摘要
近年来,在多种因素推动下,国际大宗商品价格出现剧烈波动。大宗商品市场的价格动态及其经济影响效应持续地吸引全球范围内经济学研究者、国际机构研究者和政策制定者们的研究关注。本文采用动态分层因子模型(DHFM)获取各类国际大宗商品价格的公共因子,实现数据降维,进而探讨国际大宗商品价格动态。在此基础上,本文选取了1996年4月至2021年12月的月度数据,构建因子扩展向量自回归模型(FAVAR)以及时变参数因子扩展向量自回归模型(TVP-FAVAR),实证研究了国际大宗商品价格冲击对中国股票市场的影响及其时变属性。本文实证研究结果表明:(1)动态分层因子模型(DHFM)在提取各类国际大宗商品价格的共同趋势方面具有良好的表现,它能够更好地利用数据结构特征捕捉到不同种类国际大宗商品价格的变动趋势;(2)国际大宗商品价格上涨在初期会提高中国股票价格指数,中国股票价格指数的上涨幅度在第2个月达到最大。然而,从第7和第8个月开始,国际大宗商品价格上涨对中国股票价格指数的影响效应由正向转变为负向,负向影响较小,但是持续时间较长;(3)国际大宗商品价格上涨在短期内会造成中国股票成交金额上涨。相较于股票价格指数,国际大宗商品价格上涨对股票成交金额影响持续时间更短;(4)自2006年以来,国际大宗商品价格上涨对中国股票价格指数短期的正向影响呈现出不断增强的趋势,而中长期负向影响则表现出逐渐减弱的态势。并且,宏观经济的不利情况会削弱国际大宗商品价格上涨在短期对中国股票价格指数的正向影响,同时加强中期以及长期的负面影响。本文的研究结论有利于经济研究者和政策制定者更好地把握国际大宗商品价格的变动趋势以及对我国金融市场造成的影响,并为投资者及时优化投资组合,调整交易策略,降低由国际大宗商�
In recent years, international commodity prices have fluctuated violently driven by various factors. The price dynamics of commodity markets and their economic impact continue to attract the attention of economic researchers, international organizations’ researchers and policymakers around the world. This paper extracts the commodity price co-movement from several commodity prices by employing a dynamic hierarchical factor model(DHFM), which helps us analyze commodity price dynamics well. Based on estimated common factors via DHFM, this paper conducts a FAVAR model and a TVP-FAVAR model with monthly data from 1996M4 to 2021M12 to empirically explore the impact of the commodity price shock on the stock market in China, as well as the time-varying effects. The results show that:(1)The dynamic hierarchical factor model(DHFM)has an excellent performance in extracting commodity price co-movement. It can capture the characteristics of different commodity categories by using data structure effectively.(2)Rising commodity prices could increase the Chinese stock price index in the initial stage, and this positive impact will peak in the second month. However, the stock price index’s positive response will be changed to negative after the seventh or eighth month, despite being smaller in magnitude and having a longer duration.(3)Rising commodity prices will lead the amount of Chinese stock turnover to rise in the short run. Compared to the stock price index, the impact of rising commodity prices on stock turnover has a shorter duration.(4)Since 2006, the positive short-run impact of rising commodity prices on the Chinese stock price index has been increasing, while its negative mid-run and long-run impacts have been declining. Additionally, the bad macroeconomic state will weaken the positive short-run impact on Chinese stock price and strengthen the negative mid-run and long-run impact. The conclusions of this paper are conducive for researchers and policymakers to understand the trend of international commodity price
作者
张天顶
施展
Zhang Tianding and Shi Zhan(Economics and Management School,Wuhan University,Hubei 430072,China)
出处
《南开经济研究》
CSSCI
北大核心
2022年第11期59-74,114,共17页
Nankai Economic Studies
基金
国家自然科学基金面上项目(71673205)资助。
