国际大宗商品价格与国内宏观经济变量的关系——基于VAR模型的实证研究

Commodity Prices and Domestic Macroeconomic Variables an Empirical Analysis based on the Model of VAR

通过利用Granger因果关系检验对国际大宗商品和我国宏观经济变量之间的关系进行实证研究,结果表明二者之间确实存在长期协整关系,之后利用脉冲响应分析,得出国际大宗商品价格波动对我国的居民消费价格指数、汇率以及货币供应量的影响很大并且持久的结论,并由此提出了政策性建议。

In this paper, the relationship between the commodity price and the macroeconomic variables has carried on the empirical research by using the granger causality test. The result shows that there is a long-term co-integration relationship between them, and through the impulse response we know that the impact of commodity price fluctuations on our country＇s consumer price index, exchange rate and the influence of the money supply is strong and persistent. And policy suggestions have been supplied.