Page 26 - 陳慧光

表 4: CPI vs. PPI 及其細項之 Granger 因果關係檢定表

l = 1 l = 3 l = 6 l = 12
組別 H 0
F-Statistic p 值 F-Statistic p 值 F-Statistic p 值 F-Statistic p 值

CPI does not Granger cause PPI 17.7587 0.0000 *** 7.1441 0.0002 *** 3.6829 0.0019 *** 2.8647 0.0016 ***
1
PPI does not Granger cause CPI 0.7251 0.3957 3.3567 0.0205 ** 1.9717 0.0733 * 2.2528 0.0128 **
Core PPI does not Granger cause Core CPI 8.2690 0.0046 *** 4.7363 0.0034 *** 2.1702 0.0491 ** 2.3632 0.0088 ***
2
Core CPI does not Granger cause Core PPI 2.6516 0.1054 0.9472 0.4194 1.2923 0.2643 1.0205 0.4342

PPI does not Granger cause Core CPI 7.0558 0.0087 *** 3.7988 0.0116 ** 2.1404 0.0522 * 2.4394 0.0068 ***
3
Core CPI does not Granger cause PPI 4.6698 0.0322 ** 0.3211 0.8101 1.1874 0.3162 1.1023 0.3639
Core PPI does not Granger cause CPI 19.3887 0.0000 *** 7.7153 0.0001 *** 5.0892 0.0001 *** 4.3073 0.0000 ***
4
CPI does not Granger cause Core PPI 13.9058 0.0003 *** 4.0601 0.0082 *** 1.6775 0.1304 2.2613 0.0124 **
Core CPI does not Granger cause Final demand services less
12.7266 0.0005 *** 2.7563 0.0444 ** 1.7132 0.1218 1.1968 0.2923
trade, transportation, & warehousing
5
Final demand services less trade, transportation, &
1.2908 0.2576 0.4428 0.7228 0.8253 0.5521 1.8010 0.0544
warehousing does not Granger cause Core CPI
Final demand construction does not Granger cause Core CPI 8.4409 0.0042 *** 7.1294 0.0002 *** 1.6483 0.1379 1.9645 0.0326 **
6
Core CPI does not Granger cause Final demand construction 19.6378 0.0000 *** 0.7181 0.5426 1.6669 0.1331 3.6433 0.0001 ***
Construction for private capital investment does not Granger
8.9632 0.0032 *** 7.3878 0.0001 *** 1.8239 0.0983 * 2.1295 0.0192 **
cause Core CPI
7
Core CPI does not Granger cause Construction for private
19.1073 0.0000 *** 0.8548 0.4660 1.9711 0.0734 * 4.1649 0.0000 ***
capital investment

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