中国有色金属价格变化中的货币因素和预期形成：基于金属指数的实证研究

The Impact of Monetary Factor in Chinese Nonferrous Metal Price Movement and its Expectation Formation:An Empirical Study Based on Metal Price Index

从货币视角来理解大宗商品价格变化对经济运行和宏观调控具有重要影响。基于所构建的有色金属指数,分别利用VAR框架和H-P滤波并构造冲击因子回归的方法,实证研究货币因素对中国有色金属价格的影响及其价格预期的形成。实证发现:1中国有色金属现货价格与货币等变量间存在稳定的长期均衡关系,货币流动性对有色金属价格有显著的正向效应和较长的持续效应,而经济活动变量对价格的影响为负,表明富有弹性的生产和供给所对应的产量机制对有色金属价格的抑制作用,要强于出于便利收益的库存需求机制的影响;2在2006年6月前后货币冲击对有色金属价格的影响存在结构变化,且货币冲击的重要性强于经济活动冲击;3存在由滞后期期货价格形成我国有色金属价格的预期形成机制,结构变化后市场风险主要源于国际市场并向国内传导。

This paper empirically studies the influence of money factor on nonferrous metal price and the expectation formation in Chinese market based on VAR methodology and regression models on shock factors constructed from H-P filtering method. Results show that. （1） the long-run equilibrium between money factor and Chinese metal price exists, and money liquidity positively and significantly influence the price with long-lasting period, contrary to the negative effect of economic activity. （2） Significant evidence for structure change is found, i. e. , the influence of money shock on metal price around June of 2006 is different, and the influence of money shock is significantly stronger than that of economic activity shock. （3） There exists an expectation formation mechanism of lagged futures prices on spot metal price, with the risk mainly originating from international market and conducting to Chinese market.