• ISSN: 2301-3567 (Print), 2972-3981 (Online)
    • Abbreviated Title: J. Econ. Bus. Manag.
    • Frequency: Quarterly
    • DOI: 10.18178/JOEBM
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HOME > Archive > 2024 > Volume 12 Number 4 (2024) >
JOEBM 2024 Vol.12(4): 439-446
DOI: 10.18178/joebm.2024.12.4.834

Empirical Analysis and Forecasting of CPI Based on VECM Modeling

Bingguang Zhou
Business School, University of New South Wales, Sydney, Australia
Email: bingguangzhou.unsw@gmail.com (B.G.Z.)

Manuscript received July 9, 2024; revised August 14, 2024; accepted September 1, 2024; published December 5, 2024.

Abstract—The Consumer Price Index (CPI) is closely related to people’s daily life, which not only affects the economic operation of a country, but also relates to the happiness of residents. Over the years, many scholars have studied the CPI from different perspectives and have drawn many useful conclusions. In the past two years, due to the impact of the new coronary pneumonia epidemic and the rise in pork prices, China’s CPI has experienced a relatively large increase, especially the rise in pork prices has a greater degree of impact on the CPI. Therefore, it is particularly important to study the changing law of CPI and predict its future trend under the new circumstances. This paper starts from the factors affecting the CPI, utilizes the monthly data of China’s consumer price index from January 2010 to March 2021, establishes the VECM model, conducts an empirical study on the relationship between the CPI and the influencing factors of the CPI, such as the MPI, M2, and PPI, and utilizes the VECM model to forecast the CPI from April to December 2021, which provides a certain reference basis for the governmental departments to formulate economic policy provides a certain reference basis. Finally, this paper concludes that China’s CPI will show an upward trend in the next six months or so, but the magnitude of the increase is not large, and the VECM model has a better forecasting effect, and corresponding policy recommendations are put forward based on the empirical results of this paper.

Keywords—Consumer Price Index (CPI), Vector Error Correction Model (VECM), impulse response, variance decomposition

Cite: Bingguang Zhou, "Empirical Analysis and Forecasting of CPI Based on VECM Modeling," Journal of Economics, Business and Management, vol. 12, no. 4, pp. 439-446, 2024.

Copyright © 2024 by the authors. This is an open access article distributed under the Creative Commons Attribution License which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited (CC BY 4.0).

 

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