国际农产品价格对中国通货膨胀的传递效应

针对国际农产品金融化背景下，国际农产品价格对中国通货膨胀的传递效应动态变化研究的不足，引入了状态空间模型和BEKK-GARCH模型，基于2000年1月至2015年1月的月度数据，对传递系数的动态变化特征及金融变量对传递系数的影响展开了实证分析。结果显示：国际农产品金融化背景下，尤其在2008年金融危机以后，国际农产品价格向中国通货膨胀的传递系数为正，且呈现出明显的上升趋势；国际农产品期货价格、国际石油价格、人民币汇率和国际流动性水平均对传递系数有正向促进作用；国际农产品期货价格、国际石油价格和国际流动性水平相互影响，对传递系数存在ARCH型波动溢出效应。

The Transfer Effect of International Agricultural Product Price on Chinese Inflation

Based on the monthly data from January 2000 to January 2015, using the State Space model and BEKK GARCH model, this paper studies the transfer effect of international agricultural product price on Chinese inflation under the background of international agricultural financialization. The research shows: the transfer coefficient of international agricultural product price on Chinese inflation has presented an rising trend since 2008 in agricultural product financialization; Futures prices of international agricultural products, international oil price, RMB exchange rate and international liquidity level all have positive roles in promoting the transfer coefficient; Future prices of international agricultural products, international oil price and international liquidity level have volatility spillover effects on the transfer coefficient.