Under The DAG SVAR Identification Method Of Price Influencing Factors

Price has always been a more economic operation of the core index, one of the four objectives of maintaining price stability is the national macro-control. Cause there are a lot of price fluctuations, supply of goods and services, social demand, money supply, inflation, raw material prices, exchange rates and the use of various fiscal policy will have an impact on price fluctuations. The various factors affecting the price fluctuations have also been factors are hot research scholars.Firstly, on the background and significance of the sort and systematic exposition of the second section of the more comprehensive theory and research status of price fluctuations were combing and production elements of the system and summarize the main factors affecting the price fluctuations. After the theory of the causes of price volatility are currently involved in the analysis for later empirical analysis of selected variables provide a theoretical basis for the second part of the description of the statistical analysis of all relevant factors and price trends. The third chapter introduces the article econometric models and the identification method to use, including the VAR model, SVAR model, DAG(directed acyclic graph) recognition models, these models later analysis will be widely used. From Chapter IV entered the part of empirical analysis based on the first three chapters of the bedding, choose the gross domestic product(GDP), broad money supply(M2), the inflation rate(IR), the real effective exchange rate(RER), fixed assets investment(FI), the total value of imports(IM) and raw material purchase price index monthly data(RP) and other variables were studied. First ADF unit root test using DAG model approach based on the establishment of the basis of VAR model to make the current conduction process variables, theory of constraints of the basic conditions for the next SVAR model. After the establishment of SVAR model C model, changing experiences and practices in the matrix B is defined as the lower triangular matrix direct approach, using DAG model has been derived for the matrix constraint. Finally, impulse response analysis and variance decomposition. Finally, according to the 2015 China the price situation and the conclusions given above policy thinking in the current situation.The innovation of this article innovation of this paper lies in the following three aspects: First, select a more comprehensive economic indicators, other articles are single variable or four variables affect the majority of the price, the paper selected economic theory involves a more comprehensive, using seven variables; the second is a reference structural vector autoregression model, most of the following triangular matrix is constrained directly or assumptions constraints. In this paper, directed acyclic graph model directly to the current variable causality constraints provide a more scientific basis for the SVAR model identification, but also for the impulse response analysis variables sorted provide a theoretical basis. Third, the amount of data to more fully use the monthly data for 15 years, about 180 sets of data, variable degrees of freedom is more abundant, and the use of data after 2000 are the reason the residents consumer price index before this does not include services.Contents and methods of this paper have on domestic prices and changes in the mechanism of monetary policy research issues such as positive and help the government macro-policy implementation as a reference, so the paper also has a strong practical significance.