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| PPI和CPI传导效应实证分析 | |
| 引用本文： | 陈黎明,吴伟,徐海云.PPI和CPI传导效应实证分析[J].统计与信息论坛,2010,25(7):42-46. |
| 作者姓名： | 陈黎明 吴伟 徐海云 |
| 作者单位： | 1. 湖南大学,金融与统计学院,湖南,长沙,410079;中南财经政法大学,信息学院,湖北,武汉,430073 2. 湖南大学,金融与统计学院,湖南,长沙,410079 3. 中南财经政法大学,信息学院,湖北,武汉,430073 |
| 基金项目： | 湖南大学中央高校基本科研业务费专项资金项目 |
| 摘 要： | 将PPI分解为生产资料出厂价格指数和生活资料出厂价格指数,利用VEC模型分别检验它们与CPI之间的传导关系,结果表明：不同传导路径存在差异且总体传导强度有限;利用变结构协整检验了近年来中国价格传导的变异性,发现存在变结构点,价格传导效应有减弱的迹象。 |
| 关 键 词： | 价格指数 传导效应 VEC模型 变结构协整 |
An Empirical Analysis of Conduct-Effect between PPI and CPI |
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| CHEN Li-ming,WU Wei,XU Hai-yun.An Empirical Analysis of Conduct-Effect between PPI and CPI[J].Statistics & Information Tribune,2010,25(7):42-46. | |
| Authors: | CHEN Li-ming WU Wei XU Hai-yun |
| Institution: | 1.School of Finance ＆ Statistics,Hunan University,Changsha 410079,China;2.School of Information,Zhongnan University of Economics and Law,Wuhan 430060,China) |
| Abstract: | To analyze the relation between PPI and CPI effectively,this paper examines the relationship between the ex-factory price index of means of production and the ex-factory price index of consumer goods with CPI respectively employing the VEC models,results show that there is considerable discrepancy in different pathways and the conduction relations is limited.Tests on regime shift of co-integrating relations suggest that there is a variable-structure point,the conduction of price have decreased. |
| Keywords: | price index conduction effect VEC models regime shift of co-integrate |
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