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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, commodity prices continue to fluctuate, attracting the attention of industry and academia. At present, there is little literature on the relationship between the domestic commodity price index and other price indices. Therefore, it is worthwhile to study the relationship between CCPI (China’s bulk commodity price index) and PPI. This paper uses the quarterly data of CCPI and PPI in China and VAR model to discuss the relationship between CCPI and PPI. The results show that on the one hand, the domestic CCPI indicators have important reference value, CCPI has a positive impact on PPI in the short term, and the former has a stabilizing effect on the latter in the long run. On the other hand, CCPI in China is more volatile than PPI, so it is difficult to interpret PPI changes alone. Other factors need to be considered.