区制转移因果视阈下CPI与PPI的内在驱动机制研究

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.

Internal driving mechanism between CPI and PPI on the view of regime switching causality

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.