需求拉动,还是投资推动——基于新一轮通胀周期的实证研究

Which One Lead the Inflation,Aggregate Demand or Aggregate Supply——An Empirical Research about the Mechanism of Price Conduction in China

对通货膨胀及其成因的研究一直是宏观经济学与政府政策的一项重要内容。本文通过建立向量误差修正模型(VECM),对我国1997～2009年新一周期的通货膨胀进行实证研究。结果发现,月度消费价格指数(CPI)和工业品出厂价格指数(PPI)之间存在长期均衡关系,其格兰杰因果关系走向是CPI影响PPI,即价格传导走向是自下而上,而不是相反。这也就是说,总需求的扩张仍是此阶段通货膨胀的根源,所谓"结构性通胀"、"输入型通胀"等非典型通胀的解释得不到实证支持。研究还发现,在解释现阶段通胀中,供给价格弹性和巨型经济体是需要注意的两个因素。

It is very important to judge the level of inflation and learn the cause of price fluctuation for making macroeconomics policy,especially for China which is in a transformation process. This paper constructs a Vector Error Correction Model to analyze the Chinese monthly data of PPI and CPI from 1997 to 2009. We find some strong evidences to ascertain a long-term equilibrium relation between PPI and CPI. The direction of Granger causality relation is the CPI cause the CPI. This means CPI is a better index to indentify inflation than PPI. And the direction of price conduction is from consumer＇ s to producer＇ s, not from producer＇ s to consumer＇ s. So,it tell us that the cause of the inflation is aggregate demand,and similar to the mechanism in 90s＇ and other countries. Thus the so-called strutural inflation and imported inflation are not true. There are two factors, the price inelasticy of supply and the Giant economy, may be useful to explain the fail of these theories.