量化宽松与国际大宗商品市场:溢出性、非对称性和长记忆性  

The Quantitative Easing and Commodity Market:Spillover,Asymmetry and Long-memory

作　　者：苏治[1] 尹力博[2] 方彤[3] 

机构地区：[1]中央财经大学统计与数学学院,北京100081 [2]中央财经大学金融学院,北京100081 [3]中国人民大学国际货币研究所,北京100872

出　　处：《金融研究》2015年第3期68-82,共15页Journal of Financial Research

基　　金：国家自然科学基金项目(71473279);教育部"新世纪优秀人才支持计划";教育部博士点基金课题(20110016120001);中央财经大学第二批青年科研创新团队项目;中央财经大学121人才工程青年博士发展基金(QBJ1416);中央财经大学学科建设211经费的资助

摘　　要：基于分整自回归条件异方差模型(FIGARCH),本文研究了考虑金融因素情况下量化宽松政策对国际大宗商品市场的直接影响,以及量化宽松通过金融市场对国际大宗商品市场的溢出效应。实证结果表明:量化宽松政策对国际大宗商品市场的影响主要表现为溢出性、非对称性和长记忆性,即金融市场的溢出效应在政策实施后得到加强,量化宽松政策对大宗商品市场有显著影响,且呈现行业性差异,大宗商品市场的典型长记忆特征得到显著增强,冲击造成的市场波动将持续较长时间。Through using FIGARCH model which could describe features of returns and volatilities, we re- searched on the four rounds of quantitative easing＇ s direct influences on the commodity markets, and the other influences coming from the changes of financial market information. The empirical results show that the influ- ences of QE on commodity markets can be described as spillover, asymmetry and long - memory. QE had sig- nificant effects on commodity markets, especially the third round. It also strengthened the information transmis- sion effect of financial factors. The influences of QE were various in different industries and in different stages of QE. The indexes of commodity markets had the classic feature of long - memory and this feature varied in dif- ferent industries. The long -memory effect was strengthened by the QE.

关 键 词：大宗商品 量化宽松 溢出性 非对称性 长记忆性 FIGARCH模型 

分 类 号：F224[经济管理—国民经济] F821.0F713.35