经济不确定性、金融化与大宗商品价格协同性

Economic Uncertainty,Financialization and Commodity Price Co-movement

文选取1991年1月至2017年6月能源、金属与农产品三个板块的23种大宗商品月度价格数据,采用DCC-MGARCH模型,计算两两商品对价格间的动态条件相关系数以度量大宗商品间的价格协同性。研究发现:(1)经济不确定性可通过影响商品市场投机交易者的投资决策,从金融渠道对于大宗商品价格产生冲击,从而促进大宗商品价格的协同运动;(2)经济不确定性对于大宗商品价格协同性的作用效果受大宗商品金融化程度的影响,伴随商品市场金融化程度的上升,经济不确定性对于大宗商品间的价格协同具有更加显著的正向冲击作用。

The paper builds a DCC-MGARCH model based on the monthly data of 23 different kinds of commodity prices covering energy, metal and agricultural products from January 1991 to June 2017. It uses the model to calculate the dynamic conditional correlation coefficient in pairs of commodities to measure the price co-movement between the commodities. The results show that the economic uncertainty promotes the price co-movement of commodities by influencing the investment decision of the speculative traders in the commodity futures market, which we consider as the financial channel. The financialization of the commodity market has positive effect on the significance of the above effect. In more financialized commodity markets economic uncertainty has more significant impact on the commodity prices co-movement.