开放条件下国内大宗商品价格影响模型与货币政策的非对称效应——基于开放套利模型与非对称自回归分布滞后模型  

Research on the Domestic Commodity Price Influence Model under Open Conditions and Asymmetric Effect of Monetary Policy——Baesd on Arbitrage Model under Open Conditions and Nonlinear Auto Regressive Distribution Lag

作　　者：龙少波[1] 厉克奥博 常婧 Long Shaobo;Li Keaobo;Chang Jing

机构地区：[1]重庆大学公共管理学院公共经济学系 [2]清华大学中国经济思想与实践研究院 [3]重庆大学公共管理学院

出　　处：《国际金融研究》2019年第11期12-23,共12页Studies of International Finance

基　　金：中央高校基本科研业务费项目“供给侧结构性改革下的中国大宗商品价格‘超调’与货币政策规则研究”（2017CDJSK01XK13）;重庆大学公共管理学院创新能力提升专项项目“建设现代化经济体系的政府治理和公共政策研究”（2019CDSKXYGG0042）;重庆大学公共管理学院创新能力提升专项项目“政府精准治理与公共政策创新”（2018CDXYGG0054）资助

摘　　要：本文构建了开放条件下国内大宗商品价格影响因素模型,并着重区分紧缩性货币政策对大宗商品价格的非对称效应。利用面板数据模型和GMM模型估计各因素对国内大宗商品价格变动的影响,并进一步利用NARDL模型考察紧缩性货币政策对大宗价格的非对称影响。研究结果表明,宏观经济、货币政策、金融投机等多重因素影响国内大宗商品价格;紧缩性货币政策相比宽松政策对大宗商品价格的影响幅度更大。本文拓展了开放条件下国内大宗商品价格的影响因素模型,区分了国内外紧缩性和扩张性的货币政策对国内大宗商品价格的非对称影响程度。这一研究为治理成本推动型通胀(通缩)的非对称、精准的货币政策调控提供参考,并试图为创新和完善宏观调控提供相应决策依据。This paper constructs a model of the factors influencing the domestic commodity prices under the condition of opening up,and focuses on distinguishing the asymmetric effects of the tightening and expanding monetary policies on the commodity prices.The panel data and GMM models are used to estimate the impact of various factors on domestic commodity price changes,and the NARDL model is further used to investigate the asymmetric impact of expansionary and contractionary monetary policies on commodity prices.The results show that macroeconomic factors,monetary policy,financial speculation and other factors affect domestic bulk prices.Tightening monetary policy has a greater impact on commodity prices than loose monetary policy.This paper innovates the influence factor model of domestic commodity price under the condition of opening up,and distinguishes the degree of asymmetric influence of domestic and foreign tight and expansionary monetary policies on domestic commodity price.This study provides a reference for the control of asymmetric and precise monetary policy of costdriven inflation(deflation),and attempts to provide the corresponding decision-making basis for innovation and improvement of macro-control.

关 键 词：大宗商品价格 货币政策 非对称调控 NARDL模型 

分 类 号：F822.5[经济管理—财政学]