货币政策立场与大宗商品价格的非线性关系——基于大宗商品金融化程度的视角
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引用本文:曹 强,陈 虎.货币政策立场与大宗商品价格的非线性关系——基于大宗商品金融化程度的视角[J].财经理论与实践,2022,(3):18-25
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作者单位
曹 强,陈 虎 (安徽财经大学 金融学院安徽 蚌埠 233000) 
中文摘要:选取2008年3月—2020年6月月度数据,运用TVP-SVAR-SV模型和MS-VAR模型研究货币政策立场与大宗商品价格的非线性关系。结果显示:货币政策立场对大宗商品价格具有显著的时变影响,短期效应明显大于长期效应;当金融化程度高时,货币政策立场对大宗商品价格的影响更强、持续时间更久;相比于预期到的货币政策,未预期到的货币政策冲击对大宗商品价格的影响更显著,表明货币政策立场的重要性。
中文关键词:货币政策立场  金融化程度  TVP-SVAR-SV模型  MS-VAR模型
 
Nonlinear Relationship between Monetary Policy Stance and Commodity Prices--A Perspective of Commodity Financialization
Abstract:Running both the TVP-SVAR-SV and MS-VAR models on the monthly data from March 2008 to June 2020, this paper investigates the nonlinear relationship between monetary policy stance and commodity prices. The results are as follows: first, the monetary policy stance has a significant time-varying effect on commodity prices, with the short-term effect significantly larger than the long-term one; second, the effect is stronger and lasts longer in the highly financialized zone; third, comparing with that of anticipated monetary policy, the impact of unanticipated monetary policy is more significant, indicating the importance of the monetary policy stance.
keywords:monetary policy stance  financialization degree  TVP-SVAR-SV model  MS-VAR model
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