国际资源价格波动因素冲击测度分析——基于FAVAR模型

发布时间：2018-05-09 03:43

本文选题：国际资源价格 + 广义供求　；参考：《当代财经》2015年03期

【摘要】：通过拓展新古典经济学中的供求均衡价格论,将国际资源价格影响因素内生化,构建广义供求均衡价格论。基于1997年1月-2012年12月数据,选取涵盖美国与中国实体经济、金融因素、投机因素、供需与库存的14个经济变量为研究对象,建立因素增强型向量自回归模型——FAVAR模型,系统考察各变量对国际资源价格波动的冲击贡献。研究发现,由"实体供求+投机供求"的"广义供求"决定国际资源均衡价格。从长期看,美国实体经济需求是国际资源价格的主要推手,投机供求并非国际资源价格波动的关键因素;从短期看,投机供求对国际资源价格冲击明显增强,美国量化宽松对国际资源价格波动冲击效应明显。从中美因素比较来看,无论是在长期还是短期,"中国因素"对国际资源价格冲击贡献一直低于"美国因素",但"中国因素"短期贡献明显大于长期。
[Abstract]:By expanding the theory of equilibrium price of supply and demand in neoclassical economics, this paper constructs a generalized equilibrium price theory of supply and demand by internalizing the influence factors of international resource price. Based on the data from January 1997 to December 2012, 14 economic variables including real economy, financial factors, speculative factors, supply and demand, and inventory are selected as the research object, and a factor enhanced vector autoregressive model (FAVAR model) is established. Systematically investigate the impact of variables on international resource price fluctuations. It is found that the equilibrium price of international resources is determined by the "generalized supply and demand" of "real supply and demand speculation supply and demand". In the long run, the real economic demand of the United States is the main driver of international resource prices, and speculative supply and demand is not a key factor in the fluctuation of international resource prices. In the short run, speculative supply and demand have significantly increased the impact of speculative supply and demand on international resource prices. The impact of quantitative easing on international resource price volatility is obvious. In the long term and in the short term, the contribution of the "China factor" to the international resource price shock has been lower than that of the "American factor", but the short-term contribution of the "China factor" is obviously greater than that of the long-term.
【作者单位】：江西财经大学现代商务研究中心;
【基金】：国家社会科学基金项目“国际资源性商品市场定价格局与我国对策研究”(11AZD035);国家社会科学基金青年项目“中国大宗农产品价格波动外部冲击测度及对策研究”(11CJY065);国家社会科学基金青年项目“资源性产品国际定价权研究”(12CJY086) 教育部人文社会科学基金项目“开放经济条件下中国大宗农产品价格波动及调控机制研究”(10YJC790102) 江西省社会科学规划项目“大宗商品国际期货定价中心形成路径研究——基于金融地理学的视角”(11YJ55) 江西财经大学现代商务研究中心课题“网络舆情对国际资源价格的冲击测度研究”
【分类号】：F224;F764

【参考文献】