基于小波多分辨分析的PPI和CPI动态传导机制研究
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财经研究 2011 年 第 37 卷第 07 期, 页码：82 - 92
摘要
参考文献
摘要
文章利用Matlab仿真软件对PPI和CPI进行小波多分辨分析,并将各子成分的低频分量分阶段作脉冲响应研究,探讨了PPI和CPI的波动特征及其关系。结果显示,PPI和CPI波动的波幅、频率和周期均存在较大差异,二者的阶段性传导关系只体现在中长期内;主导PPI和CPI波动的子成分在各阶段均有变化,唯有食品类子成分能够较稳定地主导CPI的波动和预测CPI的走势。通过研究不同时期子成分对总指数的影响可使价格调控和有效治理通货膨胀更具有针对性。
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[4]苏梽芳,蔡经汉.我国CPI与PPI非线性调整的实证解释[J].中南财经政法大学学报,2010,(2):3-8.
[5]张成思.中国CPI通货膨胀率子成分动态传导机制研究[J].世界经济,2009,(11):3-12.
[6]彭建霞.把握不同价格指数特点准确使用价格指数[J].中国物价,2002,(4):28-30.
[7]国家统计局四川调查总队.解读CPI——100问[M].北京:中国统计出版社,2009.
[8]张新红.小波网络理论及其在经济建模中的应用[M].大连:东北财经大学出版社,2008.
[9]Todd Clark.Do producer prices lead consumer prices?[J].Economic Review,1995,3:25-39.
[10]Tomas Holub.Prices of industrial outputs and inflationary developments in the CzechRepublic[J].Eastern European Economics,2000,38(3):6-25.
[11]Jonathan Weinhagen.An empirical analysis of price transmission by stage of processing[J].Monthly Labor Review,2002,11:3-11.
[12]Dorestani Alireza,Arjomand Lari.An empirical study of the relationship between con-sumer and producer price index:A unit root test and test of cointegration[J].The Coast-al Business Journal,2006,5:33-38.
[13]Maria Bustinza,Daniel Chow,Thaddious Foster.Price measures of new vehicles:Acomparison[J].Monthly Labor Review,2008,7:19-28.
[14]Koutroumanidis,TheodorosZafeiriou,EleniArabatzis,Garyfalls.Asymmetry in pricetransmission between the producer and the consumer prices in the wood sector and therole of imports:The case of Greece[J].Forest Policy and Economics,2009,1:56-64.
[15]Balke N,Wynne M.The relative price effects of monetary shocks[J].Journal of Macro-economics,2007,1:19-36.
引用本文
王晓芳, 王永宁, 李洁. 基于小波多分辨分析的PPI和CPI动态传导机制研究[J]. 财经研究, 2011, 37(7): 82–92.
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