西方国家货币政策与国际大宗商品的价格动态

Monetary policies in G7 countries and Price Dynamics of the International Commodities

为了探讨西方国家货币政策对国际大宗商品价格变化的影响作用,文章首先在货币主义理论框架下建立了结构性理论模型,借此考察了货币政策影响国际大宗商品价格动态变化的机制。随后,基于1993年1月至2014年12月的月度统计数据,采用量化手段测量了西方国家货币政策立场,分离出国际大宗商品价格动态变化的共同成分,通过机制转换协整以及门限协整等非线性协整检验方法进行了实证研究。实证研究表明:国际大宗商品价格的共同成分与全球流动性过剩之间存在着长期均衡以及非对称调整关系。

To explore the relationship between the monetary policies in the G7 countries and the price dynamics of the international commodities,this paper constructs a structural model from the perspective of monetarism intuition. Based on the theoretic analysis,this paper discussed the effect of monetary policies in G7 countries on the price of the international commodities by using cointegration method for the empirical studies covering the period from January 1993 to December 2014. The empirical results show that there are threshold co-integration and the asymmetry adjustment between the movement of the international commodities and the global liquidity. Finally,this paper gives some policy advices based on the theoretical and empirical results.