印尼生产者物价指数(PPI)与消费者物价指数(CPI)的因果关系分析

JURNAL EKONOMI DAN KEBIJAKAN PEMBANGUNAN Pub Date : 2018-08-21 DOI:10.29244/JEKP.7.1.60-77

Debby Anggraeni, T. Irawan

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引用次数: 5

摘要

本研究旨在调查印度尼西亚总体和每组商品的PPI通胀与CPI通胀之间的关系，并确定PPI通胀是否可以成为CPI通胀的领先指标，反之亦然。本研究采用基于VAR模型的Granger因果关系对2010年1月至2016年8月的月度数据序列进行分析。结果表明:总体而言，PPI涨幅与CPI涨幅呈单向关系，食品类PPI涨幅与CPI涨幅呈双向关系，服装类CPI涨幅与PPI涨幅呈单向关系，加工食品饮料卷烟烟草类PPI涨幅与CPI涨幅无因果关系。关键词:格兰杰因果关系，生产者价格指数，消费者价格指数，VAR JEL分类:E31, C22

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Causality Analysis of Producer Price Index (PPI) and Consumer Price Index (CPI) in Indonesia

This study aims to investigate the relationship between PPI inflation and CPI inflation in Indonesia both in general and for each group of commodity, and to identify whether PPI inflation can be a leading indicator for CPI inflation or vice versa. This study employs Granger causality based on VAR model for monthly data series from January 2010 until August 2016. The results show that there are unidirectional relationship between PPI inflation and CPI inflation generally, bidirectional relationship from PPI inflation to CPI inflation for foodstuffs group, unidirectional from CPI inflation to PPI inflation for clothing group, and no causality between PPI inflation and CPI inflation for processed food, beverage, cigarette, and tobacco group.Keywords: Granger causality, producer price index, consumer price index, VAR JEL classification: E31, C22

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JURNAL EKONOMI DAN KEBIJAKAN PEMBANGUNAN

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