为了综合系统地反映能源对通胀的影响,借鉴金融状况指数方法,文章构建了能源价格状况指数(EPCI),通过内生能源价格,建立拓展的新凯恩斯混合菲律普斯曲线作为其数理模型基础,使用MS-FAVAR模型,选择了国内外原油价格、国内煤炭价格和国外煤炭价格共3个公因子10个能源价格状况变量,测算了我国EPCI,并分析了它与通胀(PPI)的关系,结果表明EPCI对PPI有较好的先导作用和预期效果。
In order to comprehensively reflect the impact of energy on inflation, drawn on the method of constructing finan- cial condition index, this paper constructs an energy price condition index(EPCI). Firstly, through the endogenous energy prices, this paper develops an extended new Keynes mixed Phillips curve as the mathematical model foundation. Then, selecting domestic and international crude oil prices, domestic coal prices and foreign coal prices altogether three common factors including 10 condi- tion variables of energy prices, It also estimates Chinese EPCI by using MS-FAVAR model and analyzing the relationship with in- flation. The results indicate that EPCI performs a good leading role and has an expected effect on our country' s inflation. There- fore, this paper proposes to regularly construct energy price condition index of our country.