中国物价波动的混沌特性研究——以1996-2016年数据为例

Study on Chaotic Characteristics of Price Fluctuation in China——Data from 1996-2016

物价稳定是国家宏观调控的重要目标之一。本文基于系统科学金融理论,选取1996-2016年CPI(居民消费价格指数)、PPI(工业生产者出厂价格指数)和RPI(商品零售价格指数)三个主要的物价波动相关指数,其波动不仅与宏观经济增长密切相关,也与百姓生活息息相关,因此物价稳定是国家宏观调控的重要目标之一。本文采用正态性检验、关联维检验和最大Lyapunov检验等方法,对我国的物价波动进行混沌性检验。结果表明:CPI、PPI和RPI的波动均不服从正态分布;三者的波动均具有混沌性,且PPI序列的混沌性最强,即原材料商品市场具有更加复杂的演化规律;影响物价运行的决定性因素约有1-2个;CPI、PPI和RPI的可预测时长分别约为27.62、2.27、10.78个月。

Price is the ＂barometer＂ of the operation and development of the national economy. Its fluctuation is not only closely related to macroeconomic growth, but also closely related to people＇s daily life. Therefore, price stability is one of the important goals of national macro-control. Based on System Science Finance Theory, this paper chooses data of CPI（consumer price index）, PPI（producer price index） and RPI（retail price index）from 1996 to 2016 in China, which are the three major price fluctuation related indicators,and uses normality test, correlation dimension test and maximum Lyapunov exponent test, to examine the chaotic characteristics of price fluctuation in China. The results show that（i） the fluctuations of CPI, PPI and RPI are not normally distributed;（ii） all of them have chaotic characteristics and chaos of PPI is strongest, which reflects the raw commodity markets have a more complex evolutionary law;（iii） there are about one or two factors determining price fluctuation;（iv） the predictable time of CPI, PPI and RPI is approximately 27.62, 2.27, 10.78 months respectively.