我国货币政策对大宗商品价格的动态影响研究  

A Study on the Dynamic Impact of Chinese Monetary Policy on Commodity Prices

作　　者：陈文[1] 

机构地区：[1]中南大学商学院

出　　处：《财务与金融》2015年第1期7-12,6,共7页Accounting and Finance

摘　　要：本文基于2001年12月至2013年12月的月度数据,以铜为例,运用协整理论、脉冲响应函数和方差分解,研究了我国货币政策变量,M1、M2、利率、信贷与大宗商品价格的长期均衡与短期动态关系,结果表明,期铜价格与货币政策变量之间存在着长期的均衡关系,短期内,货币政策对期铜价格的影响显著,其中,狭义货币供给量Ml与期铜价格的关系更为密切,利率的影响效应不够显著。This paper is based on the monthly data from December, 2001 to December, 2013, by using cointegration theory,impulse response function and variance decomposition, uses copper as an example to study the relationship between long-term equilibrium and short-term dynamic of China＇s monetary policy variables, M1, M2, interest rate, credit and the price of commodities. The results show that there is a long-term equilibrium relationship between copper futures prices and monetary policy variables. In the short term, monetary policy has a significant impact on the copper futures prices, among which the relationship between the Ml and copper futures prices are much closer while the effect of interest rate is not significant enough.

关 键 词：货币政策 大宗商品 期铜价格 

分 类 号：F821[经济管理—财政学]