国际大宗商品价格波动:基本面还是投机因素——基于2003~2014年全样本VAR和滚动VAR模型的分析

What is Driving International Commodity Price Fluctuations——Empirical Analysis Based on Entire Period VAR and Rolling VAR from 2003 to 2014

本文从实体经济需求、货币因素和投机因素三个层面，选取全球工业生产总值、短期利率、美元实际汇率以及商品期货市场投机四个解释变量，运用全样本向量自回归（VAR）和滚动VAR方法，对2003～2014年国际大宗商品价格波动的驱动因素进行分析。结果发现，实体经济需求和美元汇率是2003～2014年驱动大宗商品价格变化的长期性因素；投机因素的作用在2005年之后日益凸显并成为2006～2008年大宗商品价格上涨的重要推手：2009～2011年大宗商品价格的上涨很大程度上源于全球经济的复苏和宽松的货币政策；2012年后的需求不足和美元走强是导致国际大宗商品市场疲软的重要原因。

This paper employs entire period VAR and rolling VAR model to examine what is driving international commodity price fluctuation from 2003 to 2014 by taking the global industrial production,the global short-term interest rate,the US dollar real exchange rate and the speculation in commodity futures markets as explanatory variables.The result shows that the aggregate demand and the real interest rate are the long—term and stable factors driving commodity price fluctuation.The future market played a more and more significant role since year 2005 and became the largest contributor to the international commodity boom in 2006-2008.After the global financial crisis,the recovery of world economy and unconventional monetary policy lead to the price rebound in 2009-2011.Oil prices have plunged after 2012 due to excessive capacity for production in relation to demand and the appreciation of US dollar.