基于不确定性视角的PPI与CPI传导关系真相研究

通货膨胀背景下,有关PPI和CPI之间的价格传导关系成为备受关注的热点问题,但现有文献均局限于PPI和CPI均值意义上的格兰杰因果性讨论。事实上,无论从宏观理论出发还是从计量理论出发,PPI和CPI衡量的通胀率的不确定性(inflation uncertainty)及不确定性间的相关性更应引起学术界以及货币当局的关注。鉴于此,我们借鉴Hafner and Herwartz(2004)提出的二阶矩意义的格兰杰因果检验方法,构建Wald形式的统计量对CPI和PPI不确定性因果关系进行检验,发现从通胀不确定性视角来看,PPI和CPI是相互传导的,从传导模式来看,无论以PPIMG还是以CGP"I充当"PPI,均只能在短期影响CPI,而CPI对它们的影响在长短期都是一贯的。由此推断,CPI到PPI方向构成了二者不确定性传导的"系统性"路径,通胀治理须从需求方考虑。

A study on the transmission relationship between PPI and CPI on the perspective of uncertainty

Against the background of inflation,the relationship of price transmission between PPI and CPI becomes the hot issue,but the existing literature is limited to the discussion of Granger causality on the sense of mean value of PPI and CPI.In fact,from the macro theory and the theory of measurement,inflation uncertainty of the measurement of PPI and CPI and the relation among uncertainties have caused the attention of the academic circle and monetary authorities.In view of this,we refer to Granger causality test method in the sense of second-order moment which was proposed by Hafner and Herwartz,and construct Wald statistics to test the uncertainty causality of CPI and PPI.We find that from the perspective of inflation uncertainty,they transmit mutually.But in view of transmission pattern,whether we take PPIMG or CGPI as PPI,they just influence CPI in the short term,while CIP has consistent influence on them in the long and short term.Thus,the direction from CPI to PPI forms the "system" path of uncertainty transmission.We’d better consider the demand side for inflation governance.