基于库存视角的货币政策与商品价格动态演变——来自上海期货市场的实证检验
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| Title | The Effects of Monetary Policy on Price Dynamics of Commodities Based on Storage: The Case of SHFE
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| 作者 | 郑尊信 徐晓光 |
| Author | Zheng Zunxin and Xu xiaoguang |
| 作者单位 | 深圳大学经济学院 |
| Organization | College of Economics, Shenzhen University |
| 作者Email | zxzheng@szu.edu.cn,xxg_sz@163.com |
| 中文关键词 | 货币政策 库存 商品价格 动态演变 |
| Key Words | Monetary Policy; Storage; Commodity Price; Dynamics Evolution |
| 内容提要 | 商品库存是剖析货币政策在商品市场传导机制的关键切入点。本文尝试借助库存理论的供求均衡（而非无套利均衡）分析框架来重构货币政策下的商品价格“超调模型”，理论分析发现：货币政策的直接效应是通过市场利率调整资金占用成本，间接效应则是改变商品便利收益水平及边际风险厌恶成本，综合作用库存供给曲线，改变市场库存均衡点，进而影响商品价格预期变动；扩张性货币政策易引发商品价格超调，而紧缩性货币政策却易导致商品价格调整不足。其后，通过期货市场风险供求均衡思路将风险溢价理论和库存理论有机结合起来，由期货基差变动验证货币政策在商品市场的传导机理，为理论检验提供实证框架。将理论模型运用于中国有色金属市场发现，实证结论很好地支持相关理论分析。 |
| Abstract | Commodity Storage is key point of view to analyze the effects of monetary policy on price dynamics. The theory of Storage will be adopted to reconstruct Frankel’s Overshooting Model, which is basic analysis framework of effects of monetary policy on commodity price. Theoretical analysis finds that, (1) direct effect of monetary policy adjusts market interest, and indirect effects on convenience yields and marginal risk aversion cost, both effects push the supply curve of storage, make market equilibrium moving, and finally have influence on the expectation of commodity price change; (2) commodity price goes up and overshoots under excess liquidity, whereas commodity price goes down and undershoots for convenience yield under tighten liquidity; and monetary policy impresses asymmetric influences on price dynamics of commodity. Empirical framework based on futures market will be constructed by incorporating risk premium theory into the model of storage, and empirical study from SHFE finds that theoretical results are supported perfectly. |
| 文章编号 | WP333 |
| 登载时间 | 2012-08-13 |
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