摘要
消费者价格指数和生产者价格指数是我国经济运行中最为重要的价格指标,研究其相关关系可以反映产业链上下游价格变动的相关影响。本文通过以不同的样本区间长度和时间窗口选择,测试在向量自回归的模型框架下消费者价格指数与生产者价格指数之间的相关关系。借鉴信号处理与分析领域的小波变换方法,分析了全时域的价格指数波动特征,发现其存在着共性的3-5年波动成分,为长滞后期选择的VAR模型展现的双向解释效力提供了一定的理论根据。同时,对相同观测区间银行间回购利率这一重要的货币市场利率也进行小波变换,其中同样存在着相近周期的波动成分,该结果可以成为波动来自于经济周期的佐证,为未来VAR等时间序列研究滞后期的选择提供一定的指导。
Consumer price index and producer price index are the most important price indicators in my country's economic operation.Studying their correlations can reflect the relevant effects of price changes in the upstream and downstream of the industrial chain.This paper uses different sample interval lengths and time windows to test the correlation between the two price indices under the framework of the vector autoregressive model,and analyzes the sources of uncertainty in the analysis of the correlation between the two.The wavelet transform method in the field of signal processing and analysis is used for reference to analyze the fluctuation characteristics of the price index in the full time domain.At the same time,the wavelet transformation of the interbank repo rate in the same observation interval,an important intermediary target of monetary policy,proves that there are 3-5 years of macroeconomic fluctuations in the time series of the price index and the key monetary policy interest rate.The internal cycles of the two price indices and currency market indicators provide a theoretical basis for the selection of the lag period for future time series research such as VAR.
出处
《价格理论与实践》
北大核心
2020年第8期71-75,共5页
Price:Theory & Practice
