基于函数型数据的利率与物价关系研究  

Research on the Relationship between Interest Rate and Price Based on Functional Data

作　　者：王华强[1] 刘黎明[1] WANG Hua-qiangg;LIU Li-ming(School of Statistics,Capital University of Economics and Business,Beijing 100070,China)

机构地区：[1]首都经济贸易大学统计学院,北京100070

出　　处：《数理统计与管理》2024年第3期452-464,共13页Journal of Applied Statistics and Management

摘　　要：物价稳定是多数中央银行的最终目标,准确把握物价与利率的变动关系,对中央银行制定和实施货币政策具有重要意义。本文利用2011-2019年各地区利率和消费者物价指数(Consumer Price Index,CPI)、生产者物价指数(Producer Price Index,PPI)的月度数据,引入函数型数据分析方法展示了三个指标的连续性波动特征,研究了利率与CPI、利率与PPI的相关关系及二者典型相关性的对比分析。研究发现,(1)各地区的利率、物价的波动均表现出明显的周期特征,但各省域间差异较大;(2)与CPI相比,PPI指标与利率波动的联动性更强;(3)利率波动与PPI波动呈现顺周期特点,与CPI波动呈现逆周期性特点。分析表明,中央银行应当加强利率和物价的周期研判,增强利率调控政策的前瞻性;应利用当前利率与PPI波动规律强的特点实施调控,提高货币政策效果。Price stability is the ultimate goal of most central banks.An accurate grasp of the relationship between prices and interest rates is of great significance for the central bank to formulate and implement monetary policy.Based on the monthly data of interest rates,Consumer Price Index(CPI)and Producer Price Index(PPI)in each province of China from 2011-2019,this paper introduces a functional data analysis method,which analyzes the continuous fuctuation characteristics of the three index functions,and study the correlation between interest rates and CPI,interest rates and PPI,as well as the comparative analysis of their canonical correlation.The results show that(1)The fuctuation of interest rate and price in each region showed obvious cyclical characteristics,but there were great differences among provinces and regions.(2)Compared with CPI,PPI is more correlated with interest rate fuctuations.(3)The fuctuation of interest rate and PPI showed pro-cyclical characteristics,while the fluctuation of interest rate and CPI showed counter-cyclical characteristics.The analysis shows that the central bank should strengthen the study of interest rate and price cycle,and enhance the forward-looking interest rate control policy;and should take advantage of the strong fluctuation law of current interest rate and PPI to improve the effect of monetary policy.

关 键 词：利率 消费者物价指数 生产者物价指数 函数型数据分析 

分 类 号：F822[经济管理—财政学] O212[理学—概率论与数理统计]