An Empirical Study on the Impact of Commodity Price Volatility on China's Monetary Policy
This paper uses the cointegration correlation theory model method and the monthly data from May 2004 to October 2023 to study the role and impact of the futures market price index(total index and various sub-indices of energy,chemicals,non-ferrous metals,grains,oilseeds and soft commodities)on monetary policy variables(re-serve ratio,net open market supply,interbank lending rate,USD/RMB exchange rate,money supply M0,M1 and M2).It is found that the total commodity futures price index and the non-ferrous index have a strong guiding effect on the monetary policy variables except for the net supply of open market operations.All other sub-indices have a strong impact on individual monetary policy variables,except for oils and oilseeds,and generally speaking,the gener-al commodity price index and the non-ferrous commodity price index have a greater impact on monetary policy.The cointegration test and error correction model show that in the long and short term,various indices of futures prices have different quantitative effects on monetary policy variables,and the shock response function curve reflects that each in-dex of futures price has different delayed effects on monetary policy variables,indicating that the overall impact of fu-tures price index on monetary policy variables is greater,but the role of different sub-indices is different.Therefore,taking a variety of measures to balance the development of the futures market and better enhance the impact of the fu-tures price index on monetary policy will help improve the implementation effect of monetary policy and better promote the development of macroeconomy.
Commodity Price IndexMonetary PolicyCausality TestCointegration TestECM Model
万方数据
维普
