CPI与PPI的非线性Granger因果关系研究——基于深圳市月度数据的实证分析

发布时间：2018-05-06 02:27

本文选题：居民消费 + 价格指数　；参考：《技术经济与管理研究》2014年06期

【摘要】：文章基于深圳市2005年1月至2013年12月的居民消费价格指数(CPI)和工业生产者出厂价格指数(PPI),运用非线性Granger因果关系检验,从非线性的角度考察深圳市的CPI与PPI之间的作用关系,并采用逐步检验方法对CPI与PPI之间在不同时期的作用关系进行动态分析。非线性Granger因果关系检验的结果表明,在所考察的样本时期内,存在着由PPI到CPI的单向非线性Granger因果关系。逐步检验则进一步显示,PPI是引起CPI变化的非线性Granger因果原因。这说明供给因素在以CPI衡量的通货膨胀中占优于需求因素,也意味着上游生产要素的价格上涨将传导至下游消费品的价格,以致加大了成本推动通货膨胀的压力。因此,治理通货膨胀应采取以供给调控为主的政策,并适时适度地根据CPI与PPI之间的动态关系进行宏观调控。
[Abstract]:Based on the consumer price index (CPI) of Shenzhen from January 2005 to December 2013, and the factory price index (PPI) of industrial producers, this paper applies the nonlinear Granger causality test to investigate the relationship between CPI and PPI in Shenzhen City from a nonlinear point of view. The dynamic relationship between CPI and PPI in different periods was analyzed by step-by-step test method. The results of nonlinear Granger causality test show that there is a one-way nonlinear Granger causality from PPI to CPI in the sample period. The stepwise test further showed that PPI was the nonlinear Granger causality cause of CPI change. This suggests that the supply factor is better than the demand factor in inflation as measured by CPI. It also means that higher prices of upstream factors of production will be transmitted to the prices of downstream consumer goods, thus increasing the pressure on costs to drive inflation. Therefore, to control inflation, we should adopt the policy of supply control, and adjust and control macroscopically according to the dynamic relationship between CPI and PPI.
【作者单位】：北京大学经济学院;深圳市政府投资项目评审中心;
【基金】：中国博士后科学基金面上资助项目(2013M530448)
【分类号】：F224;F726;F424

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