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The relationship between oil and non-oil commodity prices and China's PPI and CPI: an empirical analysis

机译：石油和非油商品价格与中国PPI和CPI之间的关系：实证分析

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This paper empirically analyzes the relationship between oil and non-oil commodity prices and China's PPI and CPI. I show that the influences of oil and non-oil commodity price shocks on China's PPI and CPI are not totally the same, and are crucially connected with the underlying causes of price changes. Specifically, for oil prices, I find aggregate demand and specific demand shocks have significant effects on PPI, but these effects fail to be transmitted to CPI. Meanwhile, oil prices can predict PPI in the short term, but fail to predict CPI at any period. For non-oil commodity prices, I detect that aggregate demand shocks in metallic and agricultural commodities and supply shocks in metallic commodities have strong effects on PPI. Furthermore, aggregate demand shocks in wheat and soybeans and supply shocks in copper and aluminum can significantly affect CPI. In addition, copper, aluminum, wheat and soybean prices can forecast PPI at certain medium and high frequencies, while wheat prices can forecast CPI at frequencies between 0.66 and 1.77, corresponding to cycle lengths between 3.55 and 9.52 quarters.
机译：本文经验分析了石油和非石油商品价格与中国PPI和CPI之间的关系。我表明石油和非石油商品价格冲击对中国PPI和CPI的影响并不完全相同，并且与价格变动的潜在原因无关。具体而言，对于油价，我发现总需求和特定需求冲击对PPI产生显着影响，但这些效果无法传输到CPI。同时，油价可以在短期内预测PPI，但在任何期间都无法预测CPI。对于非石油商品价格，我发现金属和农产品的总需求冲击和金属商品的供应冲击对PPI具有很强的影响。此外，小麦和大豆的总需求冲击以及铜和铝中的供应冲击可以显着影响CPI。此外，铜，铝，小麦和大豆价格可以在某些介质和高频上预测PPI，而小麦价格可以在0.66和1.77之间的频率下预测CPI，对应于3.55和9.52季度之间的循环长度。

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