（西安交通大学经济与金融学院）

【摘要】本文采用总体经验模式分解（EEMD）和计量分析的方法，对国内PPI和CPI的波动特征和传导关系进行了深入研究。结果显示，二者均由高频分量、低频分量和趋势项构成，其中，高频分量体现的是国内物价中随机波动的信息；低频分量传递的是一定时期内的物价变动信息；趋势项反映的是物价中不轻易变动的信息。对上述结构分量的Granger因果检验表明，PPI和CPI之间的传导关系主要受低频分量和趋势项影响：低频分量中只存在PPI到CPI的单向因果关系；而在趋势项中存在不对称的传导方式，即在1%的水平上CPI到PPI存在单向因果关系，在5%的水平上二者互为因果。

关键词  总体经验  模式分解  传导关系  PPI  CPI 

中图分类号  F822      文献标识码  A     

An Analysis on the Volatility and Transmission Relationship between PPI and CPI on the Perspective of Ensemble Empirical Mode Decomposition

Abstract: An in-depth research on China’s PPI and CPI volatility and the transmission mechanism between them is conducted in this paper based on ensemble empirical mode decomposition as well as relevant quantitative analysis methods. The results show that PPI and CPI are composed of high-frequency, low frequency and trends respectively, in which the high-frequency component reflects the constantly changing information in the domestic prices, the low-frequency component expresses the information of price changes in a certain period while the trend represents relatively constant information of prices. The Granger causality tests on the structural components involved here show that transmission relationship between PPI and CPI is mainly influenced by the low frequency components and trends, while only one-way causal relationship from PPI to CPI exists between the low frequency components; besides, there is two-way asymmetrical transmission relationship between the trends; namely, only one-way causal relationship from CPI to PPI is significant in the 1% level, and  mutual causality between PPI and CPI is significant at the 5% level. Therefore, the Government should strengthen regulation of the supply-side in order to control the current inflation.

    Key words: Ensemble Empirical；Mode Decomposition；Transmission Relationship；PPI；CPI

引    言

维护物价水平稳定是宏观经济政策最重要的目标之一，学术界关于物价水平的两个重要指标—生产者价格指数（PPI）与消费者价格指数（CPI）之间传导关系的研究从未间断过，学者们一直期待能寻找到价格传导机制的关系来实现国内物价水平的平稳运行。传统的生产链理论认为，上游产品的价格（PPI）先上涨，在经过一个时滞后向下游消费环节的产品价格（CPI）方向传递，表现为生产资料等供给要素价格上涨和企业生产成本上升，生产者通过成本转嫁带动消费者价格指数上升。而按照引致需求理论，下游产品价格（CPI）上涨会引起上游投入要素的价格（PPI）上涨，即CPI也可以向PPI传导。如果PPI对CPI有显著动态传导效果，那么当PPI开始上涨而CPI尚未明显上涨的时候，决策层就可以依据二者之间的动态时效与量化驱动程度来确定未来政策走向，实现有效的前瞻性政策调控目标。这是研究PPI和CPI之间动态传导效应的意义所在。但是根据国家统计局公布的CPI和PPI走势来看，两者并没有出现如上所述的协动效应。考察我国近期的CPI和PPI走势发现，PPI一度高于CPI上涨且CPI回落后PPI仍保持上涨态势，并在其峰值高于CPI峰值后才开始下降。