Research on the Industrial Transmission Effects of Structural Nonferrous Metal Price Shocks in the Perspective of Industry Chain

doi:10.12005/orms.2018.0261

Abstract

Abstract: Based on the monthly data from August 2006 to April 2016, this paper chooses six representative Chinese industrial sectors to construct SVAR model from the perspective of nonferrous metal industry chain, and decomposes the nonferrous metal price shocks into the supply shocks, economic demand shocks and preventive demand shocks for estimating the effects of three structural shocks on the output in various links of the nonferrous metal industry chain. Then we investigate the main transmission pathways of international nonferrous metal price shocks through decomposing the sources of inflation pressure in nonferrous metal industry chain. The results show that the correlations between the industrial output and the rise of nonferrous metal price driven by the supply shocks and preventive demand shocks are negative, while the industrial output and the rise of nonferrous metal price caused by the economic demand shocks move in the same direction. The effects of three structural shocks on inflation in China’s industrial sector have two pathways. The rise of nonferrous metal price driven by the supply shocks and preventive demand shocks will generate cost-push inflation, with the impacts transmitting from upstream to downstream along the industry chain, whereas the rise of nonferrous metal price caused by the economic demand shocks will lead to demand-pull inflation, and the impact transmits from downstream to upstream along the industry chain.

Key words: international nonferrous metal price, industry chain, SVAR model, transmission effect

摘要： 本文基于产业链的新视角,采用2006年8月至2016年4月的月度数据,选择具有代表性的6个工业行业以构建反映有色金属产业链内在联系的SVAR模型,将国际有色金属价格冲击分解为供给冲击、经济需求冲击以及预防性需求冲击,考察这三种结构性冲击对我国有色金属产业链各环节产出的影响效应,并通过分解上中下游行业的通胀来源,探究国际有色金属价格冲击的主要传导路径。结果显示:供给冲击和预防性需求冲击推动的有色金属价格上涨与工业行业产出呈现负相关关系,而经济需求冲击带来的有色金属价格上涨与工业行业产出呈现同向变化;三种结构性冲击对我国工业行业通胀的影响有两条传导路径,供给冲击与预防性需求冲击带来的国际有色金属价格上涨会产生成本推动型通胀,并且冲击作用沿着产业链的上游往下游进行正向传导,而经济需求冲击带来的国际有色金属价格上涨会产生需求拉动型通胀,并且冲击作用沿着产业链下游往上游进行逆向传导。

关键词: 国际有色金属价格, 产业链 , SVAR模型, 传导效应

CLC Number:

F830.91

CHEN Jin-yu,ZHU Xue-hong. Research on the Industrial Transmission Effects of Structural Nonferrous Metal Price Shocks in the Perspective of Industry Chain[J]. Operations Research and Management Science, 2018, 27(11): 95-104.

谌金宇,朱学红. 产业链视角下结构性有色金属价格冲击的行业传导效应[J]. 运筹与管理, 2018, 27(11): 95-104.

References

[1] Hamilton J D. Oil and the macroeconomy since World War II[J]. Journal of Political Economy,1983, 91(2): 228-248.
[2] Cunado J, Gracia F P. Do oil price shocks matter? Evidence for some European countries[J]. Energy Economics, 2003, 25(2): 137-154.
[3] 吴振信,薛冰,王书平. 基于VAR模型的油价波动对我国经济影响分析[J]. 中国管理科学,2011,1:21-28.
[4] Zhao L, Zhang X, Wang S Y, Xu S Y. The effects of oil price shocks on output and inflation in China[J]. Energy Economics, 2014, 53: 101-110.
[5] Wei Y, Guo X. An empirical analysis of the relationship between oil prices and the Chinese macro-economy[J]. Energy Economics, 2016, 56: 88-100.
[6] 丁志华,缪协兴,何凌云,周梅华. 基于动静态视角的煤炭价格波动对我国GDP影响研究[J]. 资源科学,2013,35(12):2467-2473.
[7] 李文博,龙如银,丁志华. 线性和非线性双重视角下煤炭价格波动对中国经济增长的影响[J]. 资源科学,2015,37(10):1973-1982.
[8] Kilian L. Not all oil price shocks are alike: disentangling demand and supply shocks in the crude oil market[J]. American Economic Review, 2009, 99(3): 1053-1069.
[9] 侯乃堃,齐中英.基于油价冲击分解的石油价格波动与经济增长的动态变化关系研究[J].中国软科学,2009, 8:132-143.
[10] 孙薇, 齐中英. 石油价格波动与我国进口价格的动态关系研究—基于对油价冲击分解的结构VAR模型[J]. 运筹与管理, 2011, 20(2): 125-131.
[11] Cashin P, Mohaddes K, Raissi M, Raissi M.The differential effects of oil demand and supply shocks on the global economy?[J]. Energy Economics, 2014, 44(C): 113-134.
[12] Cunado J, Jo S, Gracia F P D. Macroeconomic impacts of oil price shocks in Asian economies[J]. Energy Policy, 2015, 86: 867-879.
[13] Sotoudeh M A, Worthington A C. Estimating the effects of global oil market shocks on Australian merchandise trade[J]. Economic Analysis and Policy, 2016, 50: 74-84.
[14] Lee K, Ni S. On the dynamic effect of oil price shocks: a study using industry level data[J]. Journal of Monetary Economics, 2002, 49(4): 823-852.
[15] Jiménez-Rodríguez R. The impact of oil price shocks: evidence from the industries of six OECD countries[J]. Energy Economics, 2008, 30(6): 3095-3108.
[16] 刘建, 蒋殿春. 国际原油价格波动对我国工业品出厂价格的影响—基于行业层面的实证分析[J]. 经济评论,2010,2:110-119.
[17] 金洪飞, 金荦. 国际石油价格对中国股票市场的影响—基于行业数据的经验分析[J]. 金融研究,2010,2:173-187.
[18] 钱浩祺, 吴力波,汤维祺. 成本效应与需求效应—原油价格冲击的行业传导机制研究[J]. 世界经济文汇,2014,3:69-83.
[19] 谭小芬, 韩剑, 殷无弦. 基于油价冲击分解的国际油价波动对中国工业行业的影响:1998-2015[J]. 中国工业经济,2015,12:51-66.
[20] Tsai C L. How do U.S. stock returns respond differently to oil price shocks pre-crisis, within the financial crisis, and post-crisis[J]. Energy Economics, 2015, 54: 47-62.
[21] 苏梽芳,渠慎宁,陈昌楠. 外部资源价格冲击与中国工业部门通胀的内生关联研究[J]. 财经研究,2015,41(5):14-27.
[22] Sims C. Are forecasting models usable for policy analysis?[J]. Quarterly Review, 1986, 10: 2-16.
[23] Bernanke B S. Alternative explanations of the money-income correlation [J]. Carnegie -Rochester Conference Series on Public Policy, 1986, 25: 49-100.
[24] 陈文,廖泽安.基于油价冲击分解的价格传递效应研究[J].财务与金融,2017,4:73-78.
[25] Hamilton J D. Understanding crude oil prices[J]. Energy Journal -Cambridge Ma then Cleveland Oh-, 2008, 30(2): 179-206.
[26] Kaufmann R K. The role of market fundamentals and speculation in recent price changes for crude oil[J]. Energy Policy, 2011, 39(1): 105-115.
[27] 朱学红,谌金宇,钟美瑞.国际有色金属价格向我国通胀传递的时空特征及影响因素研究[J].国际贸易问题,2016,7:130-140.
[28] 吴力波, 汤维祺, 孙立坚, 张中祥. 原油价格冲击的动态传导机制—基于中国工业部门的实证研究[J]. 世界经济文汇,2011,4:89-106.
[29] Sun L, Kang C. The layout characteristics of China’s nonferrous metals industry and implication of industry structural adjustment innovation policy[C]. International Conference on Information Management, Innovation Management and Industrial Engineering, 2012, 10: 73-76.
[30] 吴烨. 当前国际铜价波动对我国铜产业链的影响研究[J].价格理论与实践, 2013,7: 93-94.