大宗商品国际市场价格波动的影响因素研究——基于分组国家的比较

Research on the Influence Factors of Commodity Price Fluctuation in the International Market——Comparison of Grouping Countries

大宗商品作为基础性商品,近年来其价格的频繁剧烈波动受到高度关注。本文以世界八大经济体为代表,运用PVAR模型从全球角度分析大宗商品国际市场价格波动及其影响因素;并将上述八大经济体分为发达国家和新兴市场国家,通过对两组国家分别建立PVAR模型和脉冲响应函数,比较分析两组国家对大宗商品价格影响的不同。研究发现:从全球角度来看,实体经济对大宗商品价格波动影响的持久性较强,货币金融因素的短期影响强度较大;从分组国家的比较分析来看,发达国家的利率政策、新兴市场国家的货币政策是造成大宗商品价格波动的重要原因;两组国家各变量对大宗商品价格波动的贡献有所不同,发达国家短期利率水平的贡献度强于新兴市场国家,货币供应量的贡献度弱于新兴市场国家,新兴市场国家国内生产总值的冲击较发达国家滞后一个时期。

Commodities are basic materials. The frequent and violent fluctuation in commodity price is highly concerned.This paper chooses eight economies as the global representatives and uses PVAR model to analyze the influence factors of the price fluctuation of commodities in the international market. The eight economies are divided into developed economies and emerging economies. PVAR model and impulse response function are established by the two group economies to comparatively analyze the different impact of the two group economies on the commodity price. The results show that, from a global perspective, the impact of global real economy on commodity price fluctuation is enduring and the immediate impact of global monetary and financial condition is powerful. The comparative analysis of the two group economies show that the interest policy of developed economies and the monetary policy of emerging economies are important factors for the fluctuation of commodity price. The contribution of the representative variables to the fluctuation of commodity price is different in the two groups. The contribution of the short-term interest rate in developed economies is stronger than that in emerging economies.The contribution of money supply in developed economies is weaker than that in emerging economies. The shock of GDP fluctuation in emerging economies is lagging behind that in developed economies.