Article ID Journal Published Year Pages File Type
7375105 Physica A: Statistical Mechanics and its Applications 2018 14 Pages PDF
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.
Related Topics
Physical Sciences and Engineering Mathematics Mathematical Physics
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