基于SVAR模型对商品价格波动和居民消费关系的讨论

摘要

本文运用结构向量自回归(SVAR)模型,深入分析了2000年到2012年月度商品零售价格指数与居民消费价格指数二者之间的关系,进行了相应的单位根检验,在VAR模型的基础上做出SVAR模型,由此获得了该模型中两变量长期稳定的关系,分析得出,二者受自身前期影响较大,且上期商品零售价格对于居民消费价格有明显的正相关影响(影响系数为0.44)。并在此基础上建立了脉冲响应函数,继而做出了(SVAR)模型的脉冲响应函数分析。This paper tries to analyse the relationship between the retail price index and consumer price index with the structural vector auto regression (SVAR) model when it was 2000 to 2012 monthly. With the VAR model we have the unit root test, in which we get the long-term stable relationship between two variables in the model analysis. With their own pre-impact, the retail price has a significantly positive effect on the consumer price (which affects coefficient of 0.44). On this basis, with the establishment of the impulse response function we make (SVAR) model impulse response function analysis.