大宗商品价格中的中国因素和金融因素

Factors from China and of Finance upon the Price of Commodity

针对2003年以来大宗商品价格剧烈变动引起的争论,本文采用CFTC数据构建了一个大宗商品金融投资与投机指数来代表金融因素,以中国工业增加值代表中国因素,采用结构VAR的方法对1998年1月到2012年8月大宗商品的价格变化因素进行了量化分析。脉冲响应函数显示中国因素和金融因素在整个样本期间对大宗商品价格影响显著。而分段的方差分解发现2003年12月之后中国因素和金融因素对价格变化的贡献显著增强,两者加总达到了45%,比2003年12月之前翻了一倍以上。最后,本文提出相关的政策建议。

There has been ongoing debate about commodity price fluctuation since 2003.The paper constructs a commodity financial investment and speculation index to represent financial factors.By taking China's industrial value added to represent Chinese factors and adopting the structural VAR method,it makes a quantitative analysis on the commodity price change between January 1998 and August 2012.Impulse response function shows that Chinese factors and financial factors have significant effects on commodity price in the whole sample period.The sub-sample variance decomposition finds that the effects of Chinese factors and financial factors on commodity price have been increased significantly(45% to be exact) since December 2003,more than twice as high as before 2003.Finally,the article puts forward policy suggestions.