| As the basic resources and important production raw materials for the survival of human society,the frequent fluctuations of international commodity prices will cause serious interference to the smooth operation of national economy and the normal production of industry and agriculture.In recent years,the political and economic situation in the world has been complex and volatile,trade protectionism is on the rise,anti-globalization is surging,and the factors of instability and uncertainty in the world have increased significantly.With the continuous development and improvement of the commodity futures market,especially after the outbreak of the global financial crisis in 2008,governments around the world generally adopted loose monetary policies,and the increase in liquidity of the global market prompted a large number of international capital to pour into the crude oil,coal,agricultural products,basic metals and other commodity markets,which caused the international commodity prices to deviate from the fundamentals.As a result,it has become increasingly financialized.In addition,combined with the impact of "black swan" events such as the new coronavirus pandemic in early 2020 and the Ukraine crisis in early 2022 and other unexpected factors,the volatility of international commodity prices has become more intense,and the volatility law has become more difficult to capture.International commodities cover a wide range of types.Oil,coal,natural gas and other energy commodities are known as the "blood of industry",which is not only related to the normal operation of industrial production in countries around the world,but also as an important non-renewable strategic resource and essential element of industrial production,because of its scarcity,it has become the object of competition between major forces in the world and major economies in the world.Leading to a series of geopolitical conflicts;Non-ferrous metals,ferrous metals,precious metals,chemical materials and other bulk commodities are widely used in most industrial industries;Primary agricultural products such as corn,soybeans,wheat,livestock and live poultry are not only related to the national economy,people’s livelihood and social stability,but also an important strategic support for national security.At the same time,as one of the world’s largest importers and consumers of international commodities,China ranks first in the consumption demand for 19 commodities among the 25 major international commodities categories,among which the external dependence on crude oil,natural gas,beans,palm oil,nickel,natural rubber,copper,iron ore and other international commodities exceeds 50%.External dependence continues to be high,heavily dependent on imports,bargaining and pricing power is relatively weak,and it is one of the largest consumer and importer of bulk commodities in the world,which is the basic status quo faced by China in the international bulk commodity market.So,what are the characteristics of the price fluctuations and price cycles of international commodities? How will fluctuations in international commodity prices affect China’s macro economy? And through what channels will it be transmitted? The consideration of the above questions constitutes the main research content of this paper.The arrangement of the research content in this paper follows the general idea of "feature analysis → theoretical modeling → empirical testing",and the specific chapters are arranged as follows: Chapter 1 is the introduction,which mainly describes the research background and significance of this paper,reviews the research results on international commodity price fluctuations and their macroeconomic effects at home and abroad in recent years,and on this basis,briefly introduces the research content,research methods,main innovations and shortcomings of this paper.Chapter2 mainly defines and sorts out the relevant concepts of international commodities from the aspects of definition,characteristics and pricing mechanism,and gives a unified explanation of the three types of international commodity price indicators mainly used in this paper,and finally introduces the theoretical basis of the price decision of international commodities and its impact on the macro economy.Chapter 3 first describes the short-term volatility characteristics of international commodity prices based on ARCH family model,and constructs SVAR model and SV-TVP-VAR model to identify the impact of four structural shocks,namely geopolitical risk,supply shock,global real economic demand and speculative demand,on commodity price volatility and its time-varying characteristics.Secondly,Hamilton filter and wavelet decomposition technology are used to identify the price cycle of international commodities,and on this basis,the vector autoregressive model of wavelet smoothing is constructed to test the driving effect of global economic cycle and financial cycle on international commodity price cycle.Chapter 4 builds a dynamic stochastic general equilibrium model to numerically simulate the dynamic impact path of exogenous shocks of international commodity price fluctuations on China’s main macroeconomic variables.Chapter 5 builds a five-variable SVAR model including international commodity prices,Gross domestic product,consumer price index,total social retail sales and OECD composite leading index,and empirically tests the impact of international commodity price fluctuations on major macroeconomic variables in China.Chapter 6 empirically examines the impact of international commodity price fluctuations on China’s inflation from two aspects: component chain decomposition and indirect transmission channels.Chapter 7 follows the same idea and empirically tests the influence of international commodity price waves on China’s output level from two aspects: component chain decomposition and indirect transmission channels.Chapter 8 summarizes the main research conclusions of this paper,and puts forward targeted policy recommendations on this basis.The main conclusions of this paper are as follows:First,the study of international commodity price fluctuations.The study on the volatility characteristics of international commodity prices finds that the volatility clustering of international commodity prices has the characteristics of category differentiation,that is,the general international commodity price index,the energy commodity price index and the basic metal commodity price index fluctuate in groups,while the volatility clustering characteristics of other categories of commodity prices are not obvious.The research of commodity price asymmetry based on TARCH model and EARCH model shows that the positive impact of positive factors on energy commodity market is smaller than the negative impact of negative factors on energy commodity price.Furthermore,a five-variable VAR model is constructed,which includes geopolitical risk,supply shock,global real economic demand,speculative demand and international commodity prices,and the impact of four structural shocks on international commodity price fluctuations is empirically tested.It is found that the rise of geopolitical risk,the increase of global real economic demand and the increase of speculative demand will obviously lead to the rise of international commodity prices,while the positive impact of oil supply will lead to the decline of energy commodity prices.The empirical results based on SV-TVP-VAR model show that although the impact of four kinds of structural shocks on commodity prices from the overall response direction is consistent with the benchmark SVAR model,there are some time-varying characteristics at the same time.Second,the study of the international commodity price cycle.Under the condition that the cycle length is not set in advance,Hamilton filter is used to eliminate the trend items in the international commodity price series.On this basis,wavelet decomposition technology is used to further eliminate the high-frequency noise in the price fluctuation series.Finally,a relatively smooth international commodity price cycle series is obtained.According to the "valley to valley" method,the international commodity price cycle series from 2005 to 2023 is divided into four cycles.On the basis of identifying the international commodity price cycle,Hamilton filter and wavelet decomposition technology are further used to identify the global economic cycle and global financial cycle.Based on the identification results,wavelet smoothing impulse response function is constructed to test the driving factors of the international commodity price cycle.The empirical results show that the positive impact from the global economic cycle will stimulate the demand for international commodities,and then promote the commodity market to enter the boom cycle;The positive impact from the global financial cycle has a negative impact on the international commodity price cycle,because the positive impact of the global financial cycle based on the VIX index means that global investors’ confidence is weakened,the panic level is intensified,and the withdrawal of funds will drive the international commodity prices into a downward cycle.The results of impulse response after switching variable order also support the above conclusions.Third,the theoretical research on the impact of international commodity price fluctuations on China’s macro economy.By constructing a dynamic stochastic general equilibrium model including bulk commodities,international bulk commodities enter the production function of intermediate goods manufacturers and the consumption of representative households at the same time,and analyze the impact of international commodity price fluctuations on China’s main macroeconomic variables from a theoretical point of view.The results of numerical simulation show that the rise of commodity prices directly reduces the level of commodity consumption,and has a negative impact on total consumption and total output.In terms of the magnitude of the shock,the impact of commodity price fluctuations on output appears to be greater than that on inflation.Among the effects on other variables,a one-standard deviation positive movement in commodity prices leads to an increase in interest rates,an increase in marginal costs,and a decrease in investment levels.From the transmission channel analysis,the positive impact of commodity prices directly leads to the increase of production costs of related enterprises and is transmitted to other industrial chains,and finally causes imported inflation.The transmission channel to the level of total output can be summarized from three aspects: First,the inflation caused by the rise of commodity prices will directly lead to the contraction of total consumption,which will have a negative impact on output;Second,in order to cope with the inflation caused by the rapid rise of commodity prices,the monetary authorities will adopt tight monetary policies,which will lead to the rise of interest rates,increase the cost of capital use of enterprises,and make enterprises and other market entities shrink their economic activities,thus forming a further "secondary disaster" on the total output level.Third,the positive impact of commodity prices also raises the marginal cost of enterprises,leading to a decline in investment,which further worsens the output level of the economy.Fourth,the empirical study on the impact of international commodity price fluctuations on China’s macro economy.The VAR model of five-variable structure,which includes GDP,consumer price index,total retail sales,OECD Composite leading index and international commodity prices,is constructed to empirically test the impact direction and impact degree of international commodity price fluctuations on China’s output level,inflation,consumption level and short-term macroeconomic prosperity.The empirical results show that the positive impact of the international general commodity price index will lead to the decline of GDP,total retail sales and composite leading index,and lead to the rise of consumer price index.Among them,the fluctuation of energy commodity price index has the biggest impact on China’s macro economy,followed by the general international commodity price index,and the fluctuation of food commodity price index has the least impact.The results based on variance decomposition show that the international commodity price fluctuations explain the OECD composite leading index most strongly,followed by the consumer price index,the total social retail sales fluctuations,and the gross domestic product(GDP).At the same time,there are differences in the contribution of the three commodity price indexes to the fluctuations of various macroeconomic variables.The basic rule is that the energy commodity price has a relatively large explanation for each variable,followed by the general international commodity price index,and the food commodity price has the least explanation.Finally,based on the international financial crisis in 2008,the global pandemic of the novel coronavirus in 2020 and the Russia-Ukraine conflict in 2022,three typical socio-economic or geopolitical events that have a serious impact on the international commodity market,the SVAR model is re-estimated after imposing narrative constraints and symbolic constraints.Compared with the benchmark model,the impulse response set based on narrative method and symbolic constraint is obviously narrowed.Fifth,the channel analysis of the impact of international commodity price fluctuations on inflation.First,we empirically examine the decomposition effects of international commodity price fluctuations on various components of inflation.The results of impulse response analysis show that the positive impact of the international general commodity price index has a positive impact on China’s consumer price index and its component chains.The positive fluctuations of energy commodity prices and food commodity prices also promote the consumer price index and its component chain and show two characteristics: First,the impact on their respective price indexes is relatively larger,that is,the price fluctuation of energy commodities has a greater impact on the consumer price index(energy),and the price fluctuation of food commodities has a greater impact on the consumer price index(food);Second,in addition to the positive impact on their respective price indexes,they also have a positive promoting effect on the core price index,namely the consumer price index(excluding food and energy),indicating that the promotion effect of rising commodity prices on inflation has the characteristics of spillover.Secondly,referring to Peersman’s research framework(2022),the five-variable MF-VAR model including nominal exchange rate,consumer price index,producer price index,wage level and GDP deflator is constructed.The empirical results show that the impulse response of RMB nominal exchange rate and wage level and the impulse response results of consumer price index,producer price index and GDP deflator show the characteristics of synergic changes in form,that is,the positive impact of international commodity prices will cause the nominal exchange rate to rise,the local currency to depreciate,and the wage level to rise.Finally,the domestic price level generally rises,which indicates that the depreciation of local currency and the rise of wage level may be the two indirect channels of imported inflation caused by the rise of international commodity prices.Sixth,the channel analysis of the impact of international commodity price fluctuations on output levels.First,the three variables of consumption,investment and export are included in the model together with GDP to empirically test the impact of international commodity price fluctuations on China’s output level and its various components.The empirical results show that the adverse impact of the rise of the general international commodity price index on the level of domestic output mainly lies in its inhibitory effect on the level of consumption.Although the positive fluctuation of the general international commodity price index will promote the increase of export volume in the short term,the promotion effect still cannot offset the adverse impact on the level of consumption and investment.The result is a decline in GDP,and the empirical results of energy commodity prices and food commodity prices as exogenous shocks also support the above conclusions.Secondly,based on domestic and foreign literatures,this paper proposes the monetary channel hypothesis that international commodity prices affect output levels,and constructs a five-variable structural VAR model that includes international commodity prices,short-term nominal interest rates,money supply,gross domestic product and industrial added value,aiming to test the impact of international commodity price fluctuations on output levels.The dynamic adjustment path of short-term interest rate and money supply.The empirical results show that the impact of international commodity prices on short-term interest rates and money supply is very significant,and their positive fluctuations have a negative impact on the output level,and at the same time lead to the rise of short-term interest rates and the reduction of money supply,which indicates that in the face of the impact of rising international commodity prices,Governments and monetary authorities will have to choose between suppressing prices and stabilizing output,i.e.tight monetary policies aimed at curbing inflation may adversely affect output levels.The main innovations of this paper are as follows:First,regarding the identification of sources of international commodity price fluctuations,most studies mainly focus on the impact of commodity supply and demand fundamentals on their price fluctuations,and few studies include continuous geopolitical risk factors and financial market speculation factors as influencing factors of commodity price fluctuations into the analysis framework.This paper further expands Kilian’s(2009)research framework and introduces the geopolitical risk index constructed by Caldara and Iacoviello(2018)based on text analysis technology to quantify the degree of geopolitical risk.The speculative pressure index of oil,wheat,corn and soybean is constructed by the number of non-commercial short positions and the number of non-commercial arbitrage positions to measure the speculative demand in the commodity futures market.Finally,in Chapter 3,this paper constructs a fivevariable SVAR model,including geopolitical risk,global real economic demand,supply demand,speculative demand and international commodity prices,to identify the impact of four structural shocks on international commodity price fluctuations.Furthermore,the TVP-VAR-SV model is used to examine the time-varying characteristics of four structural shocks affecting international commodity price fluctuations.Second,the traditional band-pass filtering method needs to manually set the cycle length first,which may lead to errors in the recognition results.At the same time,the length of the international commodity price cycle is theoretically unknowable and time-varying.Based on the filter extraction method proposed by Hamilton(2018)and the research ideas proposed by Tan Xiaofen et al.(2022),this paper extracts the cyclical factors in international commodity prices through a linear projection model.On this basis,wavelet decomposition technology is used to further filter out the highfrequency noise in the periodic term.In order to avoid the identification error caused by the traditional bandpass filter legal person to set the cycle length,and reduce the interference of occasional short-term random factors on the commodity price cycle series,finally get a relatively smooth international commodity price cycle series.On this basis,CPB Global Industrial production index and VIX financial fear index are introduced to empirically test the driving role of global economic cycle and financial cycle on the international commodity price cycle.Third,in the impact identification,it is often unable to provide more constraints from the theoretical point of view,the more secure way is to use narrative method for analysis.In Chapter 5,when empirically testing the impact of international commodity price fluctuations on China’s macro economy,this paper first uses Cholesky restriction to benchmark the model,and in the subsequent robustness test,Based on three typical socio-economic or geopolitical events that have severe impacts on international commodity prices,namely the international financial crisis in 2008,the global pandemic of COVID-19 in 2020 and the crisis in Ukraine in 2022,the SVAR model is re-estimated with narrative constraints and symbolic constraints.This can avoid the endogeneity problem that the empirical model can exist to some extent. |
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