Based on the fact that there is significant heterogeneity in different sectors, by taking 8 sectors for China to make CPI statistics as an example, by using the data during the first season of 2002—the fourth season of 2012, the impact of the shocks of the exogenous supply of the sectors and aggregate supply shocks on aggregate inflation is examined, and the results show that the effect of food sector supply shocks on the aggregate inflation shocks is the biggest, that the exogenous supply shocks from different sectors have different shocks effect on total inflation, on this basis, conditional variance solution results reveal that the supply shocks from food sector and clothes sector as well as total supply shocks play an important role in the boosting of the volatility of aggregate inflation. However, the supply shocks from other sectors have relatively corresponding small but strongly lasting effect on aggregate inflation volatility. The research shows that overlooking the heterogeneity from different sectors but constructing the models based on total economy may cause the deviation of the conclusion, that the shocks of China’s food sector supply have the biggest effect on the inflation. As a result, the commodity prices stability should first of all stabilize the prices in food sector.