区制转移因果视阈下CPI与PPI的内在驱动机制研究
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摘要
为了探究通货膨胀的形成机制,发掘CPI与PPI之间"倒挂"的原因,以期为稳定物价水平,促进经济发展行稳致远提供政策参考,本文基于中国2001年1月至2017年9月期间的CPI,食品CPI (FCPI),非食品CPI (NFCPI),PPI,生活资料PPI (CGPPI)以及生产资料PPI (MPPPI)的月度数据,运用非线性马尔可夫区制转移因果(MSC)模型,以区制转移因果视阈测度不同时间区制内,FCPI与PPI, NFCPI与PPI, CGPPI与CPI以及MPPPI与CPI之间的时变动态因果关系,甄别CPI与PPI的非线性内在驱动机制及其作用路径.研究发现:1) CPI与PPI之间存在双向驱动作用,即PPI对CPI的正向驱动作用和CPI对PPI的反向倒逼作用同时存在.此外,物价的驱动阻滞表现得尤为明显.2) CPI与PPI之间内在驱动机制的作用路径并不相同:CPI到PPI的驱动主要由"FCPI→PPI"和"CPI→MPPPI"两条路径组成;而PPI到CPI的驱动则主要由"PPI→NFCPI"和"CGPPI→CPI"两条路径构成.3) CPI与PPI之间的因果关系具有时变性特征,总体而言,CPI对PPI驱动的作用区制较长,价格驱动机制也较为稳定;而PPI对CPI驱动的作用区制较短,价格驱动机制呈现波动性特征.4)国际上的特殊事件会对中国CPI与PPI之间的驱动机制产生较大影响,例如,2008年金融危机的出现削弱了CPI与PPI之间的驱动作用.
In order to explore the formation mechanism of inflation, discover the cause of "upside down"between CPI and PPI, provide some scientific advice on stabilizing prices level, stimulating economic growth stably and rapidly, in this paper, considering causal perspective of regime switching of time-varying dynamic causality between FCPI and PPI, NFCPI and PPI, CGPPI and CPI, MPPPI and CPI, we use the Markov switching causality(MSC) model to analyse the nonlinear dynamic drive mechanism of CPI and PPI, and its action path, based on the monthly data of China's CPI, food CPI(FCPI), non-food CPI(NFCPI), PPI, consumer goods PPI(CGPPI) and means of production PPI(MPPPI) from January 2001 to September 2017. The empirical evidence indicates that: 1) The drive mechanism between CPI and PPI is bidirectional, in other words, the positive price drive from PPI to CPI and the reversed price drive from CPI to PPI both exist. Besides, lag in the drive mechanism is particularly evident. 2) There are different effecting paths of the drive mechanism between CPI and PPI: The effecting paths from CPI to PPI are consist of "FCPI→PPI" and "CPI→MPPPI",while the effecting paths from PPI to CPI are consist of "PPI→NFCPI" and "CGPPI→CPI". 3) The causality between CPI and PPI appears to be time-varying. Indeed, The regimes when CPI drives PPI last longer than the regimes when PPI drives CPI, which suggests that compared with the stable drive mechanism from CPI to PPI, drive mechanism from PPI to CPI shows the characteristics of fluctuation. 4) Some special international events can have a great influence on the drive mechanism between China's CPI and PPI. For example, the international financial crisis in 2008 weakened the drive function between China's price.
In order to explore the formation mechanism of inflation, discover the cause of "upside down"between CPI and PPI, provide some scientific advice on stabilizing prices level, stimulating economic growth stably and rapidly, in this paper, considering causal perspective of regime switching of time-varying dynamic causality between FCPI and PPI, NFCPI and PPI, CGPPI and CPI, MPPPI and CPI, we use the Markov switching causality(MSC) model to analyse the nonlinear dynamic drive mechanism of CPI and PPI, and its action path, based on the monthly data of China's CPI, food CPI(FCPI), non-food CPI(NFCPI), PPI, consumer goods PPI(CGPPI) and means of production PPI(MPPPI) from January 2001 to September 2017. The empirical evidence indicates that: 1) The drive mechanism between CPI and PPI is bidirectional, in other words, the positive price drive from PPI to CPI and the reversed price drive from CPI to PPI both exist. Besides, lag in the drive mechanism is particularly evident. 2) There are different effecting paths of the drive mechanism between CPI and PPI: The effecting paths from CPI to PPI are consist of "FCPI→PPI" and "CPI→MPPPI",while the effecting paths from PPI to CPI are consist of "PPI→NFCPI" and "CGPPI→CPI". 3) The causality between CPI and PPI appears to be time-varying. Indeed, The regimes when CPI drives PPI last longer than the regimes when PPI drives CPI, which suggests that compared with the stable drive mechanism from CPI to PPI, drive mechanism from PPI to CPI shows the characteristics of fluctuation. 4) Some special international events can have a great influence on the drive mechanism between China's CPI and PPI. For example, the international financial crisis in 2008 weakened the drive function between China's price.
引文
[1]Clark T E. Do producer prices lead consumer prices?[J]. Economic Review, 1995, 80(3):25-39.
[2]Weinhagen J. An empirical analysis of price transmission by stage of process[J]. Monthly Labor Review, 2002,125(11):5290-5294.
[3]Colclough W G, Lange M D. Empirical evidence of causality from consumer to wholesale prices[J]. Journal of Econometrics, 1982, 19(2):379-384.
[4]Caporale G M, Katsimi M, Pittis N. Causality links between consumer and producer prices:Some empirical evidence[J]. Southern Economic Journal, 2002, 68(3):703-711.
[5]Kyrtsou C, Labys W C. Evidence for chaotic dependence between US inflation and commodity prices[J]. Journal of Macroeconomics, 2006, 28(1):256-266.
[6]吕建兴,毛学峰,曾寅初.食品价格冲击对核心CPI的传递效应——基于3种核心CPI的比较研究[J].经济理论与经济管理,2017, 37(5):25-39.Lii J X, Mao X F, Zeng Y C. The pass-through effect of the food price shocks on core CPI—The comparative research of three kinds of core CPI[J]. Economic Theory and Business Management, 2017, 37(5):25-39.
[7]刘凤良,章潇萌,于泽.高投资,结构失衡与价格指数二元分化[J].金融研究,2017, 60(2):54-69.Liu F L, Zhang X M, Yu Z. High investment, structural imbalance, and the CPI&PPI deviation[J]. Journal of Financial Research, 2017, 60(2):54-69.
[8]Terasvirta F, Anderson H M. Characterizing nonlinearities in business cycles using smooth transition autoregressive models[J]. Journal of Applied Econometrics, 1992, 7(1):119-136.
[9]Blinder A, Canetti E R D, Lebow D E. Asking about prices:A new approach to understanding price stickiness[M].Russell Sage Foundation, 1998.
[10]Miller D J, Hayenga M L. Price cycles and asymmetric price transmission in the US pork market[J]. American Journal of Agricultural Economics, 2001, 83(3):551-562.
[11]贺力平,樊纲,胡嘉妮.消费者价格指数与生产者价格指数:谁带动谁?[J].经济研究,2008, 54(11):16-26.He L P, Fan G, Hu J N. CPI vs PPI:Which drives which?[J]. Economic Research Journal, 2008, 54(11):16-26.
[12]iilke V, Ergun U. The relationship between consumer price and producer price indices in Turkey[J]. International Journal of Academic Research in Economics and Management Sciences, 2014, 3(1):205-222.
[13]Aguirre M G, Chavez J C L N. Relacion de causalidad entre el indice de precios del productor y el indice de precios del consumidor incorporando cambios estructurales[J]. Contaduria Y Administracion, 2014, 59(2):179-196.
[14]Ray S. Modelling the nexus between consumer price index and wholesale price index in India[J]. United States of America Research Journal, 2014, 26(1):20-36.
[15]Ainollahi M, Ghahremanzadeh M. An application of the two regime threshold vector error correction model to analyze asymmetric price transmission of milk in Zanjan province of Iran[J]. International Journal of Agricultural Management and Development, 2015, 5(3):187-194.
[16]Vilcu R C. Inflation by producer price index-predictive factor for inflation by consumer price index? The case of Romania[J]. Romanian Statistical Review Supplement, 2015, 63(2):22-37.
[17]Gou G H. The study on the relationship between agricultural product price fluctuation and inflation[J]. Journal of Service Science and Management, 2017, 10(2):166-176.
[18]刘敏,张燕丽,杨延斌.PPI与CPI关系探析[J].统计研究,2005, 22(2):24-28.Liu M, Zhang Y L, Yang Y B. The relationship between PPI and CPI[J]. Statistical Research, 2005, 22(2):24-28.
[19]徐伟康.对《消费者价格指数与生产者价格指数:谁带动谁?》一文的质疑[J].经济研究,2010, 56(5):139-148.Xu W K. A query to the paper CPI vs PPI:Which drives which"[J]. Economic Research Journal, 2010, 56(5):139-148.
[20]张成思.长期均衡,价格倒逼与货币驱动——我国上中下游价格传导机制研究[J].经济研究,2010, 56(6):42-52.Zhang C S. Long-run equilibrium, reversed price transmission, and monetary driving—Price transmission mechanism of different stages in China[J]. Economic Research Journal, 2010, 56(6):42-52.
[21]崔惠民,李文庆.基于不确定性视角的PPI与CPI传导关系真相研究[J].经济学家,2012, 24(2):13-21.Cui H M, Li W Q. A study on the transmission relationship between PPI and CPI on the perspective of uncertainty[J]. Economist, 2012, 24(2):13-21.
[22]Tiwari A K. An empirical investigation of causality between producers'price and consumers'price indices in Australia infrequency domain[J]. Economic Modelling, 2012, 29(5):1571-1578.
[23]Tiwari A K, Suresh K G, Arouri M, et al. Causality between consumer price and producer price:Evidence from Mexico[J]. Economic Modelling, 2014, 36(1):432-440.
[24]Su C W, Khan K, Lobont O R, et al. Is there any relationship between producer price index and consumer price index in Slovakia?[J]. Ekonomicky casopis, 2016, 64(7):611-628.
[25]Gil-Alana L A, Mudidab R. CPI and inflation in Kenya. Structural breaks, non-linearities and dependence[J].International Economics, 2017,150(8):72-79.
[26]杨子晖,赵永亮,柳建华. CPI与PPI传导机制的非线性研究:正向传导还是反向倒逼?[J].经济研究,2013, 59(3):83-95.Yang Z H, Zhao Y L, Liu J H. A nonlinear research on the transmission mechanism between CPI and PPI:Positive price transmission or reversed price transmission[J]. Economic Research Journal, 2013, 59(3):83-95.
[27]杨灿,陈龙.中国CPI与PPI:因果关系和传导机制[J].厦门大学学报(哲学社会科学版),2013, 88(3):1-9.Yang C, Chen L. A study of causality test and transmission mechanism of China's CPI and PPI[J]. Journal of Xiamen University(Arts&Social Sciences), 2013, 88(3):1-9.
[28]孙坚强,崔小梅,蔡玉梅. PPI和CPI的非线性传导:产业链与价格预期机制[J].经济研究,2016, 62(10):54-68.Sun J Q, Cui X M, Cai Y M. Nonlinear transmission between CPI and PPI:Production chain and price expectation mechanisms[J]. Economic Research Journal, 2016, 62(10):54-68.
[29]刘凤良,鲁旭.CPI与PPI的“虚假传导”及其修正[J].数量经济技术经济研究,2011, 28(8):91-114.Liu F L, Lu X. CPI and PPI's “spurious transmission” and the revision[J]. The Journal of Quantitative&Technical Economics, 2011, 28(8):91-114.
[30]桂文林,韩兆洲. PPI与CPI关系及我国通货膨胀治理[J].统计研究,2011, 28(9):49-56.Gui W L, Han Z Z. The inflation control and relation between CPI and PPI in China[J]. Statistical Research,2011, 28(9):49-56.
[31]王辉,周晗.长期均衡,价格倒逼与自有住房价格影响[J].南开经济研究,2013, 29(6):122-133.Wang H, Zhou H. Long-run equilibrium, reversed price transmission and owner-occupied housing effect[J]. Nankai Economic Studies, 2013, 29(6):122-133.
[32]鄢莉莉,王一鸣.基于二元经济结构的中国通货膨胀驱动因素与动态行为研究[J].系统工程理论与实践,2014, 34(5):1100-1109.Yan L L, Wang Y M. Inflation dynamics and its driving factors in China:From the open dual economy perspective[J]. Systems Engineering—Theory&Practice, 2014, 34(5):1100-1109.
[33]彭红枫,赵海燕.货币供应量与通货膨胀的关联性:基于时间和频率双视角[J].系统工程理论与实践,2016, 36(8):1905-1917.Peng H F, Zhao H Y. The comovement of money supply and inflation:From the perspectives of time and frequency[J]. Systems Engineering—Theory&Practice, 2016, 36(8):1905-1917.
[34]Psaradakis Z, Ravn M O, Sola M. Markov switching causality and the money-output relationship[J]. Journal of Applied Econometrics, 2005, 20(5):665-683.
[35]Granger C W J. Investigating causal relations by econometric models and cross-spectral methods[J]. Econometrica, 1969, 37(3):424-438.
[36]Granger C W J. Testing for causality:A personal viewpoint[J]. Journal of Economic Dynamics&Control, 1980,2(1):329-352.
[37]Dempster A, Laird N, Rubin D. Maximum likelihood from incomplete data via the EM algorithm[J]. Journal of the Royal Statistical Society, 1977, 39(1):1-38.
[38]Hamilton J. Analysis of time series subject to changes in regime[J]. Journal of Econometrics, 1990, 45(1):39-70.
[39]韩国高,胡文明.要素价格扭曲如何影响了我国工业产能过剩?——基于省际面板数据的实证研究[J].产业经济研究,2017, 16(2):49-61.Han G G, Hu W M. How does factor price distortion affect China's industrial overcapacity? Empirical study based on provincial panel data[J]. Industrial Economics Research, 2017, 16(2):49-61.
1.在2001年,中国CPI和PPI的统计制度进行了重大改革,并构建了PPI定基指数.因此,相对而言,自2001年以来的物价指数更具研究的必要性.
[2]Weinhagen J. An empirical analysis of price transmission by stage of process[J]. Monthly Labor Review, 2002,125(11):5290-5294.
[3]Colclough W G, Lange M D. Empirical evidence of causality from consumer to wholesale prices[J]. Journal of Econometrics, 1982, 19(2):379-384.
[4]Caporale G M, Katsimi M, Pittis N. Causality links between consumer and producer prices:Some empirical evidence[J]. Southern Economic Journal, 2002, 68(3):703-711.
[5]Kyrtsou C, Labys W C. Evidence for chaotic dependence between US inflation and commodity prices[J]. Journal of Macroeconomics, 2006, 28(1):256-266.
[6]吕建兴,毛学峰,曾寅初.食品价格冲击对核心CPI的传递效应——基于3种核心CPI的比较研究[J].经济理论与经济管理,2017, 37(5):25-39.Lii J X, Mao X F, Zeng Y C. The pass-through effect of the food price shocks on core CPI—The comparative research of three kinds of core CPI[J]. Economic Theory and Business Management, 2017, 37(5):25-39.
[7]刘凤良,章潇萌,于泽.高投资,结构失衡与价格指数二元分化[J].金融研究,2017, 60(2):54-69.Liu F L, Zhang X M, Yu Z. High investment, structural imbalance, and the CPI&PPI deviation[J]. Journal of Financial Research, 2017, 60(2):54-69.
[8]Terasvirta F, Anderson H M. Characterizing nonlinearities in business cycles using smooth transition autoregressive models[J]. Journal of Applied Econometrics, 1992, 7(1):119-136.
[9]Blinder A, Canetti E R D, Lebow D E. Asking about prices:A new approach to understanding price stickiness[M].Russell Sage Foundation, 1998.
[10]Miller D J, Hayenga M L. Price cycles and asymmetric price transmission in the US pork market[J]. American Journal of Agricultural Economics, 2001, 83(3):551-562.
[11]贺力平,樊纲,胡嘉妮.消费者价格指数与生产者价格指数:谁带动谁?[J].经济研究,2008, 54(11):16-26.He L P, Fan G, Hu J N. CPI vs PPI:Which drives which?[J]. Economic Research Journal, 2008, 54(11):16-26.
[12]iilke V, Ergun U. The relationship between consumer price and producer price indices in Turkey[J]. International Journal of Academic Research in Economics and Management Sciences, 2014, 3(1):205-222.
[13]Aguirre M G, Chavez J C L N. Relacion de causalidad entre el indice de precios del productor y el indice de precios del consumidor incorporando cambios estructurales[J]. Contaduria Y Administracion, 2014, 59(2):179-196.
[14]Ray S. Modelling the nexus between consumer price index and wholesale price index in India[J]. United States of America Research Journal, 2014, 26(1):20-36.
[15]Ainollahi M, Ghahremanzadeh M. An application of the two regime threshold vector error correction model to analyze asymmetric price transmission of milk in Zanjan province of Iran[J]. International Journal of Agricultural Management and Development, 2015, 5(3):187-194.
[16]Vilcu R C. Inflation by producer price index-predictive factor for inflation by consumer price index? The case of Romania[J]. Romanian Statistical Review Supplement, 2015, 63(2):22-37.
[17]Gou G H. The study on the relationship between agricultural product price fluctuation and inflation[J]. Journal of Service Science and Management, 2017, 10(2):166-176.
[18]刘敏,张燕丽,杨延斌.PPI与CPI关系探析[J].统计研究,2005, 22(2):24-28.Liu M, Zhang Y L, Yang Y B. The relationship between PPI and CPI[J]. Statistical Research, 2005, 22(2):24-28.
[19]徐伟康.对《消费者价格指数与生产者价格指数:谁带动谁?》一文的质疑[J].经济研究,2010, 56(5):139-148.Xu W K. A query to the paper CPI vs PPI:Which drives which"[J]. Economic Research Journal, 2010, 56(5):139-148.
[20]张成思.长期均衡,价格倒逼与货币驱动——我国上中下游价格传导机制研究[J].经济研究,2010, 56(6):42-52.Zhang C S. Long-run equilibrium, reversed price transmission, and monetary driving—Price transmission mechanism of different stages in China[J]. Economic Research Journal, 2010, 56(6):42-52.
[21]崔惠民,李文庆.基于不确定性视角的PPI与CPI传导关系真相研究[J].经济学家,2012, 24(2):13-21.Cui H M, Li W Q. A study on the transmission relationship between PPI and CPI on the perspective of uncertainty[J]. Economist, 2012, 24(2):13-21.
[22]Tiwari A K. An empirical investigation of causality between producers'price and consumers'price indices in Australia infrequency domain[J]. Economic Modelling, 2012, 29(5):1571-1578.
[23]Tiwari A K, Suresh K G, Arouri M, et al. Causality between consumer price and producer price:Evidence from Mexico[J]. Economic Modelling, 2014, 36(1):432-440.
[24]Su C W, Khan K, Lobont O R, et al. Is there any relationship between producer price index and consumer price index in Slovakia?[J]. Ekonomicky casopis, 2016, 64(7):611-628.
[25]Gil-Alana L A, Mudidab R. CPI and inflation in Kenya. Structural breaks, non-linearities and dependence[J].International Economics, 2017,150(8):72-79.
[26]杨子晖,赵永亮,柳建华. CPI与PPI传导机制的非线性研究:正向传导还是反向倒逼?[J].经济研究,2013, 59(3):83-95.Yang Z H, Zhao Y L, Liu J H. A nonlinear research on the transmission mechanism between CPI and PPI:Positive price transmission or reversed price transmission[J]. Economic Research Journal, 2013, 59(3):83-95.
[27]杨灿,陈龙.中国CPI与PPI:因果关系和传导机制[J].厦门大学学报(哲学社会科学版),2013, 88(3):1-9.Yang C, Chen L. A study of causality test and transmission mechanism of China's CPI and PPI[J]. Journal of Xiamen University(Arts&Social Sciences), 2013, 88(3):1-9.
[28]孙坚强,崔小梅,蔡玉梅. PPI和CPI的非线性传导:产业链与价格预期机制[J].经济研究,2016, 62(10):54-68.Sun J Q, Cui X M, Cai Y M. Nonlinear transmission between CPI and PPI:Production chain and price expectation mechanisms[J]. Economic Research Journal, 2016, 62(10):54-68.
[29]刘凤良,鲁旭.CPI与PPI的“虚假传导”及其修正[J].数量经济技术经济研究,2011, 28(8):91-114.Liu F L, Lu X. CPI and PPI's “spurious transmission” and the revision[J]. The Journal of Quantitative&Technical Economics, 2011, 28(8):91-114.
[30]桂文林,韩兆洲. PPI与CPI关系及我国通货膨胀治理[J].统计研究,2011, 28(9):49-56.Gui W L, Han Z Z. The inflation control and relation between CPI and PPI in China[J]. Statistical Research,2011, 28(9):49-56.
[31]王辉,周晗.长期均衡,价格倒逼与自有住房价格影响[J].南开经济研究,2013, 29(6):122-133.Wang H, Zhou H. Long-run equilibrium, reversed price transmission and owner-occupied housing effect[J]. Nankai Economic Studies, 2013, 29(6):122-133.
[32]鄢莉莉,王一鸣.基于二元经济结构的中国通货膨胀驱动因素与动态行为研究[J].系统工程理论与实践,2014, 34(5):1100-1109.Yan L L, Wang Y M. Inflation dynamics and its driving factors in China:From the open dual economy perspective[J]. Systems Engineering—Theory&Practice, 2014, 34(5):1100-1109.
[33]彭红枫,赵海燕.货币供应量与通货膨胀的关联性:基于时间和频率双视角[J].系统工程理论与实践,2016, 36(8):1905-1917.Peng H F, Zhao H Y. The comovement of money supply and inflation:From the perspectives of time and frequency[J]. Systems Engineering—Theory&Practice, 2016, 36(8):1905-1917.
[34]Psaradakis Z, Ravn M O, Sola M. Markov switching causality and the money-output relationship[J]. Journal of Applied Econometrics, 2005, 20(5):665-683.
[35]Granger C W J. Investigating causal relations by econometric models and cross-spectral methods[J]. Econometrica, 1969, 37(3):424-438.
[36]Granger C W J. Testing for causality:A personal viewpoint[J]. Journal of Economic Dynamics&Control, 1980,2(1):329-352.
[37]Dempster A, Laird N, Rubin D. Maximum likelihood from incomplete data via the EM algorithm[J]. Journal of the Royal Statistical Society, 1977, 39(1):1-38.
[38]Hamilton J. Analysis of time series subject to changes in regime[J]. Journal of Econometrics, 1990, 45(1):39-70.
[39]韩国高,胡文明.要素价格扭曲如何影响了我国工业产能过剩?——基于省际面板数据的实证研究[J].产业经济研究,2017, 16(2):49-61.Han G G, Hu W M. How does factor price distortion affect China's industrial overcapacity? Empirical study based on provincial panel data[J]. Industrial Economics Research, 2017, 16(2):49-61.
1.在2001年,中国CPI和PPI的统计制度进行了重大改革,并构建了PPI定基指数.因此,相对而言,自2001年以来的物价指数更具研究的必要性.