CPI和PPI周期协动效应——基于频带分析方法的实证检验  

The Cycle Co-fluctuation Effect of CPI and PPI

作　　者：董直庆[1,2] 蔡玉程[1] 谢加贞[2] 

机构地区：[1]吉林大学数量经济研究中心 [2]东北师范大学经济学院

出　　处：《数量经济技术经济研究》2009年第10期125-137,共13页Journal of Quantitative & Technological Economics

基　　金：教育部留学回国人员科研启动基金项目;吉林省社科基金项目(批准号:2009B014);吉林大学社会科学研究基本科研业务费项目(批准号:2008JC008);东北师范大学哲学社会科学青年科研团队项目(批准号:NENU-SKD2009)的资助

摘　　要：本文利用互谱和CF滤波方法,从时域和频域两个角度考察我国CPI和PPI周期波动及其影响因素。发现短周期CPI波动源于食品类消费品供给变化而不是流动性过剩,CPI是PPI的先行指标且先行期数为3个月。CPI波动先向PPI-生活资料传导再到PPI-生产资料,时滞分别为1.5个月和3.3个月,并与原材料、燃料和动力等生产成本共同推动PPI波动。中长周期CPI和PPI呈现同步波动特征,但中长周期PPI波动由投资驱动,而CPI变动却源于货币供应量而非消费需求。The paper uses the frequency band approach of Cross Spectrum and Christiano-Fitzgerald Filter, to study the relationship of CPI and PPI at the angel of the time and frequency field. It points out that there is no transmitting mecha- nism of PPI to CPI, and CPI is ahead of PPI, and in different frequency band CPI is 3 months ahead of PPI, and the growth of CPI is transmitted to PPI-consuming production then to PPI-producing production whose time is 1.5 months and 3. 3 months ahead, together with the production cost to cause PPI growth, and the short cycle cause of CPI is consuming product＇s supply not the liquid surplus, and that in the middle and long cycle CPI and PPI is fluctuating at the same time, and that PPI is caused by investment and CPI originates in currency supply not con- sumption demand.

关 键 词：CPI PPI 周期波动 频带方法 

分 类 号：F123.1[经济管理—世界经济]