PPI和CPI的非线性传导:产业链与价格预期机制

Nonlinear Transmission between CPI and PPI:Production Chain and Price Expectation Mechanisms

本文在PPI和CPI产业链传导机制的基础上进一步提出价格预期传导机制。产业链是物价传导的经济基础,价格预期是物价传导的实现基础。本文同时构建包含货币因素的非线性MG系统模型(MNMG模型)进行实证检验。研究发现:(1)PPI对CPI存在向下推动传导,平均时滞1至4个月,CPI对PPI存在反向反馈传导,平均时滞1至2个月;供给因素和需求因素在我国物价形成机制中均起显著作用,但需求因素更快地形成通胀(或通缩)的压力。(2)产业链和价格预期两种机制均发挥显著作用,两者一定程度上解释了物价传导的线性和非线性特征。产业链机制在CPI对PPI的反馈传导中作用更明显,而价格预期机制在PPI对CPI的推动传导中作用更明显。(3)我国PPI和CPI均存在显著的惯性持续效应,且通胀惯性作用强于物价之间的传导,一定程度上削弱物价之间的传导。(4)从政策上来看,生产领域和消费领域出现价格上涨或者紧缩时,尤其是面对当前严峻的PPI长期持续下降,预期管理是重要且必须采取的措施。

This paper investigates price transmission mechanisms between CPI and PPI. A nonlinear chaos model （MNMG） is proposed to examine linear and nonlinear transmissions between the two price indices. Empirical evidence shows that： （1） CPI responds to the changes of PPI at an average lag of 1 -4 months, and PPI responds to the changes of CPI at an average lag of 1 -2 months; （2） both the production chain mechanism and the price expectation mechanism work significantly underlying the transmission between PPI and CPI; （3） the production chain mechanism plays a more important role underlying the transmission from CPI to PPI, and the price expectation mechanism plays a more important role underlying the transmission from PPI to CPI. The results suggest expectation management for the current deflation in the industry section of Chinese economy.