中国出口集装箱运价指数与制造业PMI的相关性研究

Correlation between CCFI and Chinese Manufacturing PMI Based on VAR Model

中国出口集装箱运价指数(CCFI)是我国出口集装箱班轮市场的"晴雨表",制造业采购经理人指数(PMI)是我国制造业经济的"晴雨表"。为了研究我国出口集装箱班轮市场与制造业的关系,选取2005年1月至2019年6月的CCFI和制造业PMI的月度数据,先进行协整检验,然后通过建立VAR模型进行Granger因果检验、脉冲响应分析和方差分解。结果表明:CCFI与制造业PMI存在长期协整关系;PMI能Granger引起CCFI,但CCFI不能Granger引起PMI;PMI对CCFI存在持久的影响,但该影响存在一个约0.5个月的滞后期。

China Containerized Freight Index(CCFI)is a"barometer"for China export container liner market.The Manufacturing Purchasing Managers’Index(PMI)is the"barometer"of China’s manufacturing economy.In order to study the correlation between export container liner market in China and the manufacturing industry,firstly select monthly data of CCFI and manufacturing PMI from January 2005 to December 2018,then use cointegration test and establish VAR model,finally carry out Granger causality test,impulse response analysis and variance decomposition.The conclusions are as follow:There is a long-term cointegration relationship between CCFI and PMI.PMI can cause CCFI by Granger,but CCFI can not cause PMI by Granger.PMI has a lasting impact on CCFI,but there is a lag period of about 0.5 months.