Excess Liquidity and Commodity Boom
Excess Liquidity and Commodity Boom
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DOI：
10.7763/joebm.2014.v2.106
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发表时间：
2014
期刊：
影响因子：
--
通讯作者：
S. Ohno
中科院分区：
文献类型：
--
作者：
S. Ohno
摘要：本文对流动性过剩是否是国际商品价格上涨的推动力进行了调查。本研究使用包含两个全球流动性指标和世界生产指数的结构性VAR模型来考察国际商品价格的决定因素。金融危机前，国际银行家的宽容放贷促进了大宗商品价格的上涨，而雷曼危机后，国际流动性紧缩导致大宗商品价格下跌。在商品中，工业金属的价格更多地归因于资金流动性，而原油的价格则较少依赖于流动性，因为市场被认为更容易受到投机性资金流入的影响。黄金是例外。在国际金融功能失调期间，它充当了避风港的角色。
Abstract—This paper presents an investigation of whether excess liquidity has been serving as a driving force for the increase in international commodity prices. This study uses a structural VAR model including two global liquidity indicators and the world production index to examine the determinants of international commodity prices. The lending of tolerant international bankers promoted commodity price might increase before the global financial crisis while the international liquidity squeeze brought about their decline after the Lehman Shock. Among commodities, the prices of industrial metals are more attributable to funding liquidity, and the price of crude oil, with a market believed to be more vulnerable to speculative money inflows, has been less dependent on liquidity. Gold is exceptional. It acted as a safe haven during the period of international financial dysfunction.