商品金融化背景下商品期货定价
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摘要
2000年以来,商品金融化现象非常普遍,主要特征是商品价格形成越发背离实体经济因素,金融环境干扰日益明显,金融因素影响日益突出。传统库存理论主要以实体库存供求均衡为基本框架,其定价模型难以适应商品金融化趋势。为此,构造金融化影响指数来度量商品金融化对商品价格的影响,进而修正传统商品期货定价模型,并将其应用于中国商品期货市场的实证研究。研究发现:商品金融化加剧商品价格波动,且贸易融资套利引起的金融化效应为负,缓解商品价格上涨压力;美元周期是商品金融化进程的主要因素,风险溢价是次要因素,而货币政策短期效应不明显。表明,中国商品金融化主要受到美国商品金融化的溢出,反映出在国际大宗商品市场上中国定价权的缺失以及美元的主导地位。
Since 2000, financialization of commodities has become very common, and the influence of financial factors is increasingly prominent. However, it is difficult for traditional valuation models to reflect the financialization of commodities. Therefore, this paper constructs a financialization impact index to measure the impact of financialization of commodities on commodity prices, and then applies it to the empirical study of Chinese commodity futures market. It is found that the process of financialization intensifies commodity price fluctuations, and the financialization effect of financing collateral of commodities for arbitrage is negative, which alleviates the rising pressure of commodity prices. The US dollar cycle is the dominant factor and the risk premium is the secondary one in the process of financialization, but the short-term effect of monetary policy is not obvious. The results show that the financialization of commodities in Chinese commodity market is mainly affected by the spillover effect of the financialization of American commodity market, which reflects the loss of commodities pricing power for Chinese commodity market and the dominance of the US dollar in international commodity pricing and trading activities.
Since 2000, financialization of commodities has become very common, and the influence of financial factors is increasingly prominent. However, it is difficult for traditional valuation models to reflect the financialization of commodities. Therefore, this paper constructs a financialization impact index to measure the impact of financialization of commodities on commodity prices, and then applies it to the empirical study of Chinese commodity futures market. It is found that the process of financialization intensifies commodity price fluctuations, and the financialization effect of financing collateral of commodities for arbitrage is negative, which alleviates the rising pressure of commodity prices. The US dollar cycle is the dominant factor and the risk premium is the secondary one in the process of financialization, but the short-term effect of monetary policy is not obvious. The results show that the financialization of commodities in Chinese commodity market is mainly affected by the spillover effect of the financialization of American commodity market, which reflects the loss of commodities pricing power for Chinese commodity market and the dominance of the US dollar in international commodity pricing and trading activities.
引文
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[17] 张江涛.美元指数与 CRB 指数的相关性研究——基于GARCH模型的实证分析[J].价格理论与实践,2016(6):107-110.
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[25] 田利辉,谭德凯.大宗商品现货定价的金融化和美国化问题——股票指数与商品现货关系研究[J].中国工业经济,2014(10):72-84.
[26] 胡聪慧,刘学良.大宗商品与股票市场联动性研究:基于融资流动性的视角[J].金融研究,2017(7):123-139.
[27] Kaldor N.Speculation and economic stability[J].Review of Economic Studies,1939,7(1):1-27.
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[29] Brennan M J.The supply of storage[J].The American Economic Review,1958,48(1):50-72.
[30] Liu P,Tang K.The stochastic behavior of commodity prices with heteroskedasticity in the convenience yield[J].Journal of Empirical Finance,2011,18:211-224.
[31] Casassus J,Collin-Dufresne P.Stochastic convenience yield implied from commodity futures and interest rates[J].The Journal of Finance,2005,60(5):2283-2331.
[32] Duffee G R,Stanton R H.Estimation of dynamic term structure model[J].Quarterly Journal of Finance,2012,2(2):1-51.
[33] 张鼎,庄新田,卢文娟,等.基于复杂网络理论的期货指数网络的研究[J].系统管理学报,2014,23(1):70-76.
[2] Tang K,Xiong W.Index investment and the financialization of commodities[J].Financial Analysts Journal,2012,68(6):54-74.
[3] Büyüksahin B,Robe M A.Speculators,commodities and cross-market linkages[J].Journal of International Money and Finance,2014,42:38-70.
[4] Adams Z,Glück T.Financialization in commodity markets:A passing trend or the new normal?[J] Journal of Banking and Finance,2015,60(11):93-111.
[5] Roache S K,Rossi M.The effects of economic news on commodity prices[J].The Quarterly Review of Economics and Finance,2010,50(3):377-385.
[6] Cheng I,Xiong W.Financialization of commodity markets[J].Annual Review of Financial Economics,2014,6(7):1-23.
[7] 张成思,刘泽豪,罗煜.中国商品金融化分层与通货膨胀驱动机制[J].经济研究,2014(1):140-154.
[8] 郑尊信,王琪,徐晓光.贸易融资套利、商品价格变动及货币政策效应[J].经济研究,2016(1):55-68.
[9] Schwartz E S.The stochastic behavior of commodity prices:Implications for valuation and hedging[J].The Journal of Finance,1997,52(3):923-973.
[10] Gibson R,Schwartz E S.Stochastic convenience yield and the pricing of oil contingent claims[J].The Journal of Finance,1990,45(3):959-976.
[11] 郑尊信,徐晓光.基于库存视角的货币政策与商品价格动态演变——来自上海期货市场的实证检验[J].经济研究,2013(3):70-82.
[12] 郑尊信,倪英照,徐晓光.利率市场化进程、商品价格变动及货币政策效应[J].证券市场导报,2017(4):12-19.
[13] Akram Q F.Commodity prices,interest rates and the dollar[J].Energy Economics,2009,31(6):838-851.
[14] 韩立岩,尹力博.投机行为还是实际需求?——国际大宗商品价格影响因素的广义视角分析[J].经济研究,2012(12):83-96.
[15] 李智,林伯强,许嘉峻.基于MSVAR的国际原油期货价格变动研究[J].金融研究,2014(1):99-109.
[16] 张峻晓,谭小芬.国际大宗商品价格波动:基本面还是投机因素——基于2003～2014年全样本VAR和滚动VAR模型的分析[J].金融评论,2015(3):59-74.
[17] 张江涛.美元指数与 CRB 指数的相关性研究——基于GARCH模型的实证分析[J].价格理论与实践,2016(6):107-110.
[18] Belke A,Bordon I G,Volz U.E?ects of global liquidity on commodity and food prices[J].World Development,2013,44:31-43.
[19] 孙国茂,陈国文.商品金融化形成机理研究[J].济南大学学报(社会科学版),2013(6):1-9.
[20] 王锟.货币政策冲击对商品期货价格指数影响分析[J].金融与经济,2013(12):58-63.
[21] 孙泽生,孙便霞,黄伟.中国有色金属价格变化中的货币因素和预期形成:基于金属指数的实证研究[J].系统管理学报,2014,23(5):743-753.
[22] Algieri B.The influence of biofuels,economic and financial factors on daily returns of commodity futures prices[J].Energy Policy,2014,69:227-247.
[23] Silvennoinen A,Thorp S.Financialization,crisis and commodity correlation dynamics[J].Journal of International Financial Markets,Institutions and Money,2013,24:42-65.
[24] Ravazzolo F,Lombardi M.Oil price density forecasts:exploring the linkages with stock markets[R].No 3/2012,Working Papers,Centre for Applied Macro-and Petroleum economics (CAMP),BI Norwegian Business School,https://EconPapers.repec.org/RePEc:bny:wpaper:0008,2012.
[25] 田利辉,谭德凯.大宗商品现货定价的金融化和美国化问题——股票指数与商品现货关系研究[J].中国工业经济,2014(10):72-84.
[26] 胡聪慧,刘学良.大宗商品与股票市场联动性研究:基于融资流动性的视角[J].金融研究,2017(7):123-139.
[27] Kaldor N.Speculation and economic stability[J].Review of Economic Studies,1939,7(1):1-27.
[28] Working H.The theory of price of storage[J].The American Economic Review,1949,39(6):1254-1262.
[29] Brennan M J.The supply of storage[J].The American Economic Review,1958,48(1):50-72.
[30] Liu P,Tang K.The stochastic behavior of commodity prices with heteroskedasticity in the convenience yield[J].Journal of Empirical Finance,2011,18:211-224.
[31] Casassus J,Collin-Dufresne P.Stochastic convenience yield implied from commodity futures and interest rates[J].The Journal of Finance,2005,60(5):2283-2331.
[32] Duffee G R,Stanton R H.Estimation of dynamic term structure model[J].Quarterly Journal of Finance,2012,2(2):1-51.
[33] 张鼎,庄新田,卢文娟,等.基于复杂网络理论的期货指数网络的研究[J].系统管理学报,2014,23(1):70-76.