本文選題：CPI + RPI��； 參考：《中國海洋大學(xué)》2014年碩士論文

【摘要】：物價在宏觀經(jīng)濟運行中扮演著重要的角色：一方面，物價水平是宏觀經(jīng)濟運行的“指示器”，反映著經(jīng)濟的冷熱，另一方面，它還是宏觀經(jīng)濟的“調(diào)節(jié)器”，物價水平的上下波動可以起到調(diào)節(jié)市場的作用。本文試圖考察我國近幾年物價波動的外部影響因素以及物價指標(biāo)體系的內(nèi)部傳導(dǎo)關(guān)系，以期對物價運行做一個全面深入的了解，為政策制定者更好地調(diào)控經(jīng)濟提供有用的參考。 物價指標(biāo)是一個體系，包括多種側(cè)重點不同的價格指數(shù)。不同的價格指數(shù)有不同的影響因素，同一個因素對不同價格指數(shù)的影響也是不同的。價格指數(shù)之間也存在相互傳導(dǎo)、相互影響的相關(guān)關(guān)系。本文在研究物價體系時，選取了三種有代表性的指數(shù)——居民消費價格指數(shù)(CPI)、商品零售價格指數(shù)(RPI)和工業(yè)品出廠價格指數(shù)(PPI)作為全文的研究對象。 本文首先研究了影響物價變動的外部宏觀經(jīng)濟因素，將其分為總需求因素、貨幣因素、利率因素和資產(chǎn)價格因素，選取這幾類因素中有代表性的指標(biāo)，分別對CPI、RPI、PPI建立VAR模型，通過脈沖響應(yīng)分析和方差分解，研究各因素對這三類價格指數(shù)的動態(tài)影響，并對其作用效果進行差異性分析。結(jié)果顯示，貨幣供給量、利率和資產(chǎn)價格對總體物價的影響比較大，相比之下，總需求因素的影響并不明顯，其中，凈出口的影響最大，投資次之，消費的影響最小。三種價格指數(shù)對每種影響因素的敏感度也不同，具體地說，CPI和PPI對投資和凈出口較為敏感，RPI不敏感；但對于消費的影響，則是RPI較為敏感，CPI和PPI不敏感。對于貨幣供給和利率的影響，CPI和RPI較為敏感，而PPI不敏感。對于資產(chǎn)價格的影響，PPI最敏感，CPI次之，RPI最不敏感。 進一步的，本文通過協(xié)整檢驗、格蘭杰因果檢驗和脈沖響應(yīng)分析，對三種價格指數(shù)之間的相互傳導(dǎo)關(guān)系進行研究，考察三者之間長期和短期的傳導(dǎo)效果并進行比較。結(jié)果顯示，在長期內(nèi)，CPI、RPI、PPI之間存在穩(wěn)定的均衡關(guān)系。進一步的，CPI分別是PPI和RPI的單向格蘭杰原因，而PPI和RPI則互為因果關(guān)系。在短期內(nèi)，，CPI、PPI和RPI均受自身滯后值的影響最大。CPI的波動基本不受RPI、PPI的影響，RPI的波動受到CPI和PPI一定程度的影響，PPI也同時對CPI和RPI反應(yīng)敏感。 最后，在對研究結(jié)果進行總結(jié)的基礎(chǔ)上，本文提出了幾點政策建議，認(rèn)為我國要加快轉(zhuǎn)變經(jīng)濟發(fā)展方式，著力提高居民收入，擴大消費需求，減少外貿(mào)和投資的依存度，同時密切注意貨幣供應(yīng)量、利率和資產(chǎn)價格對物價的沖擊，保持物價水平的穩(wěn)定。進一步的，要完善價格機制，保持物價體系內(nèi)部運行的通暢。
[Abstract]:Prices play an important role in macroeconomic operation: on the one hand, the price level is the "indicator" of macroeconomic operation, reflecting the cold and hot of the economy, on the other hand, it is also the "regulator" of macroeconomic. The fluctuation of price level can play a role in regulating the market. This paper attempts to investigate the external influence factors of price fluctuation and the internal conduction relationship of price index system in China in recent years in order to make a comprehensive and in-depth understanding of price operation and to provide useful reference for policy makers to better regulate and control the economy. Price indicators are a system that includes a variety of price indices with different emphases. Different price indices have different influencing factors, and the same factors have different effects on different price indices. The price index also has the mutual conduction, the mutual influence correlation. In the study of price system, three representative indices, the consumer price index (CPI), the retail price index (RPI) and the ex-factory price index (PPI) of industrial products, are selected as the objects of this paper. In this paper, the external macroeconomic factors that influence the price change are studied, which are divided into the total demand factor, the monetary factor, the interest rate factor and the asset price factor. The representative indexes of these factors are selected, and the VAR model is established respectively. By means of impulse response analysis and variance decomposition, the dynamic effect of each factor on these three price indices is studied, and the difference of the effect is analyzed. The results show that the influence of money supply, interest rate and asset price on the overall price is relatively large. In contrast, the influence of the total demand factor is not obvious, among which, the net export is the most important, the investment is the second, and the consumption is the least. The sensitivity of the three price indices to each factor is also different. Specifically, PPI and PPI are more sensitive to investment and net exports. But for consumption, RPI is more sensitive to RPI and PPI. RPI and RPI are more sensitive to the influence of money supply and interest rate, but PPI is not. For the impact of asset prices, PPI is the most sensitive CPI followed by the least sensitive RPI. Furthermore, through cointegration test, Granger causality test and impulse response analysis, we study the interconductance between the three price indices, and compare the long and short term conduction effects among them. The results show that there is a stable equilibrium relationship between CPI and RPI PPI in the long run. Further CPI is the one-way Granger cause of PPI and RPI, while PPI and RPI are causality. In a short period of time, both PPI and RPI are most affected by their hysteresis. The fluctuation of CPI and PPI is not affected by CPI and PPI, and it is also sensitive to the reaction of CPI and RPI at the same time. Finally, on the basis of summing up the research results, this paper puts forward several policy suggestions, which suggest that China should speed up the transformation of economic development mode, focus on raising residents' income, expand consumption demand, and reduce dependence on foreign trade and investment. At the same time, pay close attention to the impact of money supply, interest rate and asset price on prices to maintain price level stability. Further, it is necessary to improve the price mechanism and keep the internal operation of the price system unobstructed.
【學(xué)位授予單位】：中國海洋大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2014
【分類號】：F726;F224

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本文編號：1839895