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本文发展了一个包含货币因素和预期形成的大宗商品价格模型,并以中国铜市场为例,基于VAR框架实证研究了货币供给量与商品价格之间的长期关联和短期动态关系,进而通过H-P滤波方法构造冲击因子并利用包含结构变化的回归模型研究了货币冲击对铜价的影响。研究表明:1中国铜现货价格与货币和经济活动等变量间存在稳定的长期均衡关系,且货币流动性对铜价存在显著的正向影响和较长的持续效应,而经济活动水平则对铜价存在负向影响;2在2006年6月前后存在结构变化的明显证据,结构变化后中国货币流动性、中国铜期货市场和存货对铜价的影响均显著增强,铜市场参与者对国际市场风险的变化更趋谨慎,而对国内市场风险则保持了较乐观的情绪;3存在由国际和国内滞后铜期货价格形成我国铜价的预期形成机制,但结构变化前中国铜价预期形成主要依赖于国际期货市场,在结构变化后中国铜期货市场的影响显著提升。
In this paper, we develop a commodity price model that includes monetary factors and expected formation. Taking the Chinese copper market as an example, this paper empirically studies the long-term and short-term dynamic relationship between the money supply and the commodity price based on the VAR framework. Methods The impact factors were constructed and the impact of currency shocks on copper prices was studied using a regression model that includes structural changes. The research shows that: 1 There is a stable long-term equilibrium relationship between the spot price of copper and the variables such as monetary and economic activities in China, and the currency liquidity has a significant positive effect and long-lasting effect on the price of copper while the level of economic activity has a positive effect on the price of copper Negative impact; 2 there is clear evidence of structural change around June 2006; the structural liquidity of China’s currency, the impact of China’s copper futures market and inventories on copper prices have been significantly enhanced, copper market participants’ changes in international market risk More cautious, while maintaining a more optimistic mood for domestic market risks.3 There is an expected formation mechanism of copper prices in China due to the international and domestic delayed copper futures prices. However, before the structural changes, the expected formation of China’s copper prices mainly depends on the international futures market, The impact of China’s copper futures market has improved significantly after the structural change.