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首页> 外文会议>International Conference on Information Management, Innovation Management and Industrial Engineering;ICIII 2009 >A Comparative Study on Transmit Mechanism among Commodity, PPI and CPI in China and U.S
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A Comparative Study on Transmit Mechanism among Commodity, PPI and CPI in China and U.S

机译：中美商品，PPI，CPI传导机制的比较研究

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摘要

Based on post-WTO sample data, this paper investigates the interaction among commodity price index, PPI and CPI after China has entered World Trade Organization (WTO) and fulfilled its promise of opening certain sectors. Granger casualty test is employed to conduct this research and the test result shows that the most international commodity price index, Rogers International Commodity Index (RICI), can transmit the fluctuation of commodity price to CPI via PPI with a time lag of two quarters, exactly the sum of price-transmit lag from RICI to PPI and from PPI to CPI. In addition, this paper also explores the relationship among RICI, U.S. PPI and U.S. CPI during the same period and reveals that the same transmit mechanism existed for U.S. data as well. Besides, this paper also compares the rate of return of various asset classes with RICI. The comparison figures out a way for institutional investors such as social security fund not only to have a return beating inflation but also to profit from it by including commodity in the portfolio.
机译：本文基于世贸组织后的样本数据，研究了中国加入世界贸易组织（WTO）并履行了开放某些部门的承诺后的商品价格指数，PPI和CPI之间的相互作用。采用格兰杰伤亡检验进行了研究，检验结果表明，国际上最昂贵的商品价格指数罗杰斯国际商品指数（RICI）可以将商品价格的波动通过PPI传递到CPI，时间差为两个季度。从RICI到PPI以及从PPI到CPI的价格传递滞后的总和。此外，本文还探讨了RICI，美国PPI和美国CPI在同一时期之间的关系，并揭示了对于美国数据也存在相同的传输机制。此外，本文还通过RICI比较了各种资产类别的回报率。比较结果为诸如社会保障基金之类的机构投资者提供了一种不仅战胜通货膨胀的回报，而且通过将商品纳入投资组合而从中获利的方法。

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