对我国CPI与PPI关系研究——基于季节调整后的数据分析

The CPI and the PPI Relation Research About our Country——Based on the Seasonally Adjusted Data Analysis

选取1997年1月～2011年12月间我国月度CPI和PPI数据进行了定基处理和季节调整,然后在其基础上建立了VAR模型。该模型分析的结果表明CPI和PPI之间存在协整关系。格兰杰因果检验分析结果表明,在5%的显著性水平下,CPI与PPI互为格兰杰因果。方差分解的结果表明,CPI和PPI自己对自己的变化的贡献率比较大。

This article based China＇ s monthly CPI and PPI data from January 1997 to December 2011 which was processed and seasonal adjusted, then adjusts the data to establish VAR model. The analysis of the model results show that the CPI and the PPI is cointegration relationship. Granger causality analysis results show that, at the 5% significance level, CPI and PPI are Grainger causality. Variance decomposition results show that, CPI and PPI to own change contribution rate is relatively large.