| 基于CPI“篮子商品”的价格传导机制研究——对非食品渠道和食品渠道的考察 |
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| 引用本文： | 过新伟,张孝岩.基于CPI“篮子商品”的价格传导机制研究——对非食品渠道和食品渠道的考察[J].财经研究,2012(2):27-38. |
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| 作者姓名： | 过新伟 张孝岩 |
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| 作者单位： | 南开大学经济学院 |
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| 摘 要： | 文章对CPI"篮子商品"中非食品类和食品类商品的价格传导机制进行考察,采用2005-2010年月度价格指数数据实证分析了两个产业链渠道的上中下游价格传导效应。研究结果显示,两个渠道内的价格指数之间都存在稳定的长期均衡关系,但短期内食品渠道内的价格传导比非食品渠道顺畅,而非食品渠道内存在显著的价格倒逼机制。当两个产业链上的价格各自受到外部冲击时,在食品渠道中能显著传递至下游的CPI,但在非食品渠道中传递至CPI的效应并不明显。
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| 关 键 词： | CPI 价格传导机制 向量误差修正模型 广义预测误差方差分解 |
On Price Transmission Mechanism Based on a Basket of Products Concerning CPI: An Investigation on Nonfood and Food Channels |
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| GUO Xin-wei,ZHANG Xiao-yan.On Price Transmission Mechanism Based on a Basket of Products Concerning CPI: An Investigation on Nonfood and Food Channels[J].The Study of Finance and Economics,2012(2):27-38. |
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| Authors: | GUO Xin-wei ZHANG Xiao-yan |
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| Institution: | (School of Economics,Nankai University,Tianjin 300071,China) |
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| Abstract: | This paper investigates the price transmission mechanisms of nonfood and food products in the basket of products concerning CPI and empirically analyzes the upstream,midstream and downstream price transmission effects of nonfood and food industrial chains by using the data of monthly price index from 2005 to 2010.Empirical results show that there exists stable long-run equilibrium relationship among price indexes in both two channels.But in the short term,the price transmission mechanism in food channel is smoother than the one in nonfood channel,while there is an obvious reversed price mechanism in nonfood channel.When the upstream prices suffer an unexpected shock in both industrial chains,the impact will be transmitted to the downstream prices significantly in food channel while the pass-through effect is not significant in nonfood channel. |
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| Keywords: | CPI price transmission mechanism vector error correction model generalized forecast error variance decomposition |
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