消费者价格指数与生产者价格指数“倒挂”之谜

余品

消费者价格指数与生产者价格指数“倒挂”之谜

引用本文：余品.消费者价格指数与生产者价格指数“倒挂”之谜[J].经济数学,2016,(4):58-62

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作者	单位
余品	（暨南大学经济学院，广东广州510632）

中文摘要:消费者价格指数（Consumer Price Index,CPI）与生产者价格指数（Producer Price Index,PPI）是我国最重要的两个价格指数，一般说来，CPI与PPI应当是同步变化的.但是自2000年以来，CPI与PPI出现了多次“倒挂”现象，这无疑对当前经济通胀情况的判断带来了挑战.采用最新的X-13-ARIMA-SEATS方法对我国的CPI与PPI指数进行季节调整；在谱分析的基础上采用BK滤波方法将其趋势-循环因素进行分解得到趋势因素与循环因素.研究后发现是经济周期导致了“倒挂”现象.

中文关键词:统计学倒挂季节调整 BK滤波

The Enigma of “Upside Down” between the Consumer Price Index and the Producer Price Index

Abstract:The consumer price index (CPI) and the producer price index (PPI) are the two most important price indices in China. Generally speaking, CPI and PPI should be synchronized. However, since 2000, there have been many “upside down” phenomenon about CPI and PPI, which undoubtedly has brought challenges to judging the current situation of economic inflation. The seasonal trend of China's CPI and PPI index was adjusted by using the latest X-13-ARIMA-SEATS method. Based on the spectral analysis, the trend-cycle factors were decomposed by BK filtering method to obtain the trend factor and cycle factor. The study found that the economic cycle led to the “upside down” phenomenon.

keywords:statistical upside down seasonal adjustment BK filtering

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