| Crude oil,as the basic raw material of industry,is the foundation of economic development.Its price fluctuation has different effects on the prices of different commodities or services,and the effects can cascaded spread along the price transmission relationships between commodities or services.Price stability is an important goal of macroeconomic policy,and price index is an important reference index for the government to adjust prices.This study proposes a time series research framework combining multidisciplinary methods,and the dynamically cascade transmission effects of the price fluctuation of international crude oil on China's price index system are analyzed from a network perspective.The main results and contributions are as follows:(1)This thesis constructs a cascaded transmission model of the price fluctuation of international crude oil to price index based on time window,and describes the dynamically cascaded transmission relationship from the price fluctuation of international crude oil to China's price index system.From the long-term and shortterm perspectives,this thesis analyzes the cascaded transmission range and transmission path from international crude oil to macro price indices and micro price indices.The results reveal that compared with the short-term,the long-term cascaded transmission range of international crude oil price fluctuations to China's price index is wider,the transmission relationship is closer,the transmission path is shorter and the number of transmission paths is larger.Compared with the macro price indices,crude oil has a wider cascaded transmission range to the micro price indices,and the price fluctuation transmission relationships between crude oil and the micro price indices are more complex,with the number of transmission path larger.In addition,the fluctuation of international crude oil can first affect the price indices of petroleum industry,chemical industry,fuel and transportation.Moreover,during the period of rapid economic development and active investment in China,the cascaded transmission relationships between international crude oil and China's price index are closer and stabler,with transmission path shorter.The analysis of cascaded transmission range and transmission path can shed light on the decentralized management of prices for price regulators.(2)Based on the cascaded transmission relationships,this thesis constructs a cascaded contribution model of the price fluctuation of international crude oil to price indices based on time window,and reveals the cascaded contribution of international crude oil to China's price indices.From the internal of the system,the direct,indirect and total contribution of the influence of international crude oil to each price index are analyzed.The results reveal that the indirect influence contribution accounts for a large proportion of the total contribution of the international crude oil to the fluctuation of price indices,which provides an evidence that the indirect impact of international crude oil price volatility on the price index during the cascaded transmission process cannot be ignored.Besides,the influence contribution of international crude oil to price indices has increased significantly during the period of active investment.Moreover,international crude oil price fluctuations have a greater impact on the prices of goods or services in the oil industry chain,and crude oil affects the micro price indices,such as “PPI: petroleum industry”,“PPIRM: fuel and power”,“IPI: plant products” and “IPI: mineral products”,and then reflects on the macro price index.Therefore,policy makers and price regulators should pay more attention to the indirect impact of international crude oil on the price indices,otherwise the impact of crude oil will be underestimated.The macro price indices can be regulated by supervising the micro price indices which are greatly affected by the fluctuation of crude oil price.(3)Based on the cascaded transmission relationships,this thesis constructs a cascading time-lag model of the influence of international crude oil price fluctuation on price indices,and reveals the time lag effect of the rising of international crude oil price on price indices in the process of cascading transmission under external shocks.From the perspectives of direct time-lag effect and total time-lag effect,the influence degree,transmission speed and the duration of the influence of crude oil on price indices are detected.The results show that the international crude oil has a higher time-lag influence on IPI and the micro price indices under IPI,and a lower time-lag influence on CPI,RPI and the micro price indices under CPI and RPI.Besides,compared with the direct time-lag effect,the international crude oil has a higher degree of total timelag influence on the price indices with a slower transmission speed,while the duration of the influence is almost the same.Compared with the macro price indices,the total time-lag influence degree of international crude oil on the micro price indices is lower with a faster transmission speed,and the duration of the influence is shorter.Therefore,policy makers and price regulators should focus on the total time-lag effect of international crude oil on micro price indices.If they only focus on the effect of crude oil on macro price index,the best time to monitor prices will be missed and overregulation may occur. |
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