“双循环”新发展格局下的金融市场稳定性研究--基于大宗商品金融化视角  

Financial market stability under the new development pattern of“dual circulation”:Based on the perspective of commodity financialization

作　　者：刘用明[1] 邵航 LIU Yongming;SHAO Hang(School of Economics,Sichuan University,Chengdu 610065,P.R.China)

机构地区：[1]四川大学经济学院,四川成都610065

出　　处：《重庆大学学报（社会科学版）》2022年第6期14-32,共19页Journal of Chongqing University(Social Science Edition)

基　　金：四川省科学技术厅软科学项目“建设西部金融中心推动成渝地区双城经济圈高质量发展对策研究”(2021JDR0219)。

摘　　要：近年来“大宗商品金融化”现象受到学界广泛关注,在“双循环”新发展格局下的金融市场稳定性面临诸多挑战,探究商品金融化视角下的金融市场风险防范对维持经济稳定运行具有重要意义。文章首先系统梳理“双循环”新发展格局下大宗商品金融化对中国金融市场稳定性的影响机理,同时基于改进的商品期货定价模型,从金融化视角详细剖析金融市场稳定性受商品价格、供给和需求冲击的边际效应,比较其在长短期和市场波动环境方面的异质性特征。其次,利用2000—2020年一季度美国金融市场和2010—2019四季度中国金融市场样本,分别构建金融化指标和金融市场稳定性指标,通过结构向量自回归模型实证考察金融市场稳定性、商品价格以及金融化程度之间的结构化关系。最后考虑市场波动差异,特别是金融危机或新冠疫情这类不确定性“黑天鹅”事件的冲击,实证检验商品金融化程度对金融市场稳定性的影响在不同市场环境下的门限效应。研究结果表明:在短期内,中美两国商品指数市场中,金融化对大宗商品价格的短期冲击影响程度最大,各个市场受冲击后的1至2年内价格水平均能恢复均衡状态;金融市场稳定性受大宗商品金融化影响显著,特别是在商品指数市场;相较于大宗商品供给、需求和价格,金融市场稳定性在短期内由大宗商品金融化程度主导;商品金融化程度在短期内对金融市场稳定性的负面影响较长期更显著,影响程度也更深;从长期看,金融市场稳定性由大宗商品价格主导,而大宗商品金融化的影响则较弱;进一步通过门限模型证实,相对于金融市场低波动环境,在高波动环境中大宗商品金融化程度对金融市场稳定性的短期影响力更强。据此,对尚处发展阶段的中国大宗商品期货市场,文章提出以下政策建议:第一,优化大宗商品期货市场持仓报�In recent years,the phenomenon of“commodity financialization”has been widely concerned in the academic circle,and the stability of the financial market faces many challenges under the new development pattern of“dual circulation”.It is of great significance to explore the risk prevention of the financial market from the perspective of commodity financialization to maintain the stable operation of the economy.Firstly,this paper systematically clarifies the influential mechanism of commodity financialization on the stability of Chinese financial market under the new development pattern of“dual circulation”.Meanwhile,based on the improved commodity futures pricing model,the marginal effect of the impact of commodity price,supply,and demand on financial market stability are analyzed in detail from the perspective of financialization,and the heterogeneous characteristics in the long and short term,as well as market volatility environment,are compared.Secondly,using the samples of the US financial market from 2000 to the first quarter of 2020 and the Chinese financial market from 2010 to the fourth quarter of 2019,we construct the financialization index and the financial market stability index respectively,and empirically investigate the structural relationship among the financial market stability,commodity price and the degree of financialization through the structural vector autoregression model.Finally,considering the differences in market volatility,especially the impact of“black swan”events of uncertainty such as financial crisis or COVID-19,the threshold effect of the impact of commodity financialization on financial market stability in different market environments is empirically tested.The results show that in the short term,financialization has the greatest impact on the temporary shocks of commodity prices in commodity index markets of both China and the US,and the price level can be restored to equilibrium in each market within 1 to 2 years after the shocks;Financial market stability is signif

关 键 词：大宗商品 金融化 大宗商品价格波动 金融市场稳定性 双循环 

分 类 号：F830.9[经济管理—金融学]