国际石油价格与我国物价水平关系的实证研究

摘要

This paper studies the relationship between international oil spot price （WTI） and Chinese Consumer Price Index （CPI） and Chinese Producer Price Index （ PPI）, conducting Cointegration theory, VEC model on the data of WTI, CPI and PPI for the period from January 2000 to August 2010. Empirical results show that there exists a long-term equilibrium relationship between the international oil price and China＇s price level; there isn＇t any Granger causality relation between WTI and CPI, the WTI is PPrs Granger causality, and there exist two-way Granger causality relation between CPI and PPI. By using the variance decomposition, it is found that, the influence on WTI caused by CPI and PPI is lagged and weak, so is the influence on CPI and PPI caused by WTI; the influence on PPI caused by WTI is remarkably larger than the influence on CPI caused by WTI; the influence on PPI caused by CPI is remarkably larger than the influence on CPI caused by PPI, this shows that the interaction between CPI and PPI is asymmetric.%本文基于协整理论和向量误差修正模型（VEC）对2000年1月至2010年8月国际石油价格（WTI）、中国居民消费价格指数（CPI）和工业品出厂价格指数（PPI）之间的关系进行实证研究。结果表明国际油价和我国物价水平之间存在着长期稳定的均衡关系；WTI与CPI间不存在任何方向的Granger因果关系，WTI是PPI变动的单向Granger原因，CPI与PPI间存在双向的Granger因果关系。方差分解分析进一步表明：CPI和PPI对WTI的影响滞后且较弱，而WTI对CPI和PPI的影响也明显滞后，WTI对PPI的影响显著大于对CPI的影响；CPI对PPI的影响显著大于PPI对CPI的影响，这表明CPI与PPI间的相互影响存在着不对称性。