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.