CPI与PPI的“虚假传导”及其修正——一个相对稳健的实证框架

CPI and PPI's "Spurious Transmission" and the Revision

通过对国外相关文献的梳理,我们发现国内已有对CPI和PPI之间传导机制的经验文献,普遍存在着实证方法误选或因遗漏变量导致"虚假传导"的问题。本文借鉴Guglielmo等(2002)的分析思路,引入货币政策分析框架来研究价格传导机制,以滞后期增广的VAR为基础,采用杠杆拔靴(Bootstrap)的Granger因果检验,得到一个相对稳健而全面的结论:CPI是PPI的Granger原因,反之则不成立。进一步推断得出,当前通货膨胀应为需求主导型,而"系统性"宽松的货币条件是促成需求旺盛的重要原因。所以,治理通胀应从流动性入手,并引导货币供给流入到生产领域。

Based on related foreign researches, we find that domestic empirical literatures on the CPI and PPI transmission mechanism generally exists two prob- lems： empirical methods mischosen and ＂spurious transmission＂ out of omitted variable. This article, following Guglielmo et al. （2002） analysis of ideas, intro- duces the analysis framework of monetary policy to study the price transmission mechanism, and sets the lag augmented VAR as a foundation based on leveraged bootstrap by using the Granger causality test, and draw a relatively robust and comprehensive conclusion. CPI is the Granger Causality of PPI, on the contrary, however, it is not established. To further infer, the current inflation should be demand- led, and ＂systematic＂ loose monetary conditions are important reasons to promote flourishing demand. Therefore, inflation control should start with excess liquidity, and then guide the money supply into the production area.