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本文对2001—2011年月度消费者价格指数和生产者价格指数进行了研究,格兰杰因果检验结果显示消费者价格指数的变化是生产者价格指数变化变动的格兰杰原因,即存在所谓的价格倒逼现象。考虑到消费者价格指数的计算过程中,自有住房权重偏低,利用使用成本法修正自有住房消费的权重,并通过格兰杰因果检验和建立VECM模型研究两者之间的长期均衡关系和动态调整机制。研究结果表明,在通过自有住房消费修正后,消费者价格指数和生产者价格指数的相关性大幅提高,并且二者之间存在双向传导机制和长期均衡关系,这对消费者价格指数的编制以及宏观政策的制定具有重要启示。
This paper studies the monthly consumer price index and producer price index from 2001 to 2011. The result of Granger causality test shows that the change of consumer price index is the Granger reason for the change of producer price index, Price forcing phenomenon. Considering that during the process of calculating the CPI, the weight of own-owned houses is low, the cost of own-home consumption is revised by using the cost method, and the long-term equilibrium relationship between the two is studied through the Granger causality test and the VECM model And dynamic adjustment mechanism. The results show that the correlation between consumer price index and producer price index increases significantly after the amendment of consumer housing consumption, and there is a two-way transmission mechanism and long-term equilibrium relationship between them, which is the basis for the preparation of consumer price index As well as macro-policy formulation has important implications.