技术与创新管理2019，Vol.40Issue(1)：80-85,102,7.DOI:10.14090/j.cnki.jscx.2019.0115
基于VAR和VEC模型的制造业PMI与PPI的关系研究
The Relationship between Manufacturing PMI and PPI Based on VAR and VEC Models
刘雨欣 1宋良荣 1陈卫伟1
作者信息
- 1. 上海理工大学 管理学院,上海 200093
- 折叠
摘要
Abstract
The paper studied the correlation between the Manufacturing PMI and PPI. In this paper, by using the statistical knowledge, the two publicly released indexes in China were selected as the research period (from January 2005 to November 2017) to further revise and improve the VAR model and study the causal, long-term and short-term equilibrium relationship between Manufacturing PMI and PPI. The paper pointed out the granger causality between Manufacturing PMI and PPI, and the research indicated that the Manufacturing PMI was the granger cause of PPI, while the PPI was not the granger cause of the Manufacturing PMI. At the same time, the paper pointed out the long-term and short-term equilibrium relationship between Manufacturing PMI and PPI. And the research indicated that there is an equilibrium relationship between Manufacturing PMI and PPI in the long term. In the short term, when the fluctuation of PPI deviates from the long-term equilibrium state, the Manufacturing PMI will restore it to the equilibrium state by a negative way.关键词
制造业PMI/PPI/VAR模型/VEC模型/Johansen检验Key words
manufacturing PMI/PPI/VAR model/VEC model/Johansen test分类
管理科学引用本文复制引用
刘雨欣,宋良荣,陈卫伟..基于VAR和VEC模型的制造业PMI与PPI的关系研究[J].技术与创新管理,2019,40(1):80-85,102,7.
