协整视角下CPI与PPI长期均衡与短期波动关系

数学理论与应用 ›› 2018, Vol. 38 ›› Issue (1-2): 104-110.

协整视角下CPI与PPI长期均衡与短期波动关系

石凯；谭雪丽

乐山师范学院数学与信息科学学院

出版日期:2018-06-30 发布日期:2020-09-18
基金资助:
四川省教育厅人文社科一般项目（18SB0223）

The Long and Short Relationship between CPI and PPI under Cointegration Theory

Online:2018-06-30 Published:2020-09-18

摘要/Abstract

摘要： 消费者物价指数CPI与生产者物价指数PPI是我国重要的两类反映物价水平的指数,为研究PPI对CPI的影响关系,本文根据2006年1月至2017年7月每月的数据进行了研究分析.首先运用季节调整排除季节因素对实验结果的影响,然后在协整检验的基础上建立了能同时反映长期均衡和短期波动的误差修正模型.实证结果显示,CPI与PPI之间存在着长期均衡的关系,同时,PPI的短期波动也会CPI产生显著性影响.

关键词: 消费者物价指数, 生产者物价指数, 协整, 误差修正模型

Abstract: The CPI and the PPI are important indexes of our country. In order to study the relationship between PPI and CPI, this paper analyzed the month data from January 2006to July 2017.First,this paper used seasonal adjustment to eliminate the influence of seasonal factors, then established the error correction model based on the cointegration test. The results show that there is a long-term equilibrium between CPI and PPI, and the short-term fluctuation of PPI would also have a significant effect on the CPI.

Key words: Consumer price index, Producer price index, Cointegration, Error correction model

石凯, 谭雪丽 . 协整视角下CPI与PPI长期均衡与短期波动关系[J]. 数学理论与应用, 2018, 38(1-2): 104-110.

Shi Kai , Tan Xuemei. The Long and Short Relationship between CPI and PPI under Cointegration Theory[J]. Mathematical Theory and Applications, 2018, 38(1-2): 104-110.