基于ARIMAX模型的PPI与CPI传导机制研究

CPI和PPI是物价水平和宏观经济走势的两个主要判断准则,关于CPI与PPI传导方向的争论始终没有一致结论. 选取PPI和CPI月度同比序列,以传递函数模型（Autoregressive integrated moving average-X,ARIMAX）为主、Granger因果检验为辅,分析PPI和CPI之间的传导效应和作用时长. 研究发现：我国PPI和CPI间存在双向的传导作用;但传导作用存在滞后,PPI的影响经过1个月传导至CPI,CPI的影响经过2个月传导至PPI;PPI对CPI的作用区制较短,时效持续2个月;而CPI对PPI的作用区制较长,时效为长期. 因此要从货币政策和财政政策两方面实行调节、建立物价指数预警体系、推进供给侧结构性改革,以减少物价波动,促进经济平稳运行.

Study on the conduction mechanism between PPI and CPI based on ARIMAX model

CPI and PPI are two main criteria to judge the price level and macroeconomic trend. There is no consistent conclusion about the debate on the conduction direction of CPI and PPI. The monthly series of PPI and CPI were used to analyze the conduction effect and action duration based on Autoregressive integrated moving average-X （ARIMAX）model, supplemented by Granger causality test. The results showed that there was a two-way lagging conduction between PPI and CPI in China; The influence of PPI was transmitted to CPI after 1 month, and the influence of CPI was transmitted to PPI after 2 months; The effect duration of PPI on CPI was short and lasted for 2 months, and the effect duration of CPI on PPI lasted for a long period. Therefore, we should adjust from both monetary and fiscal policies, establish a price index monitoring system, and promote supply-side structural reform, so as to reduce price fluctuations and promote the smooth operation of the economy.