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。
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.
作者
曹强
陈虎
CAO Qiang;CHEN Hu(School of finance,Anhui University of Finance and Economics,Bengbu,Anhui 233000,China)
出处
《财经理论与实践》
CSSCI
北大核心
2022年第3期18-25,共8页
The Theory and Practice of Finance and Economics
基金
国家社会科学基金青年项目(21CJY074)。
