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采用总体经验模式分解和计量分析的方法,对国内PPI和CPI的波动特征和传导关系进行深入研究,结果显示二者均由高频分量、低频分量和趋势项构成。高频分量体现的是国内物价中随机波动的信息;低频分量传递的是一定时期内的物价变动信息;趋势项反映的是物价中不轻易变动的信息。对上述结构分量的格兰杰因果检验表明,PPI和CPI之间的传导关系主要受低频分量和趋势项影响:低频分量中只存在PPI到CPI的单向因果关系,而趋势项中存在不对称的传导方式,即在1%的水平上CPI到PPI存在单向因果关系,在5%的水平上二者互为因果关系。
Empirical mode decomposition and econometric methods are used to study the fluctuation characteristics and conduction of domestic PPIs and CPIs. The results show that both of them are composed of high frequency components, low frequency components and trend items. High-frequency components reflect the fluctuations in the domestic price of information; low-frequency components of the price changes over a period of transmission of information; trend items reflect the price is not easily change information. The Granger causality test shows that the conduction relationship between PPI and CPI is mainly affected by low frequency components and trend items: there is only one-way causal relationship between PPI and CPI in low frequency components, but asymmetry in trend items Of the conduction, that is 1% level of CPI to PPI there is a one-way causal relationship between the two at a 5% level causal relationship.