Abstract
By establishing the VEC model, the relationship between Consumer Price Index (CPI) and Producer Price Index (PPI) is explored by using Johansen cointegration test and impulse response function. The results show that there is a long-term equilibrium cointegration relationship between CPI and PPI. CPI has a certain impact on PPI. PPI also has a certain impact on CPI. PPI has a great impact on itself both in the long-term and short-term. The current CPI will be adversely affected by the previous CPI and the positive impact of the previous PPI. The current PPI will be positively affected by the previous phase of CPI and the previous phase of PPI.
Highlights
The degree of inflation is mainly measured by the price index
This paper uses the VEC model to empirically analyze consumer price index and producer price index, and studies the cointegration relationship between Consumer Price Index (CPI) and Producer Price Index (PPI), summarizing the following four points: 1) The CPI sequence and the PPI sequence are stabilized after the first-order
Using the two-sequence lag phase 2 to be highly significant, the VAR(2) model was constructed, indicating that the current consumer price index and the producer price index will be affected by the changes in the first two periods
Summary
The degree of inflation is mainly measured by the price index. The most important indicator is the Consumer Price Index (CPI), and Producer Price Index (PPI) can help determine the status quo and trends of inflation. CPI mainly reflects the price changes of daily life commodities and service items of urban households It is one of the important indexes for judging the degree and trend of inflation. It reflects the impact of ex-factory price changes on industrial output value within a certain period of time It is the main indicator for judging inflation, and the important basis for the formulation of policies PPI covers more than 4000 products in 39 industrial sectors. Chen Yu (2011) studied the relationship between PPI, enterprise commodity price index, M2 and CPI through the Granger causality test and cointegration theory, and indirectly confirmed that PPI is one-way causality of CPI [3] He Liping and Fan Gang and other scholars (2008) used the CPI and PPI data from January 2001 to July 2008 to conduct empirical research. All coefficients of the difference term as explanatory variables reflect the effect of short-term fluctuations of each variable on short-term changes as explanatory variables
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