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

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。

Study the Nonlinear Granger Causality between CPI and PPI---Based on Shenzhen＆#39;s Monthly Data

Based on Shenzhen＇s CPI and PPI from January 2005 to December 2013, this paper investigates the nonlinear relationship between CPI and PPI by using nonlinear Granger causality test , then dynamic analyzes the nonlinear relationship between CPI and PPI at different period by using step-test procedure. The results of nonlinear Granger causality test indicate that there exists a unidirectional nonlinear Granger causality from PPI to CPI during the sample period. What＇s more , step-test shows that PPI is the nonlinear Granger causality of CPI. This suggests that the supply side factors have played a more important role than demand side factors in CPI inflation, and implies that price rise of upstream factors of production will lead to increase in downstream consumer prices, then result in enlarge the pressures of cost-push inflation. Therefore, we＇d better consider the supply side for inflation control and adopt macro-control policies according to the dynamic relationship between CPI and PPI.