 3 4 ΔlnCPI ΔlnCPI 3 4 CPI CPI CPI CPI ΔlnCPI - 4 4 CPI CPI CPI c 1 = - 0. 2806 c 2 = - 3036 ΔlnCPI - 4 c 2 c 1 Δln CPI - 4 CPI CPI CPI CPI CPI CPI CPI Δ lncpi - 4 c 1 c 2 γ = 0. 0965 CPI CPI 4 CPI 4 CPI 4 CPI CPI CPI CPI CPI CPI CPI CPI 48
5 2 CPI 1 lncop 3. 423 19 CPI 2 1990 11 2009 0. 5 0. 4 1990 CPI 2009 2009 CPI CPI ΔlnCPI 1 CPI ΔlnCPI 3 4 CPI CPI 4 ΔlnCPI ΔlnCPI Δln CPI - 4 1990 2009 1 CPI CPI 2010 6 2006 3 2009 12 2007 11 2007 7 2009 1 49
2011 2007 2010 12 A. Cologni M. Manera 2008 Oil Prices Inflation and Interest Rates in A Structural Cointegrated VAR Model for the G - 7 Countries Energy Economics Vol. 30 3. H. Berument H. Tasci 2002 Inflationary Effect of Crude Oil Prices in Turkey Physica A Statistical Mechanics and its Applications Vol. 316 1. H. Lütkepohl M. Kr tzig 2004 Applied Time Series Econometrics London Cambridge University Press. J. Cu ado F. Pérez de Gracia 2003 Do Oil Price Shocks Matter Evidence for Some European Countries Energy Economics Vol. 25 2. J. Cu ado F. Pérez de Gracia 2005 Oil Prices Economic Activity and Inflation Evidence for Some Asian Countries Quarterly Review of Economics and Finance Vol. 45 1. K. Doroodian R. Boyd 2003 The Linkage between Oil Price Shocks and Economic Growth with Inflation in the Presence of technological Advances A CGE Model Energy Policy Vol. 31 10. L. J. Alvarez S. Hurtado I. Sánchez C. Thomas 2009 The Impact of Oil Price Changes on Spanish and Euro Area Consumer Price Inflation Occasional Paper No. 0904. M. LeBlanc M. D. Chinn 2004 Do High Oil Prices Presage Inflation The Evidence from G - 5 Countries Working Paper University of California. The Nonlinear Impact of International Oil Prices on the CPI in China Findings from the STR Model CHEN Jian-bao LI Kun-ming Department of Statistics Xiamen Univesity Xiamen 361005 Fujian Abstract Prices of petroleum as an important upstream product must have a close relationship with the consumption price index CPI. This paper attempts to use the nonlinear smooth transition regression STR model to study the correlations between international oil prices IOP and CPI in China from 1990 to 2011. The results show that CPI in China has some albeit not strong inertia that a one-way Granger causality exists between IOP and the CPI in China and that the impact of IOP on CPI is nonlinear and produces a strong indirect effect on the inflation in China. It is therefore argued that inflation in China is more likely to be a cost-push one and that some important exogenous factors such as IOP will influence the price level indirectly via the transmission of production costs. It is suggested that our government focus its efforts to control inflation on the phase of production make better long-term strategic plans such as petroleum reservation establish a regular mechanism for price adjustment and sufficient emergency plans to prevent drastic fluctuations of oil prices and regulate the production behavior of real economy. Key words international oil price level of product price nonlinear relation CPI STR model 50