|
|
|
| Commodity Price Influence and Monetary Policy Trade-offs: Base on the Financial Attribute of Oil View |
| ZHANGCheng, FAN Lifu
|
School of Computer Science, Sichuang University
School of Finance, Dongbei University of Finance and Economics |
|
|
|
|
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.
|
|
Published: 18 January 2018
|
|
|
|
|
| [4] |
Alquist R. and L. Kilian, 2010, What Do We Learnfrom the Price of Crude Oil Futures? Journal of Applied Econometrics, 25, pp.539~573.
|
| [1] |
陈继勇,袁威和肖卫国,2013,《流动性、资产价格波动的隐含信息和货币政策选择》,《经济研究》第11期,第43~53页。
|
| [2] |
卢锋,李远芳和刘姿,2009,《国际商品价格波动与中国因素》,《金融研究》第10期,第38~56页。
|
| [3] |
易纲和王召,2002,《货币政策与金融资产价格》,《经济研究》第3期,第13~20+92页。
|
| [5] |
Barsky R.B. and L. Kilian, 2002, “Do We Really Know that Oil Caused the Great Stagflation? A Monetary Alternative” NBER Macroeconomics Annual,16,pp. 137~183.
|
| [4] |
Alquist R. and L. Kilian, 2010, What Do We Learnfrom the Price of Crude Oil Futures? Journal of Applied Econometrics, 25, pp.539~573.
|
| [6] |
Belke A., I. Bordon and T. Hendricks, 2010, “Global Liquidity And and Commodity Prices:a Cointegrated VAR Approach for OECD Countries” Applied Financial Economics, 20(3), pp.227~242.
|
| [5] |
Barsky R.B. and L. Kilian, 2002, “Do We Really Know that Oil Caused the Great Stagflation? A Monetary Alternative” NBER Macroeconomics Annual,16,pp. 137~183.
|
| [7] |
Belke A., W. Orth and R. Setzer, 2010.“ Liquidity and the dynamic pattern of asset price adjustment: a global view” Journal of Banking and Finance, 34, pp.1933~1945.
|
| [6] |
Belke A., I. Bordon and T. Hendricks, 2010, “Global Liquidity And and Commodity Prices:a Cointegrated VAR Approach for OECD Countries” Applied Financial Economics, 20(3), pp.227~242.
|
| [8] |
Bernanke B.S., M. Gertler and M.W. Watson, 1997, “Systematic Monetary Policy and the Effects of Oil Price Shocks” Brookings Papers on Economic Activity, 1997(1), pp.91~157.
|
| [7] |
Belke A., W. Orth and R. Setzer, 2010.“ Liquidity and the dynamic pattern of asset price adjustment: a global view” Journal of Banking and Finance, 34, pp.1933~1945.
|
| [9] |
Bodenstein M., L. Guerrieri and L. Kilian, 2012, “Monetary Policy Responses to Oil Price Fluctuations” CEPR Discussion Papers No.8928.
|
| [8] |
Bernanke B.S., M. Gertler and M.W. Watson, 1997, “Systematic Monetary Policy and the Effects of Oil Price Shocks” Brookings Papers on Economic Activity, 1997(1), pp.91~157.
|
| [10] |
Frankel J.A., 2008, “The Effect of Monetary Policy on Real Commodity Prices” Asset Prices and Monetary Policy, J. Campell (ed.), University of Chicago Press.
|
| [9] |
Bodenstein M., L. Guerrieri and L. Kilian, 2012, “Monetary Policy Responses to Oil Price Fluctuations” CEPR Discussion Papers No.8928.
|
| [11] |
Frankel J.A. and A.K. Rose, 2010, “Determinants of Agricultural and Mineral Commodity Prices” HKS Faculty Research Working Paper Series RWP10~038.
|
| [10] |
Frankel J.A., 2008, “The Effect of Monetary Policy on Real Commodity Prices” Asset Prices and Monetary Policy, J. Campell (ed.), University of Chicago Press.
|
| [12] |
Hamilton J. D., 1983, “Oil and the Macroeconomy since World War II” The Journal of Political Economy, Vol.91(2), pp. 228~248.
|
| [11] |
Frankel J.A. and A.K. Rose, 2010, “Determinants of Agricultural and Mineral Commodity Prices” HKS Faculty Research Working Paper Series RWP10~038.
|
| [13] |
Hamilton J. D., 2008,“Understanding Crude Oil Prices” National Bureau of Economic Research w14492.
|
| [12] |
Hamilton J. D., 1983, “Oil and the Macroeconomy since World War II” The Journal of Political Economy, Vol.91(2), pp. 228~248.
|
| [14] |
Hamilton J.D., 2011, “Historical Oil Shocks” NBER Working Paper w16790.
|
| [13] |
Hamilton J. D., 2008,“Understanding Crude Oil Prices” National Bureau of Economic Research w14492.
|
| [15] |
Kilian L., 2009, “Not All Oil Price Shocks Are Alike: Disentangling Demand and Supply Shocks in the Crude Oil Market” American Economic Review, 99(3), pp.1053~1069.
|
| [14] |
Hamilton J.D., 2011, “Historical Oil Shocks” NBER Working Paper w16790.
|
| [16] |
Kilian L. and B. Hicks, 2013, “Did Unexpectedly Strong Economic Growth Cause the Oil Price Shock of 2003-2008?”Journal of Forecasting, 32(5), pp.358~394.
|
| [15] |
Kilian L., 2009, “Not All Oil Price Shocks Are Alike: Disentangling Demand and Supply Shocks in the Crude Oil Market” American Economic Review, 99(3), pp.1053~1069.
|
| [17] |
Kilian L. and D. P. Murphy, 2014, “The role of inventories and speculative trading in the global market for crude oil” Journal of Applied Econometrics, 29(3), pp.454~478.
|
| [16] |
Kilian L. and B. Hicks, 2013, “Did Unexpectedly Strong Economic Growth Cause the Oil Price Shock of 2003-2008?”Journal of Forecasting, 32(5), pp.358~394.
|
| [18] |
Ratti R.A. and J. Vespignani, 2013. “Why are crude oil prices high when global activity is weak? ” Economics Letters, 121, pp.133~136.
|
| [17] |
Kilian L. and D. P. Murphy, 2014, “The role of inventories and speculative trading in the global market for crude oil” Journal of Applied Econometrics, 29(3), pp.454~478.
|
| [19] |
Tang K. and W. Xiong, 2010, “Index Investment and Financialization of Commodities” NBER Working Paper w16385.
|
| [18] |
Ratti R.A. and J. Vespignani, 2013. “Why are crude oil prices high when global activity is weak? ” Economics Letters, 121, pp.133~136.
|
| [19] |
Tang K. and W. Xiong, 2010, “Index Investment and Financialization of Commodities” NBER Working Paper w16385.
|
|
|
|
