国际资源价格波动因素冲击测度分析——基于FAVAR模型

An Analysis of the Impact Measurement of International Resource Price Fluctuations: Based on FAVAR Model

通过拓展新古典经济学中的供求均衡价格论,将国际资源价格影响因素内生化,构建广义供求均衡价格论。基于1997年1月-2012年12月数据,选取涵盖美国与中国实体经济、金融因素、投机因素、供需与库存的14个经济变量为研究对象,建立因素增强型向量自回归模型——FAVAR模型,系统考察各变量对国际资源价格波动的冲击贡献。研究发现,由"实体供求+投机供求"的"广义供求"决定国际资源均衡价格。从长期看,美国实体经济需求是国际资源价格的主要推手,投机供求并非国际资源价格波动的关键因素;从短期看,投机供求对国际资源价格冲击明显增强,美国量化宽松对国际资源价格波动冲击效应明显。从中美因素比较来看,无论是在长期还是短期,"中国因素"对国际资源价格冲击贡献一直低于"美国因素",但"中国因素"短期贡献明显大于长期。

Through expanding the theory of supply-and-demand equilibrium price in the neoclassical economics, this paper endogenizes all the factors affecting international resource prices to construct the theory of generalized supply-and-demand equilibrium price. Based on the data from January 1997 to December 2012, it selects 14 economic variables, covering American and Chinese real economy, fi- nancial factors, speculative factors, supply and demand, and inventory, as the research object, so as to establish a factor-augmented vector autoregression model -- FAVAR model. Then it systematically in- vestigates the impact and contribution of the various variables on and to the international resource price fluctuations. The results show that the generalized supply and demand （made up of entity sup- ply-and-demand ＋ speculative supply-and-demand） can determine the international resource equilibrium price. In the long run, U. S. real economic demands is the main factor pushing the international re- source prices, while the speculative supply-and-demand is not the key factor in the fluctuation of in- ternational resource prices. In the short run, the speculative supply-and-demand has a more powerful impact on the international resource prices, U.S. quantitative easing has a significant impact on the fluctuation of international resource prices too. Compared with both American and Chinese factors, no matter in the long run or in the short run, Chinese factors always have weaker impact on the interna- tional resource prices than American factors, but the short-term effect is stronger than the long-term effect.