The transmission of fluctuation among price indices based on Granger causality network

Qingru Sun, Xiangyun Gao, Shaobo Wen, Zhihua Chen and Xiaoqing Hao

Physica A: Statistical Mechanics and its Applications, 2018, vol. 506, issue C, 36-49

Abstract: In this paper, we provide a method of statistical physics to analyze the fluctuation of transmission by constructing Granger causality network among price indices (PIGCN) from a systematical perspective, using complex network theory combined with Granger causality method. In economic system, there are numerous price indices, of which the relationships are extreme complicated. Thus, time series data of 6 types of price indices of China, including 113 kinds of sub price indices, are selected as example of empirical study. Through the analysis of the structure of PIGCN, we identify important price indices with high transmission range, high intermediation capacity, high cohesion and the fluctuation transmission path of price indices, respectively. Furthermore, dynamic relationships among price indices are revealed. Based on these results, we provide several policy implications for monitoring the diffusion of risk of price fluctuation. Our method can also be used to study the price indices of other countries, which is generally applicable.

Keywords: Complex network theory; Time series; Granger causality; Price transmission; Price indices (search for similar items in EconPapers)
Date: 2018
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Citations: View citations in EconPapers (12)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:506:y:2018:i:c:p:36-49

DOI: 10.1016/j.physa.2018.04.055

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