Abstract:
This paper constructs a structural vector autoregressive model using monthly data ranging from April 2003 to June 2013 based on zero restrictions on contemporaneous response matrix to investigate the relationship between Chinese liquidity and world crude oil price empirically. The results show that: the impacts of global liquidity on world oil price have been decreasing, the impacts of China’s liquidity have been increasing; there is a tradeoff between monetary expansion and the oil price increase, which weakens the autonomy of China’s monetary policy to some extent; frequent and large scaled monetary policy adjustment and control weakens the exogeneity and strengthen the endogeneity of oil price shock.
张程, 范立夫. 大宗商品价格影响与货币政策权衡——基于石油的金融属性视角[J]. 金融研究, 2017, 441(3): 72-85.
ZHANGCheng, FAN Lifu. Commodity Price Influence and Monetary Policy Trade-offs: Base on the Financial Attribute of Oil View. Journal of Financial Research, 2017, 441(3): 72-85.
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