国内外大宗商品价格泡沫传染机制研究

The Research on Contagion Mechanism of Domestic and Foreign Commodity Price Bubbles

本文基于单位根右侧ADF泡沫检验方法(BSADF)方法对国内外20类大宗商品价格泡沫进行动态测度,然后采用高维动态R-Vine Copula模型和格兰杰因果关系法探析大宗商品价格泡沫之间的相依结构演化特征及其动态传染效应。研究结论表明:国内外大宗商品普遍存在多个周期性泡沫,但存在明显的结构性差异。国内大宗商品价格泡沫程度要大于国外大宗商品价格泡沫程度,其中农产品现货、钢铁现货和能源现货泡沫程度较高。整个相依结构凸显出“物以类聚”的特征。国内能源现货、工业品期货、农产品期货和国外商品期货在整个相依结构中处于中心枢纽地位。国内外能源期现货价格泡沫之间的相依性较高,存在较强的传染效应。大宗商品价格泡沫之间存在非对称的传染机制。国外大宗商品期货和国内农产品期货处于价格泡沫传递的源头,而国内能源现货、工业品期货则发挥着承接和扩散价格泡沫的中介作用。全球大宗商品价格泡沫相依结构并不稳定,存在突变性,其稳定性受到国际原油期货价格极端波动的影响。国内外经济政策不确定性越大,全球大宗商品价格泡沫的相依结构稳定性越差。

This paper is an empirical research on price bubble of 20 commodities in domestic and foreign markets based on backward sup ADF test method(BSADF).High-dimensional dynamic R-Vine Copula model and Granger Causality method are used to reveal the evolution trend of interdependent structure and their dynamic contagion effects among price bubbles.The conclusions show that there are multiple cyclical bubbles in domestic and foreign commodities, but there are obvious structural differences.The degree of domestic commodity price bubbles is greater than the degree of foreign commodity price bubbles.Among them, agricultural commodity spot, steel spot and energy spot commodities have a higher degree of bubbles.The entire interdependent structure highlights the characteristics of the clustering of objects.Domestic energy spot, industrial product futures, agricultural product futures and foreign commodity futures are at the center of the entire interdependent structure.The interdependence between the energy spot price bubbles and futures price bubbles at home and abroad is relatively high, also has a strong contagion effect.There is an asymmetric contagion mechanism among commodity price bubbles.Foreign commodity futures and domestic agricultural product futures are at the source of price bubbles, while domestic energy spot and industrial product futures play an intermediary role in undertaking and spreading price bubbles.The interdependent structure of domestic and foreign commodity price bubbles is not stable and has abrupt changes.Its stability is affected by the extreme volatility of international crude oil futures prices.The greater the uncertainty of domestic and foreign economic policies, the worse the stability of the dependent structure of the global commodity price bubble.