| Since China joined to the WTO,China’s external economic relations have become increasingly close,and our country’s CPI has been more and more deeply influenced by domestic and foreign commodity futures price’s fluctuations.CPI is the main index to measure inflation,keeping price stability is one of the main objectives of macroeconomic regulation in our country.Over the past ten years,the international commodity prices have gone through the up,down and recovery.In 2015,the price of international commodity hadfell into a wave of new tumbling,which greatly affect China’s PPI and CPI,which will impacting the development of China’s economyin the end.Due to the volatility of commodity futures prices before CPI,PPI,it can be as early warning indicatorstimely management of inflation expectations.Based on the data from January 2006 to June 2016,this paper uses wavelet analysis to study the impact of commodity futures price on CPI in China.First of all,the analysis of the transmission path of the impact of commodity futures CPI is split into direct and indirect influence.The direct influence mainly analyzes the impact of international commodity futures price impact on China’s CPI and domestic commodity futures price of CPI in China,and analyzes the impact of international commodity futures prices of China’s domestic commodity futures prices.Indirect impact analysis of the impact of international commodity futures prices on the trend of PPI in china.Based on the above analysis consequence,further builds a comprehensive model of multiple factors,using VAR model to analyze the domestic commodity futures prices and other macro factors(including monetary factors)impact on the CPI index.The study found that transmission pathways of the impact of commodity futures on CPI are effective,the second channels: CRB->CFCI->CPI is the most significant.Next is the direct channel: CRB->CPI,and finally channelby the PPI conduction may exist end failure,but the section: CRB->PPI is still effective.In the domestic commodity futures,the contribution of grain futures and agricultural products futures to China’s consumer price level is the highest.The study also found that commodity futures through the monetary factors to affect China’s CPI is not significant,but the United States CPI contribution to China’s CPI volatility is greater.This paper firstly illustrates the transmission pathways of the impact of commodity futures on CPI,and undertakes an empirical analysis of two main transmission mechanisms of them,which are the interactions between domestic and international commodities and the impact of PPI on CPI.Based on the previous analytical results,this paper constructs a multiple-factor comprehensive model to analyze the impact of commodity futures price and other macro or micro factors on general CPI index.The study found that China’s CPI is significantly influenced by domestic and foreign commodity futures prices 、PPI(positive effect)and monetary policy(M2),but for thereverse influence.This paper not only explains the transmission mechanism of commodity futures price and PPI impact on China’s CPI,but also provides a new perspective for the government to strengthen the management and control of CPI.In this paper,the research content,research methods and structure of the application has all innovated.In previous studies,most of the studies have only research the influence of international commodity futures prices on CPI in China,and there are few studies on the transmission mechanism and the comprehensive factors.In the research methods,in the previous studies,most of them use original data to analysis,or use the multiple linear regression and Grainger causality test for correlation analysis.These analyses are based solely on the time dimension,and the effectiveness of the consequence is not good.This paper use MODWT to deal data,divide date into differentterm three large scale by using wavelet decomposition,using correlation analysis of multi-scale wavelet coherence and cross spectral analysis to guarantee the effectiveness of the consequence.Finally,consider the monetary factor,by constructing the VAR model to analyze the contribution of each variable to CPI’s volatility in order to analyze whether the variables in the multi factor system is still efficaciously.In the using of the results,most of the previous studies have not systematically linked the analysis results with the inflation expectations management in our country.The research results presented that commodity futures prices can be as a "signal" for government to manage inflation expectations.This paper not onlyoffer a new perspective of regulating CPI for government and also advise enterprise and individual investors how to change themselves’ economic behavior by their inflation expectations... |
PDF Full Text Request