摘要
本文基于1997-2012年的季度数据和向量自回归误差修正(Recursive VECM)模型,研究国际大宗商品价格的驱动因素及中国因素的相对重要性。结果发现,总需求是国际大宗商品价格的主要影响因素。中国因素对国际大宗商品价格的影响呈增大趋势,但是作用不如发达国家显著,而且其影响机制主要是总需求而非流动性。金融危机影响了大宗商品市场的运行机制,总需求对大宗商品价格的影响在危机时期比危机前更显著,而流动性对大宗商品价格的影响在危机前比危机中更显著。为减小国际大宗商品价格波动给中国经济带来的负面冲击,中国需要转变经济增长模式,提高在国际大宗商品定价中的主导权,同时密切关注发达国家货币政策对大宗商品市场的溢出效应。
This paper uses recursive VECM model and quarterly data from 1997 to 2012 of the five developed economies and China＇s maeroeeonomie variables to investigate what determines the international commodity price fluctuation and the importance of China＇s factor. The results show that China＇s economic growth is the main driver of international commodity price. The impact of China＇s factor on commodity price fluctuations is increasing in recent years, but it is still lower com- pared to developed countries. The main channel of China＇s factor is economic growth rather than money supply. Global finan- cial crisis changed the world commodity market, making the impact of aggregate demand more important in the crisis than be- fore the crisis, while the impact of global liquidity less important in the crisis than before the crisis. China should change the model of economic growth, improve the pricing ability in the world commodity market and pay attention to the spillover effects of developed countries to the international commodity market.
出处
《国际金融研究》
CSSCI
北大核心
2014年第10期75-86,共12页
Studies of International Finance
基金
国家社会科学基金一般项目(12BGJ042)
2012年教育部"新世纪优秀人才支持计划"(NCET-12-0994)
北京高等学校"青年英才计划"(YETP0994)
中央财经大学青年科研创新团队"系统性金融风险的识别
度量与管理"(ZYCJCXTD001)的资助
关键词
国际大宗商品价格
全球流动性
总需求
中国因素
International Commodity Price
Global Liquidity
Aggregate Demand
China＇s Factor
