The Econometric Analysis of the Dynamic Path of Price Index Based on the SVAR Model

This paper establishes an SVAR model using time series analysis to examine the dynamic changes in China’s Consumer Price Index (CPI) and Producer Price Index (PPI) from January 2015 to April 2023. An empirical study is conducted using impulse response functions to explore the mechanisms of interaction between the two indices. The results indicate that both the CPI and PPI are highly sensitive to changes within their own price series, with shocks exerting a persistent and stable impact. Additionally, there is a significant mutual influence between the CPI and PPI in response to each other’s price shocks, but the magnitude and direction of the responses differ, suggesting an asymmetry in their mutual impact.