|
|
|
| Study of Nonlinear Cointegration Relationship between Oil Price Fluctuations and Chinas Inflation |
| School of Finance and Economics， Jiangsu University |
|
|
|
|
Abstract The cointegration relationship between fluctuation of international oil prices and inflation in China mostly shows that there are two stages of nonlinear threshold cointegration relationship, with -0.72 as the dividing threshold. In the short term nonequilibrium, the international oil prices tend to bring the nonequilibrium back to equilibrium. At Stage One, inflation tends to produce equilibrium whereas at Stage Two, it tends to strengthen nonequilibriium. At both Stage One and Two, the fact that inflation adjustment factor is greater than that in international oil prices indicates that equilibrium is mainly achieved by inflation adjustment when there is a shortterm nonequilibrium.
|
|
|
|
|
|
| \[1\]顾颜玲.国际油价上涨对中美居民消费价格指数的影响\[J\]. 中国流通经济，2007(9)：50-52.\[2\]王风云.国际石油价格波动对我国通货膨胀影响的实证分析\[J\]. 价格月刊，2007(7)：6-8.\[3\]中国经济增长与宏观稳定课题组.外部冲击与中国的通货膨胀［J］.经济研究，2008（5）：4-18.\[4\]Balke， N.S.， Fomby，T.B. Threshold Cointegration\[J\]. International Economic Reviews，1997(38):627-645.\[5\]Hansen, B.E.， Seo,B.Testing for Tworegime Threshold Cointegration in Vector Error Correction Models\[J\]. Journal of Econometrics,2002(110):293-318.\[6\]Andrews, D.W.K. Test for Parameter Instability and Structural Change with Unknown Change Point［J］. Econometria,1993(61):821-856. |
|
|
|
2011, Vol. 13 
