中国粮价与通货膨胀关系的协整分析：2001-2005

Co-integration Analysis on Grain Average Price and Inflation in China from 2001 to 2005

文章利用2001～2005年CPI和批发粮价的月度数据进行协整分析，并构建均衡修正模型，实证检验了二者的关系。实证结果说明无论长短期通货膨胀对粮价都具有Granger因果关系，验证了通货膨胀通过改变粮食市场参与主体的预期影响粮价的假说；在长期粮价对通货膨胀具有Granger因果关系，粮价长期高位运行会导致通货膨胀，但在短期内粮价对通货膨胀的影响较弱，不支持粮价上涨短期内即会引发通货膨胀的观点。

This paper conducts a co- integration analysis of consumer price index and wholesale grain prices from 2001 to 2005, and provides an equilibrium correction model, which tests their relationship from an empirical view. Authors draw a conclusion that inflation exerts Granger causality on grain price in either long or short term, grain price exerts Granger causality on inflation in long term, but the effect is weak in short term.