商品价格指数是消费价格指数的前导变量吗?——基于二阶单整向量自回归模型的实证研究被引量：23

Are Commodity Prices the Forward Indicators of the Consumer Price in China?——An I(2) CVAR Analysis

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摘要本文首先阐述二阶单整协整向量自回归模型(I(2)CVAR)的理论和方法,然后构造一个包括消费价格指数以及其他三个商品价格指数的I(2)CVAR模型,用来实证检验中国总体价格指数和主要商品价格指数的长期和中期的均衡关系。此外还建立了一个I(1)CVAR模型作为补充,用来分析价格指数变动之间的协整关系以及调整系数。实证研究的结果表明,从长期看,消费价格指数的走势决定商品价格指数走势;从短期看,原材料价格指数的上涨会引起消费价格指数的上涨,因此,从短期看,原材料价格指数的通货膨胀可以作为总体价格指数通货膨胀的前导变量。 This paper empirically investigates the long-run and medium run relations between China＇s aggregate price index and the three major commodity price indices based on an I（2） cointegrated vector autoregressive model （I（2） CVAR） . The long run cointegrating relations between the variables and the short-run adjust- ment coefficients are examined. It is found that in the long-run, the CPI is the driving force behind the movements of the price system in China. As a supplement, an I（1） CVAR model is set up to analyse the relations between the CPI inflation and inflations of other commodity prices. The outcome shows that, in the shortrun, the inflation of PPI may be regarded as a forward indicator of the CPI inflation.

作者张延群吕小玲（校对）

机构地区中国社会科学院数量经济与技术经济研究所不详

出处《数量经济技术经济研究》 CSSCI 北大核心 2007年第12期140-149,共10页 Journal of Quantitative & Technological Economics

关键词二阶单整向量自回归模型协整关系价格指数 I（2） CVAR Cointegration Price Index

分类号 F064.1 [经济管理—政治经济学]

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