基于VAR模型的居民消费价格指数传导机制研究

Research on CPI Transmission Mechanism Based on VAR Model

2007年初以来,我国经历了新一轮居民消费价格指数(CPI)的大幅上涨,环比指数在2008年2月达到了近十年的最高点108.7%,CPI走势及其传导机制已成为各界对经济关注的焦点。本文选取了5个与CPI相关的指标,运用VAR模型,分析其对CPI的传导机制,得出CPI对自身反应较为敏感,原材料、燃料和动力购进价格指数及PPI对CPI的传导效应不明显,固定资产投资价格指数、货币供应增长率对CPI的冲击较大,外汇储备增长率对CPI的直接影响较小但间接作用不可忽视。对此,应严格控制固定资产投资的非理性因素,继续实行稳健的货币政策,同时改革价格体制、理顺价格关系也势在必行。

China has experienced a new round of substantial rise in CPI since the early 2007. Its loop-ratio has reached its highest point at 108.7% for nearly 10 years. The CPI trend and its transmission mechanism have become the focus for all people who pay concern to economy. This article selects 5 indicators related to CPI and adopts VAR model to analyze the transmission mechanism to CPI. It concludes that CPI is more sensitive to its own reaction while raw materials, fuel and power purchasing price index and PPI are not obvious in CPI transmission effect. The price index for fixed-asset investment and the growth rate of currency supply have big impacts on CPL The growth rate of foreign exchange reserve has a subtle direct impact on CPI, but its indirect impact cannot be ignored. Thus, the government should strictly control the irrational factors in fixed assets investment and continue to implement the moderate monetary policy. Meanwhile, it is also imperative to reform the price system and smooth out the price relation.