การศึกษาความสัมพันธ์ในระยะยาวของดัชนีราคาผู้บริโภคกับราคาสินค้าโภคภัณฑ์ในประเทศไทยและการป้องกันความเสี่ยงจากอัตราเงินเฟ้อ / กานต์ ศิริพรพาณิชย์=The Study of Commodity Prices and Consumer Price Index in Thailand and Hedging of Inflation Risk / Karn Siripornpanich
This research studies the relationship of the commodity prices, both soft and hard, that might affect the core inflation rate in Thailand. Crude oil, processed oil, gold price both domestically and world market, agriculture product such as rubber, are among the prices included in this study. The range of commodity price data is collected daily in working days from 1 January 2000 to 31 December 2011. The data are compiled into monthly average. The core consumer price index is collected monthly in the same period as the commodity price data. The test begins with stationary test by unit root method. Then, the relationship between commodity prices and core consumer price are tested using cointegration test.
The gold price in Thailand and the gold price in NY market are tested for cointegration, too. If cointegration is presented, the error correction model is created to observe the re-balance change of the data if there is any fluctuation that causes the data to deviate out of the cointegration trend. The result shows that the gold price and the core consumer price are cointegrated. The gold price in Thailand and the gold price in NY market are also cointegrated. The other commodity prices finds no cointegration with the core consumer price on Thailand.
