投机行为还是实际需求?——国际大宗商品价格影响因素的广义视角分析

Speculation or Real Demand? A Multi-vision Economic Analysis of the International Commodity Prices Impact Factors

本文建立因素增强型向量自回归模型体系,选择涵盖美国与中国实体经济、国际投机因素、商品期货市场供需与库存状态的532个经济指标,对国际大宗商品价格影响因素进行多视角实证研究。结果表明:在长期,实体经济因素是大宗商品价格上涨的主要动力;在短期,国际投机因素导致了大宗商品期货的金融化;中国因素的作用是间接的,不是主要的。因此,问题的关键在于监控大宗商品期货指数化投资中的短期投机势力。

The key of explaining the rapid rise and sharp volatility of commodity prices is to choose a more thorough and solid methodology. This paper provides an economic analysis and robustness test in whole perspective to explore commodity prices impact factors using a Factor-Augmented Vector Auto-regression （FAVAR） model with latent factors extracted from a broad dataset. The dataset includes 532 indicators of monthly frequency, which covers the real economy of the world, international speculative behaviors, supply and demand as well as inventory status of international commodity markets. Empirical evidence indicates that the real economy is the main driver of dynamics of commodity prices in the long run, while in the short run, international speculative power leads to the finaneialization of commodity futures, therefore is the leading force in determining commodity prices. The results also show that Chinese factors, such as growing demand, is indirect and not major. Therefore, the key to solving the problem is to monitor the forces of short-term speculation in commodity futures index-based investment.