PPI和CPI之间的传导关系:从加总价格指数到分类价格指数

Transmission Relationship between PPI and CPI:From Aggregate Price Indices to Classified Price Indices

本文通过对PPI和CPI两个加总价格指数之间、PPI的两个分类指数——生产资料价格和生活资料价格与CPI的两个分类指数——食品价格和非食品价格之间两个层次传导关系的分析,深入研究了PPI和CPI之间的传导关系并解释了2011年之后PPI和CPI发生持续背离的原因。本文的研究发现,(1)不管是PPI和CPI的走势还是结构断点检验都表明,2001年1月至2017年6月期间PPI和CPI之间的动态关系存在两个结构断点——2011年10月和2016年3月;(2)2001年1月至2011年9月期间PPI和CPI存在正向的长期均衡关系,而且存在长期和短期的正向相互影响,这是符合理论预期的;(3)2011年10月至2016年2月期间PPI和CPI之间的持续背离是由PPI中生产资料价格与CPI之间的持续背离导致的,大宗商品价格的持续下跌带动了PPI中生产资料价格的持续下跌,从而造成了PPI和CPI之间的持续背离。

Through the analysis of the transmission relationship of aggregate price indices and classified price indices between PPI and CPI, this paper studies the transmission relationship between PPI and CPI and explains the long-term divergence between PPI and CPI after 2011. Our research shows that, （1）Both the data and Chow test of structural break-point suggest that from January 2001 to June 2017, there are two break-points between the dynamic relationship of PPI and CPI： October 2011 and March 2016. （2）There are positive relationship in long-term equilibrium,also long and short-term positive interactions between PPI and CPI from January 2001 to September 2011, which is consistent with theoretical expectation. （3）The long-term divergence between PPI and CPI from October 2011 to February 2016 is caused by the long-term divergence between production material price in PPI and CPI. The sustained fall of commodity price leads to the sustained fall of production material price in PPI and then the long- term divergence between PPI and CPI.