| 基于二阶矩视角的通胀指数间双向传导实证分析 |
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| 引用本文： | 崔惠民,李文庆.基于二阶矩视角的通胀指数间双向传导实证分析[J].财贸研究,2011,22(6):10-15. |
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| 作者姓名： | 崔惠民 李文庆 |
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| 作者单位： | 1. 中国人民大学经济学院,北京100872;安徽财经大学财政与公共管理学院,安徽蚌埠233030
2. 国家发改委重大项目稽查办,北京,100824 |
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| 基金项目： | 教育部社科规划基金项目“垄断行业政府规制与竞争平衡研究”(批准号:10YJA790031)的资助成果 |
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| 摘 要： | 近期的通胀看不到任何缓解迹象,各通胀指数间的关系备受关注,现有PPI和CPI间价格传导关系文献均局限于均值意义上的格兰杰因果性讨论,研究结论的解释力有限,因此借鉴Hafner等提出二阶矩意义的格兰杰因果检验方法,构建Wald形式的统计量,重新对CPI和PPI不确定性传导关系进行检验非常必要。检验结果显示,PPI和CPI是相互传导的,并且CPI到PPI方向的不确定性传导是主体路径,这预示着基于需求考虑的政府治理政策或许才是当前经济持续通胀的根本解决之道。
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| 关 键 词： | 通货膨胀 PPI CPI 价格传导关系 二阶矩 |
Empirical Analysis of Two-way Transmission between Inflation Index Based on Second-order Moment Perspective |
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| CUI Hui-min,LI Wen-qing.Empirical Analysis of Two-way Transmission between Inflation Index Based on Second-order Moment Perspective[J].Finance and Trade Research,2011,22(6):10-15. |
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| Authors: | CUI Hui-min LI Wen-qing |
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| Institution: | 1.School of Economics,Renmin University of China,Beijing 100872;2.School of Finance and Public Administration,Anhui University of Finance and Economics,Bengbu 233030;3.Audit Office of Major Projects,National Development and Reform Commission,Beijing 100824) |
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| Abstract: | Recent inflation hasn’t shown any signs of easing,and relationship between inflation indexes is under the spotlight.Studies on relationship of existing price transmission between PPI and CPI are limited to the mean sense of Granger causality discussion,which has limited explanatory power.Hafner’s secondorder moment sense of Granger causality test is drawn on to construct the form of Wald statistic to retest uncertain transmission relations of CPI and PPI.The result reveals that PPI and CPI are mutually conductive,and the main uncertainty conduction path is the direction of CPI to PPI,which indicates that governmental policies based on demand-side considerations for the current sustained inflation may be the fundamental solution. |
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| Keywords: | inflation PPI CPI price conduction relationship second-order moment |
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