大宗商品价格影响与货币政策权衡——基于石油的金融属性视角

Commodity Price Influence and Monetary Policy Trade-offs:Base on the Financial Attribute of Oil View

论文采用2003年4月~2013年6月的石油产量、总需求、石油价格、全球流动性与中国流动性等指标构建了结构向量自回归模型,在对即期影响矩阵施加短期零约束的基础上,借助脉冲响应与方差分解对货币流动性与石油价格的关系进行实证研究。结果表明:我国扩张性货币政策与石油价格上升之间存在着权衡,在一定程度上降低了我国货币政策的独立性;以美国、日本及欧盟货币供给总和为代理变量的全球流动性对世界原油市场价格的影响日益减弱,我国流动性对原油真实价格的间接性影响日益增强;在经济不确定性增强的背景下,频繁且大规模的货币政策调控削弱了石油价格冲击的外生性,增强了其内生性。

This paper constructs a structural vector autoregressive model using monthly data ranging from April 2003 to June 2013 based on zero restrictions on contemporaneous response matrix to investigate the relationship between Chinese liquidity and world crude oil price empirically. The resuhs show that： the impacts of global liquidity on world oil price have been decreasing, the impacts of China＇ s liquidity have been increasing; there is a tradeoff between monetary expansion and the oil price increase, which weakens the autonomy of China＇ s monetary policy to some extent; frequent and large scaled monetary policy adjustment and control weakens the exogeneity and strengthen the endogeneity of oil price shock.