CPI、PPI与MPI之间传导机制的实证研究——基于VAR模型的经济计量分析

The Empirical Research on CPI,PPI and MPI Transmission Mechanism——VAR Model Based on Econometric Analysis

本文选取原材料、燃料和动力购进指数(MPI)、工业品出厂价格指数(PPI)及消费价格指数(CPI)分别作为上游、中游和下游产品价格指数,对中国价格波动的现状进行分析,运用VAR经济计量模型的脉冲反应函数,研究了CPI、PPI及MPI三者之间的长期和短期动态关系。结论表明:三类价格指数之间的传导效应存在,且具有时滞性;三类指数对自身反应较为敏感;MPI对CPI的传导效应不明显。

Select the raw materials,fuel and power purchase index(MPI),producer price index(PPI) and consumer price index(CPI)respectively as the upstream,midstream and downstream product price index to analyze the present price fluctuations in China.Using VAR econometric model of the impulse response function,we aim to find out the internal relationship among them for long-term and short-term.The findings showed that: the conduction effect exists among MPI,PPI and CPI,while there is a time lag;three indices are more sensitive to their own response;conduction effect between MPI and CPI is not obvious.