商品价格波动对中国货币政策影响的实证研究

An Empirical Study on the Impact of Commodity Price Volatility on China s Monetary Policy

本文采用协整相关理论模型,采用2004年5月至2023年10月的月度数据,研究了期货市场价格指数(总指数和能源类、化工类、有色类、谷物类、油脂油料类及软商品类各分类指数)对货币政策变量(存款准备金率,公开市场净投放额,银行间同业拆借利率,美元兑人民币汇率,货币供应量M0、M1、M2)的作用与影响。研究发现商品期货价格总指数与有色指数对除公开市场操作净投放外的货币政策变量具有较强的引导作用;其他分类指数除油脂油料类外均对个别货币政策变量有较强的影响,总体来说商品价格总指数与有色类商品价格指数对货币政策影响较大。协整检验及误差修正模型显示,从长短期来看,期货价格各类指数对货币政策变量均产生不同强弱的定量影响,冲击反应函数曲线反映相应的期货价格各个指数对货币政策变量均产生不同时滞的滞后影响,说明期货价格指数对货币政策变量的总体影响较大,但是不同分类指数的作用是不同的。因此采取多种措施平衡发展期货市场,更好提升期货价格指数对货币政策的影响,有助于提升货币政策实施效果,促进宏观经济的发展。

This paper uses the cointegration correlation theory model method and the monthly data from May 2004 to October 2023 to study the role and impact of the futures market price index(total index and various sub-indices of energy,chemicals,non-ferrous metals,grains,oilseeds and soft commodities)on monetary policy variables(reserve ratio,net open market supply,interbank lending rate,USD/RMB exchange rate,money supply M0,M1 and M2).It is found that the total commodity futures price index and the non-ferrous index have a strong guiding effect on the monetary policy variables except for the net supply of open market operations.All other sub-indices have a strong impact on individual monetary policy variables,except for oils and oilseeds,and generally speaking,the general commodity price index and the non-ferrous commodity price index have a greater impact on monetary policy.The cointegration test and error correction model show that in the long and short term,various indices of futures prices have different quantitative effects on monetary policy variables,and the shock response function curve reflects that each index of futures price has different delayed effects on monetary policy variables,indicating that the overall impact of futures price index on monetary policy variables is greater,but the role of different sub-indices is different.Therefore,taking a variety of measures to balance the development of the futures market and better enhance the impact of the futures price index on monetary policy will help improve the implementation effect of monetary policy and better promote the development of macroeconomy.