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首页> 外文期刊>The Singapore economic review >AN INVESTIGATION INTO THE DYNAMIC RELATIONSHIP BETWEEN CPI AND PPI: EVIDENCE FROM THE UK, FRANCE AND GERMANY
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AN INVESTIGATION INTO THE DYNAMIC RELATIONSHIP BETWEEN CPI AND PPI: EVIDENCE FROM THE UK, FRANCE AND GERMANY

机译：CPI与PPI之间动态关系的调查：来自英国，法国和德国的证据

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摘要

This paper examines the dynamic relationship between the consumer price index (CPI) and the producer price index (PPI) in the UK, France and Germany from 1997 to 2013. We employ the momentum-threshold autoregressive (MTAR) cointegration model for empirical analysis. The results show that the CPI and the PPI are cointegrated with bi-directional long-run Granger causality between CPI and PPI, signifying the existence of both demand-pull and the cost-push nature of inflation. The estimates of threshold vector error correction models (TVECMs) indicate asymmetric adjustments to equilibrium, where upward adjustments are statistically significant but downward adjustments are sluggish and insignificant. Moreover, we generate the unconditional half-life estimates as a measure of persistence, which reveal robust evidence of complex non-linearities in the adjustment process. Our overall results provide valuable information for policymakers to formulate inflation-control policies and optimal policy horizons under a non-linear framework.
机译：本文研究了1997年至2013年英国，法国和德国的消费物价指数（CPI）与生产者物价指数（PPI）之间的动态关系。我们采用动量阈值自回归（MTAR）协整模型进行了经验分析。结果表明，CPI和PPI与CPI和PPI之间的双向长期Granger因果关系协整，表明通货膨胀既存在需求拉动，也存在成本推动性。阈值矢量误差校正模型（TVECM）的估计值表明对平衡的不对称调整，其中向上调整具有统计意义，而向下调整则缓慢且微不足道。此外，我们生成了无条件的半衰期估计作为持久性的度量，它揭示了调整过程中复杂非线性的有力证据。我们的总体结果为决策者在非线性框架下制定通胀控制政策和最佳政策视点提供了有价值的信息。

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