全球大宗商品价格周期的驱动因素:基于2000-2021年月度数据的实证分析

Driving Factors of Global Commodity Price Cycle:An Empirical Analysis Based on Monthly Data from 2000 to 2021

本文运用Hamilton滤波与小波分解技术,识别出2000年以来的全球大宗商品价格周期。在此基础上,构建小波平滑向量自回归模型,分析全球经济周期和全球金融周期对大宗商品价格周期的驱动作用。结果表明:全球大宗商品价格周期因子能够较好地反映2000年以来国际大宗商品价格的共同变动趋势;全球经济周期和全球金融周期对大宗商品价格周期的驱动作用存在显著差异,全球经济周期的驱动作用时滞较长且相对持久,而全球金融周期的驱动作用则时滞较短且迅速衰减;全球经济周期和全球金融周期对2021年以来大宗商品价格“上行周期”的贡献度分别为25.82%和13.85%,而全球供应瓶颈和能源转型的贡献度则达到24.46%和6.95%。

By introducing a wavelet smoothed VAR model,this paper sheds a new light on the role of the global business cycle(GBC)and the global financial cycle(GFC)in driving the global commodity price cycle.The price cycle after the year 2000 is identified by the Hamilton filter and the wavelet decomposition,and the other key findings are as below.First,the price cycle indentified reflects the comovement in commodity prices adequately since the year 2000.Second,GBC and GFC make different effects on driving the commodity price cycle.The former effect persists a longer time lag,while the latter decays more rapidly.Third,the contributions of GBC and GFC to drive the“Commodity Boom”since 2021 are 25.82%and 13.85%separately,while the global supply bottlenecks and energy transitions are 24.46%and 6.95%respectively.