基于商品期货价格的通货膨胀预测研究  

Research on inflation forecast based on commodity futures prices

作　　者：李宗龙 LI Zong-long(China Institute of Finance and Capital Markets,Beijing 100033)

机构地区：[1]中证金融研究院,北京100033

出　　处：《价格月刊》2022年第2期10-19,共10页

基　　金：国家社科基金“中国农村普惠金融的绩效评估与内生发展路径研究”(编号:15CJL031)。

摘　　要：利用商品期货价格对中国通货膨胀进行了实证分析和预测。研究发现,大宗商品期货价格对PPI和CPI的变动具有显著影响。回测结果表明,模型对PPI和CPI的短期预测能力相对良好,对中长期预测的误差虽有增大,但预测走势与实际走势大体一致。在此基础上对下一步通胀走势进行分析后发现:2022年PPI将呈现逐步回落趋势;短期内CPI有小幅上升的可能,未来一年内将回落至较低水平震荡。由于期货价格无法预测到中长期产业政策变动,因此预测模型无法捕捉到个别月份的大幅波动,但在趋势判断上仍有一定参考价值。This paper used commodity futures prices to conduct an empirical analysis and forecast of China’s inflation.The study found that commodity futures prices have a significant impact on the changes of PPI and CPI.The results of regression testing show that the model has a relatively good short-term forecasting ability of PPI and CPI.Although the error of mid-and long-term forecasts has increased,the forecast trend is roughly the same as the actual trend.On this basis,after analyzing the next inflation trend,it is found that PPI will gradually fall after a rise by 2022;CPI may rise slightly in the short term and will fall back to a lower level of shock in the next year.Since futures prices cannot predict mid-and long-term industrial policy changes,the prediction model can not capture the sharp fluctuations in individual months,but it still has a certain reference value in trend judgment.

关 键 词：通货膨胀 预测 商品期货价格 

分 类 号：F726[经济管理—产业经济]