国际油价波动对国内消费物价水平传导非对称研究

中国原油定价机制逐步市场化，国内与国际油价的关联性大大提高。以研究国际油价波动对中国消费物价水平的传导为研究目的，以2007年1月-2015年12月为样本区间，从国际油价对CPI的传导机理入手，依据传导性质划分为直接传导和间接传导两条传导路径，并以此作为研究框架。以协整和非对称误差修正模型（APT-ECM）为主要研究方法，结合Wald检验和脉冲响应函数分析方法，深入剖析实际传导过程及其特征。实证结果表明，国际油价对国内消费物价水平的传导包括垂直传导和空间传导。受多种因素影响，实际传导效应在油价波动方向、波动幅度和传导速率方面表现出不同程度的非对称性特征。

Study on the Asymmetric Transmission Mechanism and Effect Oil Price Fluctuation to Domestic Price Level

The crude oil pricing mechanism of China has been realizing marketization progressively. The relevance between the oil prices at home and abroad gets greatly strengthened. The main purpose of this paper is to investigate the transmission process of international oil price fluctuations to the domestic consumer price level. Within the sample range between January 2007 and December 2015,this paper starts from the transmission mechanism of international oil price to CPI,which is divided into direct and indirect transduction channels by conductive property. We conduct our analysis under two separate cases:direct transduction channel,and indirect transduction channel. On the basis of co-integration and asymmetric price transmission-error correlation model (APT-ECM),the transmission process and properties are explored deeply combining with Wald test and impulse response function analysis methods. The quantitative results mainly shows that the transmission of international oil price fluctuations to the domestic consumer price level includes vertical conduction and space conduction.Owing to the varied shocksto transmission process,it has asymmetric performances to various certain extents in the direction,range and conduction pace of oil price fluctuations.