商品价格对东欧国家产出增长和通货膨胀的时变影响

R. Kopych, Viktor Shevchuk
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引用次数: 0

摘要

利用 2002-2022 年期间的季度数据,我们估算了不同汇率制度下 8 个东欧国家的几种商品价格(农业原材料、原油和金属)对产出和通胀的影响。卡尔曼滤波器用于估计时变参数。我们的主要发现可归纳如下:(i) 在大多数国家(斯洛伐克除外),原油价格的上涨会导致通货膨胀,自 2020 年以来,价格效应更强;(ii) 在 8 个国家中,有 4 个国家的原油价格对产出增长的影响是中性的,克罗地亚、斯洛文尼亚和罗马尼亚的原油价格具有扩张效应,斯洛伐克的原油价格具有收缩效应,但 2021-2022 年的原油冲击似乎对几乎所有国家(斯洛伐克除外)都具有扩张效应,无论采用何种汇率制度;(iii) 金属价格对通胀和产出的影响在各国之间差异很大;(iv) 农业原材料价格仅在保加利亚和波兰对通胀和产出增长起作用。自 2021 年以来,原油价格对通货膨胀的影响越来越大,这表明货币政策对石油冲击的反应更加强烈,特别是在其有利的产出效应存在的情况下。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
Time-Varying Impact of Commodity Prices on Output Growth and Inflation in the Eastern European Countries
Using quarterly data for the 2002–2022 period, we estimate the output and inflation effects of several commodity prices (agricultural raw materials, crude oil, and metals) for 8 Eastern European countries with different exchange rate regimes. The Kalman filter is used for estimating the time-varying parameters. Our main findings can be summarized in the following way: (i) higher crude oil prices are inflationary in most of the countries (except Slovakia), with a stronger price effect since 2020; (ii) crude oil prices are neutral with respect to output growth in 4 out of 8 countries, with an expansionary effect in Croatia, Slovenia, and Romania, as well as a contractionary effect in Slovakia, but the crude oil shock of 2021–2022 seems to be expansionary in almost all countries (except Slovakia), regardless of the exchange rate regime practiced; (iii) inflation and output effects of metals prices are quite heterogeneous across countries; (iv) agricultural raw material prices play a role in both inflation and output growth only in Bulgaria and Poland. Since 2021, a growing inflationary impact of crude oil prices suggests a stronger monetary policy reaction to the oil shock, especially in the presence of its favorable output effect.
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