我国大宗商品价格指数与生产价格指数的关系研究

Research on the Link between China Commodity Price Index and Producer Price Index

近年来大宗商品价格持续波动,引起产业和学界的关注。目前研究国内大宗商品价格指数与其他价格指数关系的文献较少,因此探讨CCPI(中国大宗商品价格指数)与PPI之间的关系,将是一个值得研究的课题。本文利用国内CCPI和PPI季度数据,采用VAR模型,探讨CCPI与PPI之间的关系。研究结果表明,一方面,国内CCPI指标有重要参考价值,短期内CCPI对PPI有着正向冲击作用,长期内前者对后者有着稳定性影响。另一方面,国内CCPI较PPI而言,波动幅度较大,难以单纯用PPI变动进行解释,还需要考虑其他因素。

In recent years, the fluctuation of commodity prices has aroused the attention of industry and academia. At present, there are few literatures about the relationship between domestic bulk commodity price index and other price indices. There-fore, this paper mainly employs the domestic CCPI and PPI quarterly data, and selects the VAR model to discuss the link between CCPI and PPI. The results show that, （1） the domestic CCPI index has important reference value because it has a positive impact on PPI in the short run while it has a stable impact on the latter in the long run, and that （2） the PPI is less volatile than domestic CCPI and does not Grange-cause the latter, so it is difficult to explain the change of CCPI by PPI alone.