利率调整和通货膨胀预期对大宗商品价格波动的影响——基于中国市场粮价和通货膨胀关系的经验研究

The Impact of Interest Rate and Inflation Expectation on the Price Fluctuation of Bulk-trading Merchandise ——A Positive Research on the Relation between Chinese Market Grain Price and Inflation

实证研究发现大宗商品价格与货币供给和真实利率存在密切关系,并且大宗商品价格的波动幅度往往要超过通货膨胀的波动幅度。本文在理论上提供了一个理性预期动态一般均衡模型,说明预期通货膨胀波动和利率调整通过改变真实利率影响经济主体的存货需求。存货需求波动进一步使得大宗商品价格波动幅度超过通货膨胀波动幅度,并使得大宗商品价格波动出现“超调”现象。将本模型应用到中国粮食市场发现中国粮食价格波动很好地支持了本模型的结论。

Positive research finds the close relation between the price of storable merchandise and money supply. This paper builds a rational expectation dynamic model to explain the mechanism through which inflation expectation and interest rate change the demand for inventory investment and drive the Bulk-trading merchandise price to fluctuate much more dramatically than inflation. Further more the model is supported by the data of Chinese foodstuff price.