CPI与PPI传导机制的非线性研究:正向传导还是反向倒逼?

A Nonlinear Research on the Transmission Mechanism between CPI and PPI:Positive Price Transmission or Reversed Price Transmission?

本文首次采用最新发展的非线性Granger因果检验等技术方法,从非线性的研究视角对中国等多个国家的CPI与PPI之间的非线性传导机制与作用关系展开深入研究,并从动态分析的角度深入考察非线性传导机制在不同时期的演变轨迹。本文研究发现,在中国等国家总体上存在着由PPI到CPI的非线性传导机制,因此,上游生产要素价格的上升将向下游消费价格正向传递,使得中国面临着"成本推动型通胀"的压力。与此同时,本文的非线性动态分析则进一步显示,下游价格对上游价格的反向倒逼机制同样日益凸现,从而加剧了物价宏观调控的难度与未来通胀风险的不确定性。此外,本文也发现,CPI与PPI之间的传导机制并非一成不变,依据通胀驱动机制的动态演变进行宏观调控显得更为重要。最后,本文进一步指出,传统研究可能因忽略价格传导的非线性机制而导致结论出现较大偏差。

Using the recently developed technique of a nonlinear Granger causality test by Diks ＆ Panchenko （2006） , this paper investigates the nonlinear transmission mechanism between the producer and the consumer prices in China and other countries, and then explores the evolutional trace of nonlinear transmission mechanism based on nonlinear dynamic analysis. Our results indicate that for the countries such as China there is a nonlinear causal relation from PPI to CPI, implying price increases at the early stages of production will lead to increase in consumer prices at the late stage and boost cost-push inflationary pressure. Our evidence based on nonlinear dynamic analysis indicates that reversed price transmission from the prices in the late stage to the prices in the early stage is more and more obvious, and this will increase difficulty of macro-control and uncertainty in the economy＇s growth in China. This study also points out that since the transmission mechanism between CPI and PPI is not static, it is more important to adopt macro-control policies based on the dynamic transmission mechanism. At last, we further point out that conclusions from traditional studies may be biased since they do not take account of the nonlinear characters of price transmission mechanism.