生产者价格指数与物流业景气指数关系研究

Research on the Link between PPI and LPI in china

本文利用2013年3月-2017年10月生产者价格指数与物流业景气指数的月度数据,进行协整检验、Granger因果检验、VEC模型、脉冲分析与方差分解,以期探求生产者价格指数与物流业景气指数间的关系。结果显示：（1）PPI与LPI之间均存在长期均衡关系;且LPI是PPI的Granger原因;长期均衡误差修正项对LPI有反向修正幅度比对PPI的正向修正幅度更显著;（2）脉冲分析和方差分解表明LPI主要受自身变化的影响,PPI的变动随着时间的推移逐渐增加,但是影响程度有限。

This paper uses the monthly data of the PPI and the LPI from March 2013 to October 2017 to conduct cointegration test, Granger test, VEC model, impulse response function and variance decomposition, in order to research on the link between PPI and LPI in china. The results show that：（1） There is a long-term equilibrium relationship between PPI and LPI; and LPI is the Granger cause of PPI; ECM has a reverse correction range for LPI more significant than the positive correction of PPI;（2）Impulse response function and variance decomposition show that LPI is mainly affected by its own changes, and the change of PPI gradually increases, but the degree of influence is limited.