A Study of Causality Test and Transmission Mechanism of China's CPI and PPI
- 2013年 
【中文摘要】适当把握CPI与PPI之间的关系对于监测和治理通胀至关重要。然而现有的文献研究大多依赖于特定的模型假设、样本区间和参变量选择，对于二者在理论上的因果关系并没有获得实证研究的充分、一致支持，由此引发了CPI与PPI“倒挂”的疑难问题。运用谱分解的非参数频域分析方法，对近16年来中国CPI与PPI之间的Granger因果关系进行检验，结果表明：在短期内， 既存在CPI向PPI的传导关系，也存在PPI向CPI的传导关系（两种传导关系的时滞有所不同）；但就长期考察，PPI向CPI的传导仍然占据主导地位；而在中期内，它们之间可能互为因果关系。因 此，对于我国通胀的治理，既需要在短期内管住CPI，进而稳定PPI和整个价格体系；也需要在中长期内管住PPI，充分重视PPI对CPI的传导和预警作用，稳定PPI进而控制CPI和整个商品市场的通胀 。 【Abstract】The relationship between CPI and PPI is essential for the detection and governance of inflation. However' the existing literature is mostly dependent on specific modeling hypotheses' sample range and selection of parametric variables. Theoretically，the relationship between CPI and PPI has not received adequate and consistent support from empirical studies, which leads to inconsistency between CPI and PPI. In this paper，the analytical method of spectral decomposition of nonparametric frequency domain is employed to test the Granger Causality between CPI and PPI in China in the past 16 years. The results show that，in the short term，CPI transmits PPI and vice versa ( although the time delay of transmission is different)，but in the long term，PPI transmits CPI dominantly; in the middle term，they inter-determinate each other. Therefore，the governance of China's inflation requires curtailment of CPI in the short term so as to stabilize PPI and pricing mechanism. It also needs to govern PPI in the middle term and the long term，give due attention to the transmitting and forewarning effect of PPI on CPI，and stabilize PPI so as to control CPI and inflation level of the whole merchandise market.