利率场化进程商品价格变动及货币政策效应.PDF

理论综合 利率市场化进程、商品价格变动及货币政策效应 郑尊信 倪英照 徐晓光 (深圳大学经济学院，广东 深圳 518060) 摘要： 尚处于市场化进程的市场利率不宜直接作为商品期货定价的影响因素，但又蕴含了货币市场资金状况的重要市场 信息。为此，借助商品期货定价模型，将市场利率的信息传递机制纳入到隐含利率动态过程，采用六种商品期货合约进 行实证研究，结果表明：(1)市场利率的信息传递机制依赖于商品种类，不同商品期货所隐含利率对市场信息的响应机 制有所差异；(2)货币市场趋于紧缩时，铝、铜、锌等商品因贸易融资套利效应导致库存需求增加，隐含利率有下降趋 势；货币市场趋于宽松时隐含利率倾向高波动性；(3)市场利率信息被隐含利率长期均衡水平吸收从而改变长期基差水 平；被隐含利率波动率吸收进而影响隐含利率对基差的影响程度。 关键词：利率市场化；市场利率；隐含利率；商品价格变动 Abstract: Since market interest rate is still in the process of liberalization, it is not favorable to directly regard it as the factor influencing commodity futures prices. However, the market interest rate contains vital market information that reflects liquidity conditions in monetary market.This paper utilizes implied interest rate process by means of absorbing information shock mechanism of real market interest rate into implied interest rate dynamic processes. We study the implied interest rate processes in six commodity futures traded in Chinese commodity futures market. The empirical results show: (1) the information transition mechanism of market interest rate in commodity markets depends on specified commodity. Implied interest rate distilled from different commodity shows different reaction mechanism to market information; (2) as aluminum, copper and zinc are usually served as collateral for financing, the demand for storage of them increases when liquidity condition in monetary market is likely to tighten, which leads to a downward tendency of implied interest rate; and loose monetary market stance is usually accompanied by high volatility of implied interest rate; (3) information in real market interest rate is absorbed by implied long-term equilibrium interest rate to influence long-term level of basis and is absorbed by volatility of implied interest rate to influence the