我国货币政策对大宗商品市场影响的非线性效应

Nonlinear Effect Studies of China Monetary Policy on Commodity Markets

从货币政策的两大中介目标—货币供应量与利率出发,提炼货币政策影响大宗商品市场的作用机理,选取2006年7月至2015年3月的月度数据,并构建MSVAR模型实证分析我国货币政策对大宗商品市场的非线性影响。结果表明:我国大宗商品价格波动存在显著的区制转换特征,即上行期、平稳期、下行期三种状态;三种状态下,货币政策冲击都可以很好地解释大宗商品价格波动,但作用机制明显不同;非预期货币供应量变动会强化货币供应量对大宗商品市场的预期影响,而非预期利率变动会弱化利率的预期作用,因此,现阶段我国主要通过数量型货币政策对大宗商品市场产生影响,价格型货币政策的影响效应则不够显著。

On the basis of two intermediate targets of monetary policy, this paper puts forward the mechanism of commodity markets affected by monetary policy, selects monthly data from July 2006 to March 2015 and constructs MSVAR model to empirical study about the nonlinear effect of Chinese monetary policy on commodity markets. The results show that the price fluctuation of commodity owns the feature of regime switching, namely, upward state, stable state and downward state. During each state, monetary policy shocks could explain price violation completely while in different mechanism. The unexpected money supply will strengthen the expected effect of money supply on commodity markets, while unexpected interest rate will weaken the expected effect of interest rate. Therefore, China mailly relies on quantitative monetary policy to affect commodity markets at this stage, while the effect of price-based monetary policy is not significant.