货币政策立场与大宗商品价格的非线性关系——基于大宗商品金融化程度的视角

Nonlinear Relationship between Monetary Policy Stance and Commodity Prices--A Perspective of Commodity Financialization

选取2008年3月—2020年6月月度数据,运用TVP-SVAR-SV模型和MS-VAR模型研究货币政策立场与大宗商品价格的非线性关系。结果显示:货币政策立场对大宗商品价格具有显著的时变影响,短期效应明显大于长期效应;当金融化程度高时,货币政策立场对大宗商品价格的影响更强、持续时间更久;相比于预期到的货币政策,未预期到的货币政策冲击对大宗商品价格的影响更显著,表明货币政策立场的重要性。

Running both the TVP-SVAR-SV and MS-VAR models on the monthly data from March 2008 to June 2020,this paper investigates the nonlinear relationship between monetary policy stance and commodity prices.The results are as follows:first,the monetary policy stance has a significant time-varying effect on commodity prices,with the short-term effect significantly larger than the long-term one;second,the effect is stronger and lasts longer in the highly financialized zone;third,comparing with that of anticipated monetary policy,the impact of unanticipated monetary policy is more significant,indicating the importance of the monetary policy stance.