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本文选取我国1993年1月至2010年9月的CPI和PPI月度数据,建立VAR模型,通过格兰杰因果检验发现CPI和PPI互为格兰杰原因。通过脉冲响应含函数进行分析,发现CPI对自身的增长起着推动作用,CPI对PPI的增长有着正向的作用,但影响有2个月的滞后期;PPI的变动对CPI有着正影响,并且有2个月的滞后期。方差分解的结果说明CPI的变动90%是由本身引起的,10%是由PPI引起的;PPI变动40%是由CPI引起的60%是由自身引起的。
This paper selects the monthly data of CPI and PPI from January 1993 to September 2010 in our country and establishes VAR model. According to the Granger causality test, we find that the CPI and PPI are Granger causes. Through the impulse response function analysis, it is found that CPI plays a positive role in promoting its own growth. CPI has a positive effect on the growth of PPI but has a lag of 2 months. The change of PPI has a positive impact on CPI, and There is a two-month lag period. The result of variance decomposition shows that 90% of the changes of CPI are caused by itself and 10% are caused by PPI. The change of PPI by 40% is caused by 60% of CPI itself.