Empirical Study of China's Price Transmission System Based on VAR Model

Huan Zhao ； You-Pan Zhang ； Long-Bin Xu

《管理科學與統計決策》 10卷1期 (2013/03) Pp. 22-32

https://doi.org/10.6704/JMSSD.2013.10.1.22

並列摘要

Since the year 2007, China's general price level in both upstream and downstream has gone up to the certain extent under the effect of ”Imported Inflation”. From then on, the price transmission system began to be a hot academic issue. Selecting Producer Price Index (PPI), Retail Price Index (RPI) and Consumer Price Index (CPI) as the upstream, midstream and downstream price index, this paper analyze the relationship of CPI, PPI and RPI in short and long term based on the VAR model and Impulse Response Function. The study result indicates the existence of price transmission system with time-lag in China. There exists interrelationship between CPI and PPI with forward time-lag. RPI have small impulses in different direction to CPI and PPI. CPI, PPI and RPI are all influenced by themselves in different degrees.

並列關鍵字

Price Index ； VAR Model ； Impulse Response Function ； Transmission System

參考文獻

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