农产品价格上涨与通胀因果关系的实证研究——基于SUR模型和GIRF 方法的组合研究
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引用本文:王上铭.农产品价格上涨与通胀因果关系的实证研究——基于SUR模型和GIRF 方法的组合研究[J].经济数学,2013,(4):9-16
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王上铭 (华中科技大学 经济学院湖北 武汉 430074) 
中文摘要:由于Granger因果关系检验的局限性,使农产品价格上涨与通胀之间因果关系的传导方向一直存在争议.为此,本文用似无关回归模型(SUR)和广义脉冲响应函数(GIRF)相结合的组合研究模式对农产品价格上涨和通胀之间的因果关系进行了实证研究.首先,利用似无关回归模型构造统计量检验各种传导机制的存在性;其次,在农产品价格上涨与通胀之间双向传导机制都存在的情况下,利用广义脉冲响应函数方法对各种传导机制的显著性进行了对比.结论认为,农产品价格上涨导致通胀的因果关系更显著.
中文关键词:似无关回归模型  广义脉冲响应函数  组合研究  因果关系
 
Empirical Study on the Causality Relation between the Rise of Agricultural Prices and Inflation ——Combinatorial Study Based on the SUR Model and GIRF
Abstract:Due to the limitations of the Granger causality test, the transmission direction of causality relation between the rising of agricultural products prices and inflation is in dispute.Therefore, this paper used the combinatorial study framework, including seemingly unrelated regression model and generalized impulse response function, to study empirically the causality relation between the rising of agricultural products prices and inflation.Firstly, a statistic constructed by the seemingly unrelated regression model was used to test the existence of the mechanisms.Secondly, in the presence of two-way transmission mechanisms between the rising of agricultural products prices and inflation, the generalized impulse response function was used to compare the significance of the transmission mechanisms.The conclusion shows that the rising of agricultural products prices resulting in inflation is more significant.
keywords:seemingly unrelated regression model  generalized impulse response function  combinatorial study  causality
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