全球流动性对国际大宗商品价格的影响——基于TVP-FAVAR模型和2000—2017年数据的实证分析

The Effect of Global Liquidity on International Commodity Prices——Empirical Analysis Based on TVP-FAVAR Model and 2002-2017 Data Sample

本文分别从数量指标和价格指标两个层面测度全球流动性,结合因子增广向量自回归模型(FAVAR)和具有时变参数的因子增广向量自回归模型(TVP-VAR)对2000—2017年全球流动性对国际大宗商品价格的影响进行分析。结果发现:2000年以来全球流动性的冲击对国际大宗商品价格影响显著,其中以数量指标衡量的全球流动性对商品价格冲击为正,以价格指标衡量的全球流动性对商品价格冲击为负;自2004年开始,数量型流动性冲击对国际商品价格的影响不断增强,在金融危机前后有效推动了国际大宗商品价格的上涨,2010年以来数量型流动性的驱动作用有所减弱,而价格型流动性的负向作用在危机时更明显。

This paper measures global liquidity from quantitative and price indicators,combined with FAVAR and TVPFAVAR model to analyze the impact of global liquidity on international commodity prices from 2000 to 2017.The result shows that global liquidity has a significant impact on international commodity prices since 2000.The global liquidity shocks on commodity prices measured by quantitative indicators is positive,and the price liquidity shocks is negative;Since 2004,the impact of quantitative liquidity shocks has been increasing,and has effectively promoted the rise of international commodity prices before and after the financial crisis.Since 2010,the driving force of quantitative liquidity has weakened,while the negative effects of price liquidity are more significant in times of crisis.