货币政策立场与大宗商品价格的非线性关系 ——基于大宗商品金融化程度的视角

选取2008年3月—2020年6月月度数据，运用TVP-SVAR-SV模型和MS-VAR模型研究货币政策立场与大宗商品价格的非线性关系。结果显示：货币政策立场对大宗商品价格具有显著的时变影响，短期效应明显大于长期效应；当金融化程度高时，货币政策立场对大宗商品价格的影响更强、持续时间更久；相比于预期到的货币政策，未预期到的货币政策冲击对大宗商品价格的影响更显著，表明货币政策立场的重要性。

Nonlinear Relationship between Monetary Policy Stance and Commodity Prices--A Perspective of Commodity Financialization

Running both the TVP-SVAR-SV and MS-VAR models on the monthly data from March 2008 to June 2020, this paper investigates the nonlinear relationship between monetary policy stance and commodity prices. The results are as follows: first, the monetary policy stance has a significant time-varying effect on commodity prices, with the short-term effect significantly larger than the long-term one; second, the effect is stronger and lasts longer in the highly financialized zone; third, comparing with that of anticipated monetary policy, the impact of unanticipated monetary policy is more significant, indicating the importance of the monetary policy stance.