中国金融市场波动如何影响国际大宗商品价格

How Does China’s Financial Market Fluctuation Affect International Commodity Prices?

本文从“宏观经济反映”渠道、金融市场信息传递渠道、外汇市场预期渠道等角度构建了中国金融市场影响国际大宗商品价格的作用机制,并以中国股票市场与人民币NDF市场为例,利用ARDL模型和SVAR模型,实证研究了中国金融市场波动对RJ/CRB指数、石油、基本金属和贵金属等国际大宗商品价格的影响,结果显示:(1)金融危机前,中国股票市场对国际大宗商品价格没有影响,但人民币NDF汇率对部分工业金属品种已产生影响;(2)金融危机后,中国股票市场和NDF汇率对除黄金之外的商品品种价格影响均十分显著,和金融危机前相比,中国金融市场的影响力明显提升;(3)相对于人民币外汇市场,中国股票市场对国际大宗商品价格波动的解释力更强,但与美国股票市场指数、美元指数等国际金融市场因素相比,中国金融市场因素的解释力和影响力还明显不足。本文研究表明,大宗商品市场上“中国因素”不仅体现在实际需求因素上,同样也体现在金融市场因素上,但中国金融市场的影响力仍有巨大的提升空间。

This paper constructs an influence mechanism of China's financial market on the international commodity prices from the perspectives of "macroeconomic reflection"channel,financial market information transmission channel and foreign exchange market expectation channels.By using the ARDL model and the SVAR model,this paper makes an empirical study based on the RJ /CRB index,oil,base metals and precious metals.The results show that:(1) Before the financial crisis,the Chinese stock market has no effect on the international commodity prices,but the RMB NDF rate has an impact on some industrial metal varieties;(2)After the financial crisis,the impact of China's stock market and RMB NDF rate on the prices of commodity varieties except gold has been significant.Compared with that before the financial crisis,the influence of China's financial markets has obviously improved.(3)Compared with RMB FX market,the Chinese stock market is more powerful in explaining the movements of international commodity prices.However,the explanatory power and influence power of China's financial market is still obviously lower than other international financial factors such as the U.S.stock market index and the U.S.dollar index.The paper shows that the "China factor"in the international commodity market is not only reflected in the actual demand but also in financial market.However,the influence of Chinese financial market factor is still weak and there is still much room for improvement in the future.