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近年来我国商品期货市场实现了跨越式发展,商品期货价格指数与宏观经济指标以及货币政策变量的相关性日益增强。在此背景下,本文较为系统的分析了商品期货价格指数与货币政策的互动关系,首先对传统货币政策操作规则进行了包含商品期货市场的理论拓展,在此基础上利用我国1996年至2015年的数据,采用小波变换、BEKK-MGARCH模型等方法,实证检验了商品期货价格指数与货币政策的长期互动关系及短期波动溢出效应,结果表明,商品期货价格指数可以作为我国货币政策参考变量,改善经济调控效果。
In recent years, China’s commodity futures market has achieved leapfrog development. The correlation between the commodity futures price index and macroeconomic indicators and monetary policy variables has been increasingly strengthened. Against this background, this paper systematically analyzes the interactive relationship between the commodity futures price index and the monetary policy. Firstly, it expands the theoretical practice of the traditional monetary policy rules including the commodity futures market. Based on this, The paper uses the methods of wavelet transform and BEKK-MGARCH to test the long-term interaction between the commodity futures price index and the monetary policy and the short-term volatility spillover effect. The results show that the commodity futures price index can be used as the reference variable of China’s monetary policy to improve Economic regulation effect.