Analysis Of The Fluctuation Characteristics Of China's Provincial Consumer Price Index

The consumer price index(CPI)is an important indicator of market economy activity and government monetary policy,which plays an important role in the selection,adjustment and rhythm of macroeconomic policy.In general,the level of CPI directly affects the introduction and implementation of macroeconomic control measures in China,such as whether to adjust interest rates,whether to adjust the deposit reserve ratio,but also indirectly affect the stock market and other capital market changes.Therefore,it is very important to study the change of CPI and the influence source.The research on CPI is divided into the following categories: First,based on the vector autoregressive(VAR)model,Sims causality test is used to test the causal direction between variables.Inspection and Granger causality test to examine the long-term equilibrium relationship and causality in inflation.Third,from different angles to study the impact of economic variables on the CPI.When the reality background is cooperative and the regional economic cooperation is prevalent,the fluctuation of the important macroeconomic variables in our country and the provinces shows a high degree of cooperation.Therefore,to distinguish the source of these macro variables fluctuate,the development of the policy is very important.This paper will mainly study the fluctuation characteristics of CPI in China,and examine the interaction between CPIs in interregional and provincial provinces.In this paper,we select the monthly data of CPI or consumption level in 31 provinces(autonomous regions or municipalities)from January 1999 to June 2015.First,31 provinces are divided into five regions according to the fluctuation characteristics,and then grouped analysis.In this paper,the three-level dynamic factor of provincial CPI is estimated by constructing a dynamic model of state space stratification based on sequential principal component method.The empirical analysis is divided into two parts.The first part is to extract the three dynamic factors of CPI in 31 provinces(autonomous regions or municipalities)by stratified dynamic factor model: national CPI dynamic factor,regional CPI dynamic factor and province CPI dynamic factors,observed the fluctuation characteristics of each factor,and the variance decomposition analysis;the second part is based on the extracted regional factors and the provincial CPI factor sequence,using Johansen cointegration test and Granger Granger causality test to analyze China Regional and provincial consumption level fluctuations between the interaction and fluctuations in the path.Finally,it is concluded that the fluctuation trend of national dynamic factors basically reflects the fluctuation of CPI in the provinces of China,and the contribution rate of variance decomposition is the largest,which can be used as the main source of consumption fluctuation.Regional factors on the impact of small CPI,but there is still a certain regional.The dynamic factors fluctuate in different provinces,and the dynamic factors fluctuate in the economically developed regions,and the dynamic factors fluctuate in the economically backward regions,There are obvious ripple effects on the fluctuation of CPI among interregional and inter-provincial.CPI fluctuations in each region within each region are preceded by other provinces,more synchronized and relatively lagging.From the trend of corrugation,the source is mostly remote provinces,the region’s most central provinces or economically developed areas,the origin of agricultural raw materials,spread to other provinces.And the spread of consumption levels between provinces and regions varies from region to region.