| 价格传导关系变化的实证检验 |
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| 引用本文： | 陈黎明,吴伟.价格传导关系变化的实证检验[J].财经理论与实践,2012,33(3):78-82. |
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| 作者姓名： | 陈黎明 吴伟 |
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| 作者单位： | 1. 湖南大学金融与统计学院,湖南长沙,410079
2. 湖南大学经济与贸易学院,湖南长沙,410079 |
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| 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 |
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| 摘 要： | 利用变结构协整分析价格指数间从1996年10月～2010年7月的长期均衡关系,并对变结构前后价格传导路径的统计显著性做Granger因果检验结果显示,近年来上下游价格传导的统计显著性有较大提高,需求因素在价格传导中的作用突出,但是生产资料价格向下游传导存在较长的滞后期。最后利用变参数模型的状态空间表示,动态考察价格指数序列间的相互作用,发现各传导路径作用强度的变化并不一致。
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| 关 键 词： | 价格传导 变结构协整 Granger因果检验 变参数模型 |
Empirical Study on the Change of Price Transmission |
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| CHEN Li ming,WU Wei.Empirical Study on the Change of Price Transmission[J].The Theory and Practice of Finance and Economics,2012,33(3):78-82. |
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| Authors: | CHEN Li ming WU Wei |
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| Institution: | 1.College of Finance and Statistics,Hunan University,Changsha,Hunan 410079,China; 2.College of Economy and Trade,Hunan University,Changsha,Hunan 410079,China) |
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| Abstract: | In this paper,variable structure cointegration was used to test the long-run equilibrium relationship between price indices from October 1996 to July 2010.Then the Granger causality theory was used to test the statistically significance of each transmission path before and after the variation.Empirical results show that,in recent years the statistical significance of price transmission between upstream and downstream has improved greatly,and the role of demand factor in the price transmission is prominent,but the transmission path of producer prices to downstream is lagged.Finally the interaction between price indexes using time varying parameter model has been dynamically examined,the intensity of the interactions in is not same. |
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| Keywords: | Price transmission Variable structure cointegration Granger causality test Time varying parameter model |
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