价格传导关系变化的实证检验
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引用本文:陈黎明,吴伟.价格传导关系变化的实证检验[J].财经理论与实践,2012,(3):78-82
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作者单位
陈黎明,吴伟 (1.湖南大学 金融与统计学院,湖南 长沙410079
2.湖南大学 经济与贸易学院湖南 长沙410079) 
中文摘要:利用变结构协整分析价格指数间从1996年10月~2010年7月的长期均衡关系,并对变结构前后价格传导路径的统计显著性做Granger因果检验结果显示,近年来上下游价格传导的统计显著性有较大提高,需求因素在价格传导中的作用突出,但是生产资料价格向下游传导存在较长的滞后期。最后利用变参数模型的状态空间表示,动态考察价格指数序列间的相互作用,发现各传导路径作用强度的变化并不一致。
中文关键词:价格传导  变结构协整  Granger因果检验  变参数模型
 
Empirical Study on the Change of Price Transmission
Abstract:In this paper, variable structure cointegration was used to test the long-run equilibrium relationship between price indices from October 1996 to July 2010. Then the Granger causality theory was used to test the statistically significance of each transmission path before and after the variation. Empirical results show that, in recent years the statistical significance of price transmission between upstream and downstream has improved greatly, and the role of demand factor in the price transmission is prominent, but the transmission path of producer prices to downstream is lagged. Finally the interaction between price indexes using time varying parameter model has been dynamically examined, the intensity of the interactions in is not same.
keywords:Price transmission  Variable structure cointegration  Granger causality test  Time varying parameter model
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