本文關(guān)鍵詞： 大宗商品 VAR模型 CRB指數(shù)　出處：《廈門大學(xué)》2014年碩士論文　論文類型：學(xué)位論文

【摘要】：經(jīng)過幾十年的高速發(fā)展,中國已經(jīng)在全球經(jīng)濟(jì)、政治和安全領(lǐng)域扮演著顯赫的角色,成為世界第二大經(jīng)濟(jì)體。然而對外開放程度越來越高,工業(yè)化、城市化發(fā)展的要求進(jìn)一步升級,中國作為一個嚴(yán)重資源依賴的國家,本身的資源存量無法支持巨大且高速增長的需求,造成我國在能源、原材料等大宗商品方面的國際需求不斷提高。盡管2013年中國整體經(jīng)濟(jì)增長放緩,但大宗商品進(jìn)口量仍加速增長。原油、大豆、鐵礦石和銅的進(jìn)口量均達(dá)到歷史最高水平。其中進(jìn)口原油2.8億噸,同比增長4%,大豆進(jìn)口量為6338萬噸,同比增加8.6%。 近些年來,由于2008年金融危機(jī)的余溫效應(yīng),國際環(huán)境仍舊在不斷變化,如美國持續(xù)推行量化寬松貨幣政策,2011年澳大利亞極端天氣影響世界糧食及其他大宗商品市場,中東緊張的政治局勢、中國因素等都導(dǎo)致大宗商品的價格呈向上趨勢波動。就中國而言,進(jìn)口總量的加大、價格的劇烈波動究竟是否對經(jīng)濟(jì)產(chǎn)生影響,是正效應(yīng)還負(fù)效應(yīng),作用的機(jī)制是怎樣的,影響程度到底有多大,還是很值得分析的問題。 本文以石油和大豆為國際大宗商品的代表,通過基本的現(xiàn)實狀況分析和相應(yīng)的價格傳導(dǎo)分析之后,用具體的數(shù)據(jù)建立向量自回歸(VAR)模型,并通過脈沖響應(yīng)圖來分析國際大宗商品價格變動對我國的居民消費(fèi)水平、貨幣供應(yīng)量、工業(yè)增加值增長率和進(jìn)出口額增長的影響及其影響程度的差別。實證分析的結(jié)果說明：國際大宗商品價格波動對這些經(jīng)濟(jì)指標(biāo)都是有影響的,相對而言,對貨幣供應(yīng)量的影響不是十分顯著。個體的實證分析中可以得出,國際大豆價格對CPI的時間持續(xù)的更長,影響更大。而國際原油價格對工業(yè)增加值增長率和進(jìn)出口額增長都是先出現(xiàn)一個正響應(yīng)后呈現(xiàn)負(fù)響應(yīng),然后影響慢慢消失。最后根據(jù)分析結(jié)論針對大宗商品價格波動提出相應(yīng)的政策建議。
[Abstract]:After decades of rapid development, China has been in the global economic, political and security fields play a prominent role, has become the second largest economy in the world. However, the opening degree is more and more high, industrialization, further upgrading the city development requirements, rely on China as a serious resources, the resources can not support itself the huge and rapidly growing demand, resulting in China's energy, raw materials and other commodities in the international demand continues to increase. Although the 2013 Chinese overall slowdown in economic growth, but the amount of commodity imports is still accelerating growth. Imports of crude oil, soybeans, iron ore and copper reached the highest level in history. The crude oil imports 2.8 million tons, an increase of 4%, soybean imports 63 million 380 thousand tons, an increase of 8.6%.
In recent years, due to over temperature effect of the 2008 financial crisis, the international environment continues to change, such as the United States continue to implement quantitative easing monetary policy, the 2011 Australian extreme weather world food and other commodity markets, the Middle East political tensions in the country, and other factors have led to commodity price fluctuating upward trend. China, increase of total imports, price volatility is whether the impact on the economy, is also positive effect negative effect, the mechanism is how, how much, also is very worthy of analysis.
In this paper, oil and soybean as the representative of the international commodity, then through the analysis of the basic situation and the corresponding price, a vector autoregression with specific data (VAR) model, and through the pulse analysis of international commodity price changes on China's consumption level response, money supply, industry effect of growth rate and increase the value of import and export volume growth and influence degree of difference. The results of the empirical analysis shows that the international commodity price fluctuations on the economic indicators are, relatively speaking, the impact on money supply is not very significant. The empirical analysis of the individual can be drawn, the international soybean prices of CPI of longer duration, greater impact. While the international crude oil prices of industrial added value growth rate and the amount of import and export growth are the first to appear a positive response after the negative response, however The post effect slowly disappears. Finally, according to the conclusion of the analysis, the corresponding policy suggestions are put forward for the fluctuation of commodity price.

【學(xué)位授予單位】：廈門大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2014
【分類號】：F726;F124

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本文編號：1460649