湖北省CPI和PPI关系的实证分析

Empirical Analysis of Relationship between CPI and PPI in Hubei Province

对湖北省2001年1月至2010年11月的CPI和PPI进行了协整检验和格兰杰因果关系检验,结果显示,在所检验的时间区间,CPI与PPI存在长期均衡关系,CPI和PPI之间在滞后1～3个月的基础上互为格兰杰因果关系,而直到滞后13个月,CPI一直是PPI的格兰杰原因,说明短期存在PPI和CPI的相互价格传递,长期存在着CPI向PPI的价格传递;建立了PPI关于CPI滞后项的二次回归模型,指出t期PPI是(t-1)期CPI的一元二次函数;通过对2010年12月PPI的真实值和根据函数拟合得到的预测值进行对比分析,验证了模型的可靠性.

This paper makes granger causlty test on CPI and PPI of HuBei province from Jan,2001 to Nov,2010 and cointergration test.The result suggests that in the testing period there is a long-term balance relationship between CPI and PPI,and they have granger relationship for each other in 1~3 months lag,until 13 months,CPI is always the granger cause of PPI,which implys there is a short-term price transmission between PPI and CPI,and a long-term transmission from CPI to PPI.This paper builds a second-order regressive model of PPI about CPI LAG and points out that PPIt is a quadratic function of CPIt-1.The reliability of the model is verified through comparing the reality value of PPI of Dec,2010 to the forecasting value according to fitting function.