After introducing the inflation expectation, this paper uses the co-integration test and VAR model to analyze the price fluctuation of agricultural products and the paper analyzes the relationship between inflation and inflation expectation. The results show that there is no co-integration relationship between agricultural product price fluctuation, inflation expectation and inflation, but agricultural product price fluctuation is Granger reason of inflation expectation. There is bi-directional Granger causality between inflation expectation and inflation. In the short run, there is volatility between the three in the current or lag phase 1 to reach the maximum.