| 我国CPI与PPI非线性调整的实证解释 |
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| 引用本文： | 苏梽芳,蔡经汉. 我国CPI与PPI非线性调整的实证解释[J]. 中南财经政法大学学报, 2010, 0(2) |
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| 作者姓名： | 苏梽芳 蔡经汉 |
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| 作者单位： | 华侨大学,数量经济研究院,福建,泉州,362021 |
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| 基金项目： | 国家社会科学基金资助项目"中国通货膨胀不确定性与通货膨胀水平关系研究"，华侨大学科研启动基金资助项目"中国通货膨胀持续性与通货膨胀不确定性特征、关系及其货币政策含义" |
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| 摘 要： | 本文基于两区制门槛误差修正模型对我国CPI与PPI倒挂现象进行实证解释.研究结论表明,CPI与PPI之间存在非线性协整关系,只有当偏离达到一定程度时,系统才会开始向长期均衡状态调整.在调整过程中,CPI与PPI对误差修正的调整速度并不相同,PPI的调整速度要高于CPI的调整速度,而且调整主要是通过倒挂期PPI的变化来完成.两个区制的差别还反映在Granger因果关系上;在区制一时仅存在从CPI到PPI的单向Granger因果关系;而在区制二时存在CPI和PPI的双向Granger因果关系.
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| 关 键 词： | 消费者价格指数 生产者价格指数 门槛协整 |
Empirical Explanation of the Nonlinear Adjustment of China's CPI and PPI |
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| SU Zhifang,GAI Jinghan. Empirical Explanation of the Nonlinear Adjustment of China's CPI and PPI[J]. Journal of Zhongnan University of Finance and Economics, 2010, 0(2) |
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| Authors: | SU Zhifang GAI Jinghan |
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| Affiliation: | SU Zhifang CAI Jinghan(Institute of Quantitative Economics,Huaqiao University,Quanzhou 362021,China) |
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| Abstract: | Based on a two-regime threshold error-correction model,this paper provides an empirical explanation of the phenomenon of hanging upside-down between China's Consumer Price Index and Producer Price Index.The results show that there exists a threshold cointegration relationship between CPI and PPI.Moreover,the adjustment to the long-term equilibrium is nonlinear.The system of CPI and PPI will adjust to the equilibrium only if the short-run deviation from the equilibrium increase to a certain degree,and the sp... |
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| Keywords: | CPI PPI Threshold Cointegration |
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