我国PPI波动的长期驱动力与短期驱动力——基于Gonzalo-Granger分解的分析  

Analysis of Permanent and Transitory Driving Force in China's PPI——Based on Gonzalo-Granger Decomposition

作　　者：谭本艳[1] 

机构地区：[1]湖北大学商学院,武汉430062

出　　处：《软科学》2009年第8期16-19,25,共5页Soft Science

基　　金：湖北省教育厅青年项目(100-094406)

摘　　要：根据我国PPI的7项分类指数的月度数据,运用Gonzalo和Granger(1995)以及Darrat和Zhong(2002)提出的检验协整系统中的长期驱动力和短期驱动力的方法,从PPI分类指数的视角分析了我国工业品出厂价格指数波动的长期驱动力和短期驱动力。研究结果显示,全部3项生产资料的分类指数(采掘工业、原料工业、加工工业)以及一般日用品类和耐用消费品类分类指数是我国PPI波动的长期驱动力,生活资料中的食品类、衣着类和耐用消费品类分类指数是短期驱动力。This paper tests the permanent and transitory driving force in the fluctuation of China＇ s PPI according to the PPI by category, taking use of the data of China＇ s monthly PPI by category and the technique proposed by Gonzalo and Granger（ 1995 ） and Darrat and Zhong（2002） for testing permanent driving force and transitory driving force in cointergration system. Results show that the fluctuation of China＇ s PPI is obviously structural; besides, total three PPI by Category of means of production （ mining ＆ quarrying industry, raw materials industry and processing industry ） and articles for daily use ＆ durable consumer goods axe permanent driving force of the fluctuation of China＇ s PPI ; food, clothing, durable consumer goods of consumer goods are transitory driving force.

关 键 词：PPI分类指数 核心PPI Gonzalo-Granger分解 长短期驱动力 

分 类 号：F222[经济管理—国民经济] C813[社会学—统计学]