中國CPI變動及影響因素的協整分析

The Changes and Cointegration Analyze of Its Influence Factors on China's CPI

10.6338/JDA.201304_8(2).0006

宋廷山(Ting-Shan Song)；王美露(Mei-Lu Wang)；刘婧(Jing Liu)

協整關係 ； ARMA模型 ； CPI ； Cointegration ； ARMA model

Journal of Data Analysis

8卷2期（2013 / 04 / 01）

117 - 127

繁體中文

CPI作为重要的经济数据，受关注度很高，它不仅是监测经济运行情况的重要数据之一，而且与国家的宏观调控、居民的生活息息相关。维持物价稳定也是宏观调控的四大目标之一，要保持物价的稳定，就要分析CPI的变动情况和影响CPI变化的因素，以及其自身变化的特点。只有更好的了解了CPI的变动情况，对其运行情况有一个比较深入的分析，才能更好的调控宏观经济，更有效的保持物价的稳定和CPI的平稳运行。本文對近十年來中國CPI及其8類的籃子商品的指數的統計性質及變動情況進行了描述，利用協整分析對影響CPI變化的因素的作用大小進行了分析，CPI的變化表現出了很強的慣性。利用ARMA模型分析了CPI自身的變化情況，並利用CPI的真實运行数据對模型的預測精度進行了檢驗。

CPI as an important economic data, has been given a high degree of concern. It is not only one of the important data to monitor the operation of the national economy, but also closely related to the macroeconomic regulation and control and the lives of the residents. The maintenance of price stability is one of the four goals of the macroeconomic control. In order to maintain price stability, it is necessary to analyze the changes in the CPI and the factors affecting the CPI change, as well as its own change characteristics. Only understanding the changes in the CPI, and a more in-depth analysis on its operating conditions, we can get a better regulation of macroeconomic, more effective to maintain price stability and the smooth running of the CPI. This paper describes the statistical characteristics of its basket of commodities and the changes of the China's CPI in the last decade. Meanwhile, it uses the cointegration method to analyze the factors which influence the changes of CPI, and analyze the role of these factors. The changes of the CPI showed a strong inertia. In this paper, it also uses the ARMA model to analyze the variation of the law on CPI, and uses the real data of CPI to test the forecast precision of the model.

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