利率、货币流动与大宗商品价格

Interest Rate, Money Flow and Commodity Price

本文基于中国日度大宗商品金融市场货币流动数据,纳入货币市场和商品金融市场的流量和存量渠道以及周末、节假日和国际金融危机影响因素,建立自回归分布滞后模型(ARDL),首次实证研究在引入国际市场不确定性条件下中国利率、货币流动与大宗商品价格之间的互动关系。研究发现,中国利率和国际市场不确定性均对货币和商品金融市场间的均衡产生显著影响,并且从流量和存量两个渠道证明投机行为并不推升大宗商品价格,在大宗商品金融市场上存在周末效应和节假日效应。政策当局在应对大宗商品市场大幅波动时应将注意力集中于大宗商品市场外影响实体供需及价格预期变化的风险因素以及因商品金融市场一体化带来的国际风险传导。

Based on the unique daily money flow data in Chinese commodity financial market, this paper for the first time, empirically explores the interaction among interest rate, money flow and commodity prices under market uncertainty around international financial crisis with weekend, holiday and the international financial crisis factors being introduced into an Autoregressive Distribution Lag model(ARDL).The result showed that China's interest rate and the international market uncertainty significantly impact on the equilibrium between the monetary and no evidence that speculation could push up commodity prices. There exist weekend effects and holiday effects in Chinese commodity financial markets. Policy authority should focus on the influence of the real supply/demand change outside commodity financial market, the expectation and transmission factors of domestic and international oriented uncertainty when facing with the commodity market fluctuations.