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从货币视角来理解代表性大宗商品价格变化对产业发展、经济运行和宏观调控具有重要影响。本文通过扩展的Frankel&Rose(2009)模型并控制国际市场风险因素,实证研究货币因素对中国铝价的影响及其预期形成。实证表明:(1)中国铝现货价格与货币间存在稳定的长期均衡关系,货币流动性对铝价有显著的正向效应和较长的持续效应,而经济活动变量对铝价的影响为负;(2)在2008年金融危机及我国货币政策调整前后,货币冲击对铝价的影响存在明显的结构变化,且货币冲击的重要性显著强于经济活动冲击;(3)存在由国际和国内滞后期期货价格形成我国铝价的预期形成机制,但受金融危机和结构变化的影响,市场的铝价预期形成变化明显,从危机前更乐观的预期转向危机后明显谨慎的预期形成。
From a monetary perspective, it is important to understand that changes in the prices of representative commodities have an important impact on industrial development, economic operation and macroeconomic regulation and control. This paper empirically studies the impact of monetary factors on the aluminum price in China and its expected formation through the extended Frankel & Rose (2009) model and the control of international market risk factors. Empirical results show that: (1) There is a stable long-term equilibrium relationship between the spot price of aluminum and the currency in China. The liquidity of the currency has a significant positive effect and a long-lasting effect on the aluminum price, while the effect of the economic activity variable on the aluminum price is negative ; (2) Before and after the financial crisis in 2008 and the adjustment of China’s monetary policy, the impact of currency shock on aluminum prices has obvious structural changes, and the importance of currency shocks is significantly stronger than that of economic activities; (3) The lagged futures price formed the expected formation mechanism of aluminum price in our country. However, due to the impact of financial crisis and structural changes, the aluminum price in the market is expected to change evidently from more optimistic expectations before the crisis to expected cautious expectations after the crisis.