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

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

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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