经济不确定性、金融化与大宗商品价格协同性
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摘要
本文选取1991年1月至2017年6月能源、金属与农产品三个板块的23种大宗商品月度价格数据,采用DCC-MGARCH模型,计算两两商品对价格间的动态条件相关系数以度量大宗商品间的价格协同性。研究发现:(1)经济不确定性可通过影响商品市场投机交易者的投资决策,从金融渠道对于大宗商品价格产生冲击,从而促进大宗商品价格的协同运动;(2)经济不确定性对于大宗商品价格协同性的作用效果受大宗商品金融化程度的影响,伴随商品市场金融化程度的上升,经济不确定性对于大宗商品间的价格协同具有更加显著的正向冲击作用。
The paper builds a DCC-MGARCH model based on the monthly data of 23 different kinds of commodity prices covering energy,metal and agricultural products from January 1991 to June 2017. It uses the model to calculate the dynamic conditional correlation coefficient in pairs of commodities to measure the price co-movement between the commodities. The results show that the economic uncertainty promotes the price co-movement of commodities by influencing the investment decision of the speculative traders in the commodity futures market,which we consider as the financial channel. The financialization of the commodity market has positive effect on the significance of the above effect. In more financialized commodity markets economic uncertainty has more significant impact on the commodity prices co-movement.
The paper builds a DCC-MGARCH model based on the monthly data of 23 different kinds of commodity prices covering energy,metal and agricultural products from January 1991 to June 2017. It uses the model to calculate the dynamic conditional correlation coefficient in pairs of commodities to measure the price co-movement between the commodities. The results show that the economic uncertainty promotes the price co-movement of commodities by influencing the investment decision of the speculative traders in the commodity futures market,which we consider as the financial channel. The financialization of the commodity market has positive effect on the significance of the above effect. In more financialized commodity markets economic uncertainty has more significant impact on the commodity prices co-movement.
引文
韩立岩、尹力博(2012):《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》,《经济研究》第12期。
连玉君、苏治、彭方平(2010):《融资约束与流动性管理行为》,《金融研究》,第10期。
谭小芬、张峻晓、郑辛如(2018):《国际大宗商品市场与金融市场的双向溢出效应---基于BEKK-GARCH模型和溢出指数法的实证研究》,《中国软科学》,第8期。
Akram,Q.(2009):“Commodity Prices,Interest Rates and the Dollar”,Energy Economics,31,838-851.
Anzuini,A.,M.Lombardi and P.Pagano(2012):“The Impact of Monetary Policy Shocks on Commodity Prices”,SSRN Electronic Journal,9,119-144.
Baker,S.,N.Bloom and S.Davis(2013):“Measuring economic policy uncertainty”,Chicago Booth Paper,No.13-02.
Belke,A.,I.Bordon,G.and U.Volz,(2012):“Effects of Global Liquidity on Commodity and Food Prices”,World Development,44,31-43.
Bloom,N.(2009):“The Impact of Uncertainty Shocks”,Econometrica,77,623-685.
Bloom,N.(2014):“Fluctuations in Uncertainty”,Journal of Economic Perspectives,28,153-176.
Buyuksahin,B.and M.Robe(2009):“Does'Paper Oil'Matter?Energy Markets'Financialization and Equity-Commodity Comovements”,Working paper,The American University.
Buyuksahin,B.and M.Robe(2011):“Speculators,Commodities and Cross-Market Linkages”,Journal of International Money and Finance,42,38-70.
Cheng,I.,A.Kirilenko and W.Xiong,(2015):“Convective Risk Flows in Commodity Futures Markets”,Review of Finance,19,1733-1781.
Diebold,F.and K.Yilmaz,(2012):“Better to Give than to Receive:Predictive Directional Measurement of Volatility Spillovers”,International Journal of Forecasting,28,57-66.
Dimitrios,B.and T.Athanasios(2018):“The Impact of Uncertainty Shocks on the Volatility of Commodity Prices”,Journal of International Money and Finance,87,96-111.
Engle,R.(2002):“Dynamic Conditional Correlation:A Simple Class of Multivariate Generalized Autoregressive Conditional Heteroskedasticity Models”,Journal of Business&Economic Statistics,20,339-350.
Frankel,J.(2008):“The Effect of Monetary Policy on Real Commodity Prices”,NBER Working Paper,No.12713.
Gorton,G.and G.Rouwenhorst(2006):“Facts and Fantasies about Commodity Futures”,Financial Analysts Journal,62,47-68.
Gruber,J.and R.Vigfusson(2018):“Interest Rates and the Volatility and Correlation of Commodity Prices”,Macroeconomic Dynamics,22,600-619.
Hansen,B.(1999):“Threshold Effects in Non-Dynamic Panels:Estimation,Testing and Inference”,Journal of Econometrics,93,345-368.
Jurado,K.,S.Ludvigson and S.Ng(2015):“Measuring Uncertainty”,American Economic Review,105,1177-1216.
Kilian,L.(2009):“Not All Oil Price Shocks are Alike:Disentangling Demand and Supply Shocks in the Crude Oil Market”,American Economic Review,99,1053-1069.
Kilian,L.and D.Murphy(2010):“The Role of Inventories and Speculative Trading in the Global Market for Crude Oil”,Journal of Applied Econometrics,29,454-478.
Kilian,L.(2014):“Oil Price Shocks:Causes and Consequences”,Annual Review of.Resource Economics,6,133-154.
Li,X.,B.Zhang,and Z.Du(2011):“Correlation in Commodity Futures and Equity Markets Around the World:Long-Run Trend and Short-Run Fluctuation”,Available at SSRN:http://dx.doi.org/10.2139/ssrn.2011178
Liow,K.,W.Liao and Y.Huang(2017):“Dynamics of International Spillovers and Interaction:Evidence from Financial Market Stress and Economic Policy Uncertainty”,Economic Modelling,68,96-116.
Lübbers,J.and P.Posch(2016):“Commodities'Common Factor:An Empirical Assessment of the Markets'Drivers”,Journal of Commodity Markets,4,28-40.
Mensi,W.,S.Hammoudeh and S.Yoon(2015):“Structural Breaks,Dynamic Correlations,Asymmetric Volatility Transmission,and Hedging Strategies for Petroleum Prices and USD Exchange Rate”,Energy Economics,48,46-60.
Nazlioglu,S.,C.Erdem,and U.Soytas(2013):“Volatility Spillover Between Oil and Agricultural Commodity Markets”,Energy Economics,36,658-665.
Ohashi,K.and T.Okimoto(2016):“Increasing Trends in the Excess Co-movement of Commodity Prices”,Journal of Commodity Markets,1,48-64.
Pindyck,R.and J.Rotemberg(1990):“The Excess Co-movement of Commodity Prices”,Economic Journal,100,1173-1189.
Singleton,K.(2011):“Investor Flows and the 2008 Boom/Bust in Oil Prices”,Social Science Electronic Publishing,60(2),300-318.
Tang,K.and W.Xiong(2012):“Index Investment and the Financialization of Commodities”,Financial.Analysts Journal,68,54-74.
Vansteenkiste,I.(2009):“How Important are Common Factors in Driving Non-fuel Commodity Prices?A Dynamic Factor Analysis”,Social Science Electronic Publishing,27(3),697-711.
Wirl,F.(2008):“Why do Oil Prices Jump(or Fall)?”,Energy Policy,36,1029-1043.
连玉君、苏治、彭方平(2010):《融资约束与流动性管理行为》,《金融研究》,第10期。
谭小芬、张峻晓、郑辛如(2018):《国际大宗商品市场与金融市场的双向溢出效应---基于BEKK-GARCH模型和溢出指数法的实证研究》,《中国软科学》,第8期。
Akram,Q.(2009):“Commodity Prices,Interest Rates and the Dollar”,Energy Economics,31,838-851.
Anzuini,A.,M.Lombardi and P.Pagano(2012):“The Impact of Monetary Policy Shocks on Commodity Prices”,SSRN Electronic Journal,9,119-144.
Baker,S.,N.Bloom and S.Davis(2013):“Measuring economic policy uncertainty”,Chicago Booth Paper,No.13-02.
Belke,A.,I.Bordon,G.and U.Volz,(2012):“Effects of Global Liquidity on Commodity and Food Prices”,World Development,44,31-43.
Bloom,N.(2009):“The Impact of Uncertainty Shocks”,Econometrica,77,623-685.
Bloom,N.(2014):“Fluctuations in Uncertainty”,Journal of Economic Perspectives,28,153-176.
Buyuksahin,B.and M.Robe(2009):“Does'Paper Oil'Matter?Energy Markets'Financialization and Equity-Commodity Comovements”,Working paper,The American University.
Buyuksahin,B.and M.Robe(2011):“Speculators,Commodities and Cross-Market Linkages”,Journal of International Money and Finance,42,38-70.
Cheng,I.,A.Kirilenko and W.Xiong,(2015):“Convective Risk Flows in Commodity Futures Markets”,Review of Finance,19,1733-1781.
Diebold,F.and K.Yilmaz,(2012):“Better to Give than to Receive:Predictive Directional Measurement of Volatility Spillovers”,International Journal of Forecasting,28,57-66.
Dimitrios,B.and T.Athanasios(2018):“The Impact of Uncertainty Shocks on the Volatility of Commodity Prices”,Journal of International Money and Finance,87,96-111.
Engle,R.(2002):“Dynamic Conditional Correlation:A Simple Class of Multivariate Generalized Autoregressive Conditional Heteroskedasticity Models”,Journal of Business&Economic Statistics,20,339-350.
Frankel,J.(2008):“The Effect of Monetary Policy on Real Commodity Prices”,NBER Working Paper,No.12713.
Gorton,G.and G.Rouwenhorst(2006):“Facts and Fantasies about Commodity Futures”,Financial Analysts Journal,62,47-68.
Gruber,J.and R.Vigfusson(2018):“Interest Rates and the Volatility and Correlation of Commodity Prices”,Macroeconomic Dynamics,22,600-619.
Hansen,B.(1999):“Threshold Effects in Non-Dynamic Panels:Estimation,Testing and Inference”,Journal of Econometrics,93,345-368.
Jurado,K.,S.Ludvigson and S.Ng(2015):“Measuring Uncertainty”,American Economic Review,105,1177-1216.
Kilian,L.(2009):“Not All Oil Price Shocks are Alike:Disentangling Demand and Supply Shocks in the Crude Oil Market”,American Economic Review,99,1053-1069.
Kilian,L.and D.Murphy(2010):“The Role of Inventories and Speculative Trading in the Global Market for Crude Oil”,Journal of Applied Econometrics,29,454-478.
Kilian,L.(2014):“Oil Price Shocks:Causes and Consequences”,Annual Review of.Resource Economics,6,133-154.
Li,X.,B.Zhang,and Z.Du(2011):“Correlation in Commodity Futures and Equity Markets Around the World:Long-Run Trend and Short-Run Fluctuation”,Available at SSRN:http://dx.doi.org/10.2139/ssrn.2011178
Liow,K.,W.Liao and Y.Huang(2017):“Dynamics of International Spillovers and Interaction:Evidence from Financial Market Stress and Economic Policy Uncertainty”,Economic Modelling,68,96-116.
Lübbers,J.and P.Posch(2016):“Commodities'Common Factor:An Empirical Assessment of the Markets'Drivers”,Journal of Commodity Markets,4,28-40.
Mensi,W.,S.Hammoudeh and S.Yoon(2015):“Structural Breaks,Dynamic Correlations,Asymmetric Volatility Transmission,and Hedging Strategies for Petroleum Prices and USD Exchange Rate”,Energy Economics,48,46-60.
Nazlioglu,S.,C.Erdem,and U.Soytas(2013):“Volatility Spillover Between Oil and Agricultural Commodity Markets”,Energy Economics,36,658-665.
Ohashi,K.and T.Okimoto(2016):“Increasing Trends in the Excess Co-movement of Commodity Prices”,Journal of Commodity Markets,1,48-64.
Pindyck,R.and J.Rotemberg(1990):“The Excess Co-movement of Commodity Prices”,Economic Journal,100,1173-1189.
Singleton,K.(2011):“Investor Flows and the 2008 Boom/Bust in Oil Prices”,Social Science Electronic Publishing,60(2),300-318.
Tang,K.and W.Xiong(2012):“Index Investment and the Financialization of Commodities”,Financial.Analysts Journal,68,54-74.
Vansteenkiste,I.(2009):“How Important are Common Factors in Driving Non-fuel Commodity Prices?A Dynamic Factor Analysis”,Social Science Electronic Publishing,27(3),697-711.
Wirl,F.(2008):“Why do Oil Prices Jump(or Fall)?”,Energy Policy,36,1029-1043.