货币政策对中国农产品期货价格的影响——基于泡沫期和非泡沫期的比较  

The Impact of Monetary Policy on China’s Agricultural Futures Prices——Based on the comparison during the bubble Period and the non-bubble period

作　　者：田清淞 喻妍 肖小勇[1] 李崇光[1] TIAN Qingsong;YU Yan;XIAO Xiaoyong;LI Chongguang

机构地区：[1]华中农业大学经济管理学院

出　　处：《农业技术经济》2019年第12期107-118,共12页Journal of Agrotechnical Economics

基　　金：国家自然科学基金项目(编号:71673103);国家自然科学基金青年项目(编号:71703049);教育部人文社会科学研究青年基金(编号:17YJC790173)

摘　　要：本文基于资产价格均衡模型,分析利率对农产品期货价格的基础部分和泡沫部分的不同影响,找出货币政策在泡沫期和非泡沫期影响差异的理论基础。并利用2005-2017年相关数据通过时变参数模型(TVP-VAR)实证检验货币政策的冲击效果。研究结果表明,(1)无论在泡沫期还是非泡沫期,货币供应量的增加都助推农产品期货价格的上涨,这可能是通胀预期和投资组合效果的作用;(2)由于利率对农产品期货价格的基础部分和泡沫部分的不同影响,使其在非泡沫期主要呈负向冲击,在泡沫期,特别是在2008年和2011年等时间呈明显的正向冲击。因此采取紧缩性的货币政策来抑制期货价格泡沫往往不能实现预期效果。Based on the asset price equilibrium model, this paper analyzes the different effects of rate on the basic part and the bubble part of agricultural futures price, which can help us find the theoretical basis of the influences of monetary policy during the bubble period and the non-bubble period. Using the relevant data from 2005 to 2017, we empirically test the impact of monetary policy on future prices through time-varying parameter model(TVP-VAR). The results show that:(1) No matter in the bubble period or non-bubble period, increasing money supply will boost the price of agricultural futures,which may be the effect of inflation expectations and portfolio effects;( 2) Due to the different influences of interest rates on the basic and bubble parts of agricultural futures prices,it mainly has a negative impact during the non-bubble period,and also has a significantly positive shock during the bubble period especially in 2008 and 2011.Therefore,adopting a tight monetary policy to curb futures price bubbles often fails to achieve the desired results.

关 键 词：货币供应量 利率 农产品期货 价格泡沫 TVP-VAR 

分 类 号：F822.0[经济管理—财政学] F323.7F724.5