国际大宗商品期货价格与中国CPI的相关性实证研究

International bulk commodity future price and China CPI relation's demonstration research

美国次债危机以来大宗初级商品价格持续大幅波动,引发了关于我国大宗初级商品价格上涨是否是导致我国通货膨胀原因的讨论。本文对铜、原油、大豆和糖具有国际代表性的大宗商品价格与我国居民消费价格指数(CPI)进行实证分析,利用协整分析、格兰杰因果检验、脉冲响应函数等计量方法研究了我国大宗初级商品价格变化对CPI的影响。

Since the U.S.subprime mortgage crisis,the international commodity prices has continued to fluctuate.This led to a discussion of whether the increasing of commodity prices was the cause of Chinese inflation.In this paper,we take empirical analysis of Chinese consumer price index（CPI） and some representative international commodity prices which contained copper,crude oil,soybeans and sugar.We study the impact of international commodity prices shock on Chinese CPI,using cointegration analysis,Granger causality test,impulse response functions and other measurement methods.