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### 基于带跳时变系数模型的PPI与CPI相关性研究

• 出版日期:2019-02-25 发布日期:2019-03-07

### A Study on Correlativity between PPI and CPI Based on Time-varying Coeﬃcient Models with Jumps

Cang Yuquan et al.

• Online:2019-02-25 Published:2019-03-07

Abstract: Since 2008, the trend of PPI and CPI in China has deviated and split up many times. On the whole, both correlate weakly. However, from a dynamic perspective, because the correlation may change over time, the overall correlation may be weakened or even concealed by the veer and extent of correlations itself. In order to reflect the dynamic changes of the PPI and CPI correlations, this paper propose a time-varying coe?cient models with jumps and offers a nonparametric three-step estimation procedure in a hypothesis of smoothness in the eased time-varying coefficient function. Firstly, the position and number of jumps are estimated in the coe?cient function; then the final estimation of the coe?cient function is given based on the estimated jumps and the bandwidth chosen by the bootstrap method; and finally, some Monte Carlo simulations are used to evaluate the ?nite sample performance of the proposed nonparametric estimation and bootstrap method. By empirically studying the PPI and CPI data in China from January 2008 to December 2017, it is found that the model can well depict the time-varying and band jumping characteristics of PPI and CPI, and furthermore justify the value in applying this model.