Impact of Monetary Supply on Chinese Nonferrous Metal Price Movement
Impact of Monetary Supply on Chinese Nonferrous Metal Price Movement
复制标题
货币供应量对中国有色金属价格走势的影响
DOI：
10.1111/asej.12111
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发表时间：
2017
影响因子：
1.3
通讯作者：
Sun Bianxia
中科院分区：
文献类型：
--
作者：
Sun Zesheng;Sun Bianxia
本文采用经典的向量自回归方法和Hodrick-Prescott滤波方法构建的冲击因子回归模型，实证研究了货币因素对中国有色金属价格及其预期形成的影响。研究发现，货币因素对中国有色金属价格有显著的正向影响，并在2006年8月前后发生了结构性变化。期货价格滞后于现货金属价格的预期形成机制，主要来自国际市场的风险传导到中国市场。
Employing both classical vector autoregressive methodology and regression models utilizing shock factors constructed with the Hodrick–Prescott filtering method, this paper empirically studies the influence of monetary factors on the price of nonferrous metals and their expectation formation in the Chinese market. Monetary factors are found to significantly positively influence Chinese nonferrous metal prices, and further empirical research reveals that a structural change occurred near August 2006. There is an expectation formation mechanism of lagged futures prices on spot metal prices, and the risk originating primarily from international market is transmitted to Chinese markets.