通货膨胀监控先行指标体系动态分析

中央银行要增强金融调控的前瞻性和科学性,对可能出现的通货膨胀提前作出正确判断,必须构建通货膨胀监控的先行指标体系。本文利用时间序列数据对CPI的先行指标体系进行了探讨,先进行协整处理,运用X—12季节调整乘法模型进行季节调整,然后进行格兰杰(Granger)因果关系检验,再基于向量自回归VAR模型的脉冲响应、误差方差分解及其结果分析确定各选定的先行指标的先行期数,并对运用先行指标作出了几点分析。

The center bank should frame the inflation monitoring of th e leading i ndex system in order to improve the forecast and scientific ability of macro-fin ancial control. The paper explores the leading index system for CPI with the hel p of time series data,made use of methods of Johansen Cointegration Test,Seaso nal Adjustment with Census X-12 model,Granger Causality,the impulse response b ased on Vector Auto regression model,error Dev. and result analyzing. Finally some analysis about leading index are discussed.