摘要
基于商品超调模型,引入汇率超调理论,建立两国模型,分析溢出效应;又引入流动性冲击变量,建立关于大宗商品价格指数、实际利率与流动性变量的VAR模型以及用美元强弱指标替代全球流动性变量的对比分析模型。在此基础上进行脉冲响应与方差分解分析,结果表明:大宗商品价格与短期实际利率存在显著负相关关系,但与长期实际利率关系不大;全球实际利率的溢出效应广泛存在且显著,尤其是在浮动汇率制度国家;利率冲击对于大宗商品价格的影响比流动性冲击更加显著且持久。
This paper builds two -country model based on the commodity overshooting model and in- terest rates overshooting theory, introduces liquidity shock variables, and builds the VAR model on com- modity prices index, real interest rates and global liquidity, and the contrastive analysis model by using dollar strength index to replace global liquidity variables, on which to analyze impulse response and variance decomposition. The empirical results of this article show that： Firstly, commodity prices and the short - term real interest rate have a significant negative correlation, but have much less to do with the long -term real interest rate. Secondly, the spillover effects of global real interest rate are widespread and significant, especially in the countries with floating exchange rate system. Thirdly, the impact of global real interest rate is more significant and lasting than the imoact of liquidity.
作者
蔡伟毅
徐新宇
戎奇明
CAI WeiYi;XU XinYu;RONG QiMing(School of Economics,Xiamen University,Xiamen 361005;School of Information Management ＆ Engineering,Shanghai University of Finance and Economics,Shanghai 200433)
出处
《财贸研究》
CSSCI
北大核心
2018年第6期58-72,共15页
Finance and Trade Research
基金
教育部人文社会科学研究一般项目"模仿-创新之跨越及资本输出中技术优势形成解析"(15YJC790003)
中央高校基本科研业务费专项资金资助项目"基于资本输出背景下的技术进步与产业结构升级"(20720161016)
