我国工业品期货价格指数与PPI关系的实证研究

The Empirical Study of the Relationship between Industrial Futures Price Index and PPI in China

通过应用协整检验和Granger因果关系检验的计量方法,对我国工业品期货价格指数与工业生产者出厂价格指数(PPI)的关系进行实证研究,研究表明我国工业品期货价格指数与PPI存在长期稳定的比例关系,并且我国工业品期货价格指数的变动引导PPI的变化。随后通过对我国工业品期货价格指数与PPI的交叉相关系数检验,进一步验证了工业品期货价格指数领先PPI变动,并且领先2个月,因此得出结论我国工业品期货价格指数可以对PPI变动进行预警,在一定程度上,可以作为我国宏观政策制定与调整的重要的先行指标。

This article applies two methods of measurement including co-integration test and Grangercausality test to analyze the correlation and causal relation between the industrial futures index and producerprice index in China. According to empirical results, there is a steady correlation between the industrialfutures index and producer price index would cause a fluctuation on producer price index. Inthe following article, this empirical consequence is also proved by the cross correlation coefficient test.Specifically, the industrial futures have a 2-monthes leading period. Therefore, industrial futures indexwould be considered as a key warning signal to the fluctuation of producer price index in China. To acertain extent, the industrial futures index could be used as a leading indicator on macro policy. Thatmeans we can take the industrial futures index as a leading indicator to develop and adjust the macropolicy.