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供给侧改革背景下需要将PPI纳入通货膨胀目标吗

彭红枫 肖祖沔   

  • 出版日期:2017-09-15 发布日期:2017-09-20

Should Central Bank Target PPI in the Context of Supply Side Reform

Peng Hongfeng & Xiao Zumian   

  • Online:2017-09-15 Published:2017-09-20

摘要: 供给侧改革背景下,我国生产者价格指数(PPI)波动性势必会上升,给货币当局稳定通货膨胀带来新的挑战,价格波动从PPI向CPI传导是否显著以及货币当局是否需要将PPI纳入通胀目标就成为两个值得深思的问题。本文引入连续小波变换分析框架,将PPI指数细分为生产者购进价格指数和生产者出厂价格指数,深入研究了二者和消费者物价指数之间领先滞后关系,以及价格的传导机制。结果表明,短期中存在PPI和CPI之间双向价格传导,二者互为领先指标;长期中只存在从PPI到CPI的价格传导,PPI是CPI的领先指标。为了稳定通货膨胀,当局应当将PPI指数尤其是生产者购进价格指数纳入通胀目标,提升货币政策有效性的同时减少政策时滞。

关键词: 生产者物价指数, 消费者物价指数, 货币政策目标

Abstract: In the context of supply side reform, the producer price index (PPI) volatility should be obvious, which brings the new challenge for the monetary authority to stabilize inflation. It is important to think about whether price volatility transmission from PPI to CPI is significant and whether the monetary authority need to incorporate PPI into the inflation target. This paper introduces the continuous wavelet transform framework, and deeply studies the lead-lag relationship between PPI and CPI, and price volatility transmission mechanism. The results suggest that, in the short term, there is a two-way price volatility transmission between PPI and CPI, which are leading indicator with each other; in the long term, price volatility only transmits from PPI to CPI, and PPI is a leading indicator of CPI. In order to stabilize inflation, the monetary authority should target PPI, especially the producer purchasing price index, to improve the effectiveness of the monetary policy and reduce the time lag.

Key words: Producer Price Index, Consumer Price Index, Monetary Policy Target