| This paper studies the effect of commodity price to the financial accelerator.The research on the effect of financial accelerator includes the asymmetry and the pro-cyclicality.But there are few studies based on commodity prices and the process of commodity prices affecting the financial accelerator effect.The research of this paper tries to make up for the deficiency in this aspect.This paper is divided into two parts.The first part carries on the theoretical analysis,based on the perspective of how commodity prices affect the financial accelerator effect.This paper select oil、natural gas、 iron ore、gold、corn,which five kinds of ingredients to measure the commodity prices.We select the monthly data of the 5 ingredients from January 2003 to June2016.We take January 2003 as the base,then calculate the monthly price index.In terms of weights,the annual output value and the net import value of the components is the total output value,the proportion of the total output value of each commodity as the weight.Finally,the weighted average method is adopted to calculate the commodity price index.The second part using the professional nonlinear TVAR model to test the financial accelerator effect.Based on TVAR model,we introduce industrial added value,money supply amount,balance of loans of financial institutions,inflation index,trade balance and commodity price index into our paper.We use monthly data from January 2003 to June2016,then we get the growth rate of raw data.Then we put the indicators into the TVAR model to test.We use the logarithmic growth rate of commodity price index as the threshold variable,and the threshold value is-0.954%.The financial accelerator effect is existent.Then we use the growth rate of the loan balance as the threshold variable,the threshold value is1.25%.It is brought into the model as the impact variable,analysis its impact on the different variables,as well as the impact of the remaining variables between the financial accelerator effect.The main conclusions is when the index growth rate is relatively low the financial accelerator effect is more obvious;credit factors,foreign trade factors have strong effects to commodity prices.Finally,this paper puts forward policy recommendations to mitigate the negative effects of the financial accelerator effect. |
