对我国PPI与CPI走势的微观解释——一个基于DSGE模型的分析框架 (Microeconomic Explanation to China’s PPI and CPI Dynamics - An Analytical Framework Based on DSGE Model)

The People's Bank of China Financial Research Projects: Prized Reports Collection of 2015, Published by China Financial Press in December 2016.

20 Pages Posted: 14 Aug 2018 Last revised: 4 Nov 2018

See all articles by Wenzhe Li

Wenzhe Li

Tsinghua University, PBC School of Finance; The People's Bank of China (PBC)

Bin Li

The People's Bank of China (PBC)

Date Written: March 27, 2017

Abstract

Chinese Abstract: 2012年3月-2016年8月,我国PPI同比涨幅持续为负,CPI涨幅与PPI涨幅间的差值也不断扩大,到2016年下半年两者才重新收敛,这些变化引起了广泛关注。本文从工业品和消费品的生产函数出发,建立动态随机一般均衡(DSGE)模型,试图为这些现象提供一个分析框架和微观解释。模型结果显示,这段时间物价变化的原因主要是大宗商品价格下跌,而不是国内需求不足;CPI涨幅与PPI涨幅差值扩大主要源自工业品和消费品在产品价格粘性和对劳动依赖程度两个方面的不同。

English Abstract: During March 2012 and August 2016, China’s PPI growth remained negative, and didn’t cope with CPI until 2016. This drew wide attention. From production functions of industrial goods and consumer goods, we developed a DSGE model to provide an analytical framework and microeconomic explanation to the previous phenomena. Simulation results showed that the inflation dynamics during this time matched with from commodities price shock, instead of domestic demand shock. The ever-enlarging gap between PPI and CPI might mainly result from difference between industrial goods production and consumer goods production on price stickiness and reliance on labor.

Note: Downloadable document is in Chinese. An updated version of this paper was published in Chinese academic journal 'Public Finance Research' in September 2018.

Keywords: 物价走势, 大宗商品价格冲击, 需求冲击, Inflation Dynamics, Commodities Price Shock, Demand Shock

JEL Classification: D24, E31, E37

Suggested Citation

Li, Wenzhe and Li, Bin, 对我国PPI与CPI走势的微观解释——一个基于DSGE模型的分析框架 (Microeconomic Explanation to China’s PPI and CPI Dynamics - An Analytical Framework Based on DSGE Model) (March 27, 2017). The People's Bank of China Financial Research Projects: Prized Reports Collection of 2015, Published by China Financial Press in December 2016., Available at SSRN: https://ssrn.com/abstract=3221691

Wenzhe Li (Contact Author)

Tsinghua University, PBC School of Finance ( email )

No. 43, Chengdu Road, Haidianqu
Beijing, 100083
China

The People's Bank of China (PBC) ( email )

No.32 Chengfang Street, Xichengqu
Beijing, 100800
China

Bin Li

The People's Bank of China (PBC) ( email )

No.32 Chengfang Street
Xi Cheng, Beijing 100800
China

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