我国商品期货价格指数纳入货币政策效果参考指标可行性研究

发布时间：2018-01-07 07:24

本文关键词：我国商品期货价格指数纳入货币政策效果参考指标可行性研究　出处：《首都经济贸易大学》2017年硕士论文　论文类型：学位论文

更多相关文章： 商品期货价格指数 货币政策 CPI PPI

【摘要】：商品期货价格指数,是一种能综合反映商品期货价格水平总体趋势变化的指数。国际上成熟的商品期货价格指数通常被视作预估通货膨胀的关键指标,能够为经济的走向提供警示。如今,国内商品指数体系已经初步构建。为了分析国内商品期货价格指数能否可以有效预估价格变化的趋势和幅度,以及探讨能否把这一指数作为评价货币政策效果的关键指标。文章先是重点探讨了货币政策和商品价格之间的相关性理论,然后再重点分析在货币政策传导机制下的货币政策对期货市场上的商品期货价格产生的作用和影响,以及在经济、金融等方面商品期货市场对货币政策的影响。分析结果认为货币政策与商品期货市场之间存在相互影响的联系。在实证部分,基于期货市场理论基础,建立期货、工业品、消费品价格传导假设。代入到费雪方程式中,定性分析了货币供应量、经济增长、商品期货价格指数和通货膨胀指数PPI、CPI几个变量的相关关系。然后选取2007年3月至2016年12月的南华商品指数nh0100、CPI指数、PPI指数、货币和准货币(M2)的月度数据和GDP季度累计数据,通过平稳性检验、协整检验,建立VAR模型,再进行格兰杰因果关系检验以及相关分析得出相应的计量分析结论。研究得出,南华商品指数对于货币供应量变动的反映是同方向,且先行于PPI 2期、CPI 6期,并且反映的幅度大于一般通货膨胀指标。南华商品指数基本能够预测未来价格水平的波动,与货币中间变量有密切相关性。综合理论分析和实证研究结果,认为当前我国商品期货价格指数已具备作为货币政策效果参考指标的条件。但在鉴于我国期货市场的发展程度与发达国家相比还存在一定的差距,并编制方法和期货合约品种的选择上还有一定的限制和不足。针对其中的缺点,提出了相适应的政策建议。
[Abstract]:Commodity futures price index is a kind of index which can reflect the general trend change of commodity futures price level. The international mature commodity futures price index is usually regarded as the key index to forecast inflation. Can provide warning for the trend of the economy. Now, the domestic commodity index system has been initially constructed. In order to analyze whether the domestic commodity futures price index can effectively predict the trend and range of price change. And to explore whether this index can be used as the key index to evaluate the effectiveness of monetary policy. Firstly, this paper focuses on the theory of the correlation between monetary policy and commodity prices. Then it focuses on the impact of monetary policy on commodity futures prices in the futures market under the monetary policy transmission mechanism, as well as on the economy. The results show that there is a mutual influence between monetary policy and commodity futures market. In the empirical part, based on the theoretical basis of futures market. The hypothesis of price conduction of futures, industrial products and consumer goods is established. The qualitative analysis of money supply, economic growth, commodity futures price index and inflation index PPI is put into Fisher equation. The correlation between several variables of CPI. Then the South China commodity index nh0100 / CPI index was selected from March 2007 to December 2016. The monthly data of currency and quasi currency / M2) and the accumulative data of GDP quarter, through the stability test and cointegration test, establish the VAR model. Then Granger causality test and relevant analysis to get the corresponding econometric analysis conclusion. The study shows that the South China commodity index reflects the change of money supply in the same direction and first in PPI 2. The South China Commodity Index can basically predict the fluctuation of price level in the future. It is closely related to the intermediate variable of currency. Comprehensive theoretical analysis and empirical research results. The author thinks that the commodity futures price index of our country already has the condition as the monetary policy effect reference index at present, but in view of the development degree of the futures market of our country compared with the developed countries, there is still a certain gap. In addition, there are some limitations and shortcomings in the selection of the methods and futures contract varieties. In view of the shortcomings, the corresponding policy suggestions are put forward.
【学位授予单位】：首都经济贸易大学
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：F724.5;F822.0

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