## 4 Empirical Results and Discussion  
### The Direct Effects of Crude Oil Price Shocks  
We implement the impulse response function between each crude oil and eight price indices following the steps of Section 3.2.1. To explore the evolution of the direct impact of crude oil price shocks on each price index, we extract the first 15 months and their corresponding response values, shown in Figure 3 and Appendix A. It can be observed that the evolution trends of the response value of each price index to the four kinds of oil price shocks are similar. However, the degree and duration of the impacts are different from price index to price index. Crude oil price acts as one of the influencing factors on the Chinese price level, and the transmission mechanism of crude oil price fluctuation to Chinese commodities price is cost driven. Due to the long and complex industrial chain of the oil  
Figure 2: A simple unweighted transmission network. in the first three months, the influence of oil price shocks on different links of industrial chains is different, causing the price indices to be affected differently. The detailed analysis is as follows. First, the impact of crude oil price shocks on MPI and EPI is mainly due to the increasing transportation cost of international trade and the increasing cost of commodities production. As expected, there is a sustained and positive reaction in MPI (Figure 3a). Compared to other price indices, the response values of MPI to the shock in four crude oil prices are the largest in the first three months (see Appendix A). Furthermore, the responses to Brent, WTI, Dubai, and Daqing in the second month reach a peak of 0.6901, 0.7649, 0.6846, and 0.7778, respectively. The impact effects begin to subside right after the second month and die out in the eighth month. EPI (Figure 3d) cannot be directly affected by WTI oil price, and the responses of EPI to Brent, Dubai, and Daqing oil price fluctuations are more volatile. Specifically, EPI shows a positive response in the first two months. Then, it tends to decrease quickly, and the responses turn negative in the fourth month. However, the direct impacts of oil price shocks on EPI turn positive again and reach a peak of 0.6400 in the fifth month. The direct impacts could last for fifteen months. Second, crude oil can be industrially fractionated into various chemical materials and oil and gas products, which are the raw materials of industrial products. Thus, the crude oil price fluctuations could be transmitted to CGPI, PPI, and PPIRM directly. From  
Figure 3: The direct impacts of crude oil price shocks on each price index. The X-axis represents the time from the first month to the fifteenth month. (**a–f**) represent the direct effects of crude oil price shocks on MPI, RPI, CGPI, EPI, PPI, and PPIRM, respectively. We draw another figure to compare the response value of all price indices to a certain crude oil price shock; see Figure 1.  
Figure 3c,e,f, we can conclude that the reaction of CGPI, PPI, and RPIRM to the shock in oil price is similar. Furthermore, there is an immediate and positive response of the three price indices to a onetime shock in oil price. The impacts of oil price fluctuations are largest in the second month, after which the impacts decline sustainedly and turn negative. In the fifth or sixth month, the negative impacts reach the maximum. Furthermore, the degree of impact of Brent and Dubai oil price on CGPI is larger than that of Daqing, and PPI and PPIRM could only be directly affected by Brent and Dubai oil prices. The duration of the direct impacts on CGPI, PPI, and PPIRM is about 11, 12, and 9 months, respectively. Third, crude oil can also be industrially fractionated into refined oil products that can be directly consumed by consumers. When the price transmission mechanism is unobstructed, the influence of crude oil price fluctuation could transmit from upstream to downstream; that is, the consumer market could be directly affected by crude oil price fluctuations.