Revisiting the Dynamic Response of Chinese Price Level to Crude Oil Price Shocks Based on a Network Analysis Method

被引：2

作者：

Sun, Qingru ^{[1
]}

Wang, Ze ^{[2
,3
]}

Jia, Nanfei ^{[4
]}

机构：

[1] Hebei Univ, Sch Econ, Baoding 071002, Peoples R China

[2] Beijing Normal Univ, Int Acad Ctr Complex Syst, Zhuhai 519087, Peoples R China

[3] Beijing Normal Univ, Sch Syst Sci, Beijing 100875, Peoples R China

[4] Beijing Technol & Business Univ, Sch E Business & Logist, Beijing 100048, Peoples R China

来源：

ENTROPY | 2022年 / 24卷 / 07期

基金：

中国博士后科学基金;

关键词：

crude oil price shocks; price indices; indirect influence; network analysis method; impulse response function; PASS-THROUGH; INFLATION; OUTPUT; CPI; COINTEGRATION; IMPACT; NEXUS; MODEL; PPI;

D O I：

10.3390/e24070944

中图分类号：

O4 [物理学];

学科分类号：

0702 ;

摘要：

Crude oil price shocks have led to a fluctuation in commodity prices through the industrial chain and supply-demand relationships, which can substantially influence a country's economy. In this paper, we propose a transmission model of oil price shocks to Chinese price levels and explore the direct and indirect impacts of crude oil price shocks on various Chinese price indices, combining the Granger causality test, impulse response function, and network analysis method. The empirical data are the Brent, WTI, Dubai, and Daqing spot crude oil prices and eight categories of Chinese price indices from January 2011 to March 2020. We found the following results: (1) Consumer price index (CPI) and the price index for means of agricultural production (MAPPI) cannot be directly impacted by crude oil price fluctuations, while they could be indirectly affected. (2) The duration and degree of the impacts of oil prices on each price index vary, and the export price index (EPI) is the most significantly affected. (3) The proportion of the indirect impact in the total impact of crude oil price shocks ranges from 0.03% to 100.00%. Thus, indirect influence cannot be ignored when analyzing the influence of crude oil price fluctuation on Chinese price level.

引用

页数：19