| Research data showed that the ratio of dependence on China's international commodity import was more than 60% in 2012.Since then,the number is continuously up.The rapid development of the economy and the shortage of domestic supply have led to the increasing demand for international commodities in China.China's economy is very sensitive to the fluctuation of international commodity prices.At the same time,international commodity prices have changed by a large margin,and the fluctuation of prices will directly affect the import prices of commodities in China.This shock will be transmitted along the industrial chain,affecting the total industrial output and domestic price levels,and ultimately affecting China's economy.With the passage of time,the impact of international commodity price fluctuations on China is bound to change,and the uncertainty facing China's economic situation is increasing.In this context,what impact does the fluctuation of international commodity prices have on China's industrial output and price level? Is it a positive effect or a negative effect? How does this effect change over time? What are the characteristics of international commodity transmission in different periods? This paper makes an indepth analysis of these problems,so that we can predict the impact of the next price shock before it comes,and take more targeted measures to mitigate the impact,which has certain theoretical and practical significance.There are many kinds of commodities in international commodities.The trend of different kinds of commodities has been polarized in recent years.Besides,due to the different attributes of different commodities,the transmission of price fluctuations to the domestic will also be different.Therefore,this paper studies the time-varying effects of international commodities on China's industrial output and prices from both the overall and the classification perspectives.Firstly,this paper analyses the time-varying impact of international commodity price fluctuation on China's industrial output and price.Secondly,three representative commodities(edible goods,metals and energy)are selected to analyze the time-varying transmission characteristics of different types of commodities on China's industrial output and price,and to further clarify what kind of commodity play a major role when international commodity have an impact on China.This paper takes the TVP-VAR model as empirical research econometric model,the first empirical study sample in this paper is the monthly data from February 2001 to November 2018.The second empirical study sample is the monthly data from February 2001 to June 2017.After analysis,the following main conclusions are obtained.First,International commodity prices have fluctuated in the past two decades,and their price fluctuations have significant time-varying characteristics for China's industrial output and prices.The impact of international commodities on industrial output varies in different economic cycles.In the period of expansion and adjustment,international commodity prices have a short-term positive effect on industrial output.In the period of recession,the negative impact of fluctuations in international commodity prices on industrial output has been magnified and lasted longer.For prices,the rise of international commodity prices will lead to its rise,and there are differences in the transmission to upstream and downstream prices.At different time points,the transmission path of international commodity prices to CPI is also different.Second,the prices of different sub-commodities of international commodities have shown a trend of differentiation.There are also significant differences in the timevarying effects of different categories of commodities on China's industrial output and prices.The impact of energy on industrial output is greater than edible and metal.metal and energy have a greater impact on upstream prices,while edible have a greater impact on downstream prices.Besides,energy are mainly transimit directly to CPI,while edible and metal are indirectly acting on CPI through affecting PPI.Third,the time-varying effect of international commodity price volatility on China's industrial output and prices is due to the main impact of different categories of commodities in different periods.In 2002,2012 and 2015,the effect of international commodity prices on industrial output was mainly driven by metal and energy.In 2003,the impact of international commodity prices on PPI was mainly due to the energy.In 2002 and 2015,the direct transmission of international commodities on CPI was mainly driven by edible.For the rest of the time,the impact of international commodities on PPI was due to the internal role of metal.Finally,based on the empirical conclusions,this paper puts forward the following suggestions.First,building a price monitoring and warning mechanism.Second,paying close attention to price fluctuations and adopting a problem-oriented strategy.Third,developing the commodity futures market in China.Forth,deepening the reform of various industries.Fifth,establishing strategic store of commodities.The main innovations of this paper are: From the perspective of research,this paper analyzes the impact of the overall bulk commodities on China's industrial output and prices and analyzes the impact of different categories of commodities,then compare the two empirical results to further reveal the inherent mechanism of the timevarying effects of international commodity prices.In terms of research methods,this paper uses the newly developed TVP-VAR model with time-varying parameters to study the time-varying characteristics of industrial output and prices after being impacted by commodity prices in different periods,avoiding the bias caused by the traditional fixed parameter model. |
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