摘要
2021年以来,高通胀成为全球经济发展的重要挑战,各国通胀溢出效应值得关注。本文选取在全球贸易份额中占比较高的中国、日本、欧元区和美国四个经济体,通过构建TVP-VAR-DY模型,从通胀发展演变的长期历史视角测算四大经济体通胀的动态关联性及溢出效应。结果显示,金融危机和新冠疫情等全球性风险事件导致系统通胀总溢出程度显著增加,各国通胀波动具有更强的关联性,输入型通胀风险也相应升高;在后疫情期,美国和欧元区成为通胀溢出方,中日成为通胀溢入方,但是中国通胀波动具有较强的独立性,输入型通胀风险整体可控。
High inflation has become an important challenge for global economic development since 2021,and the inflation spillover effect is significant.In this paper,four economies which account for a large proportion of global trade are selected to analyse the dynamic inflation spillover effects from a long-term historical perspective.The results show that global risk events such as the financial crisis and the epidemic have led to a significant increase in the total systemic inflation spillover,and inflation fluctuations among various countries have become more correlated,with the risk of imported inflation increasing.In the post-epidemic period,the inflation of United States and Eurozone exports to China and Japan.However,the inflation of China is stable,and imported inflation risk is generally controllable.
作者
高婧
Gao Jing(The People's Bank of China-Tianjin Branch)
出处
《金融发展评论》
2024年第1期19-30,共12页
Financial Development Review
作者简介
高婧,硕士研究生,中级经济师,中国人民银行天津市分行,Email:18522962452@163.com。
