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本文基于2005年1月至2014年12月进口价格指数(IPI)及基于广义经济分类的分类价格指数、居民消费价格指数(CPI)、工业品出厂价格指数(PPI)月度数据,采用小波多分辨率分析将原始序列分解为短期分量和中长期分量,从时域和频域两个维度研究IPI对CPI和PPI的传递效应。结果显示:在短期和中长期内,三个价格指数呈现相同的变动趋势。通过Granger因果检验、协整检验、VAR和VEC等方法进行实证检验发现,短期内IPI及其子成分都是CPI和PPI变动的Granger原因,而在长期内IPI是CPI和PPI的Granger原因,且存在协整关系,但IPI的不同子成分与CPI和PPI之间的关系却存在差异,IPI对CPI和PPI的影响在长期内较短期内更为显著。
Based on the analysis of the Import Price Index (IPI) from January 2005 to December 2014 and the classified monthly price index (CPI) and the producer price index (PPI) based on the generalized economic classification, this paper uses wavelet multiresolution Rate analysis decomposes the original sequence into short-term and long-term components and studies the effect of IPI on CPI and PPI in two dimensions of time domain and frequency domain. The results show that: in the short and medium term, the three price indices show the same trend of change. Empirical tests using Granger causality test, cointegration test, VAR and VEC show that IPI and its subcomponents are the Granger cause of CPI and PPI in the short term, and Granger causes of CPI and PPI in the long term There is cointegration relationship, but the relationship between different subcomponents of IPI and CPI and PPI is different. The impact of IPI on CPI and PPI is more significant in the short term.