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題名：商品期貨價格與通貨膨脹—預測能力及傳導機制研究
作者：呂國銘
作者(外文)：Kuo-Ming Lu
校院名稱：國立中興大學
系所名稱：財務金融學系所
指導教授：董澍琦
楊聲勇
學位類別：博士
出版日期：2020
主題關鍵詞：期貨價格；貨幣政策；通貨膨脹；非線性；小波分析；Futures Price；Monetary Policy；Inflation；Nonlinearity；Wavelet Analysis
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期貨市場相對於現貨市場而言，更能迅速而充分反映商品實際供求資訊，且期貨市場交易品種多為國民經濟生產之重要原材料，期貨價格資訊包含投資者未來現貨價格預期，因此期貨市場應該可以有效反映宏觀價格走勢，進而為貨幣政策制定提供參考，縮短貨幣政策時滯。
首先，本文構建基於單一貨幣規則之商品期貨價格指數與數量型貨幣政策傳導機制理論模型，發現貨幣政策可首先傳導至期貨價格，進而傳導至生產者價格指數（PPI），最後傳導至消費者價格指數（CPI）。第二，在對中國期貨市場簡要介紹後，本文採用一系列非線性單序列檢驗方法（如突變點單根檢驗、GSADF檢驗、Fourier ADF檢驗等）考察期貨價格、通貨膨脹和貨幣供給走勢及穩定性，發現以上變數均為存在非線性趨勢和結構性突變之平穩資料。第三，本文採用ADL模型和MIDAS模型對期貨價格預測通貨膨脹能力進行檢驗，發現期貨價格能有效預測PPI指數，但對CPI指數預測效果不好。第四，考慮到資料存在非線性特徵，本文採用小波分析考察變數間關聯及領先滯後關係，發現確實存在由貨幣供給至期貨價格指數，最終至PPI或CPI之傳導機制。且通過計算領先滯後時長，發現期貨價格在貨幣供給和PPI指數傳導機制中作用穩定。同時，本文發現不同行業期貨價格指數對PPI指數預測能力存在差異，工業品和能源化工預測能力較強，農產品預測能力較弱。此外，儘管CPI指數與PPI指數長期記憶體在背離，貨幣政策到CPI傳導並不通暢，但本文發現農產品期貨價格在貨幣供給和CPI指數傳導機制中作用穩定。因此，本文認為有必要將期貨價格指數納入到貨幣政策調控體系，以提升貨幣政策控制通貨膨脹效率，縮短貨幣政策傳導時滯。
Compared to the spot market, the futures market can reflect the actual commodity supply and demand information more quickly. In addition, commodities in the futures market are mostly important raw materials of national economy. Futures price includes the information of investors' future spot price expectations. As a result, the futures market should be able to effectively reflect the trend of the macro price, and then provide reference for the formulation of monetary policy and shorten the time lag of monetary policy. Based on this, this paper mainly studies the reference value of commodity futures prices to China's monetary policy. The main contents of this paper are as follows:
First, this paper constructs a theoretical model to describe the transmission mechanism of monetary policy to commodity futures price under the single currency rule. It is found that monetary policy can transmit to the futures price, and further transmit to the producer price index (PPI) and the consumer price index (CPI). Second, after a briefly introduction of Chinese futures market, this paper adopts a series of nonlinear single sequence test methods (such as the mutation point of unit root test, GSADF test, Fourier ADF test) to investigate the trend and the stability of futures prices, inflation and money supply. It is found that all series are stationary process with structural breaks and nonlinear trends. Third, this paper uses the ADL model and the MIDAS model to test the capacity of futures price in forecasting inflation. The result shows that futures price can forecast PPI index effectively, but it does not predict CPI index well. Fourth, considering the nonlinear characteristics of data, we use wavelet analysis to investigate the correlation and the lead-lag relationship between variables. The wavelet analysis shows that there is indeed a transmission mechanism from the money supply to the futures price index, and ultimately to the PPI or CPI. In addition, it is found that the role of the futures price is stable in the monetary supply and PPI index transmission mechanism. Meanwhile, the futures price index of different industries shows differences in forecasting PPI index. The forecasting ability of industrial product index and energy chemical index is stronger, and the forecasting ability of agricultural product index is relatively weak. In addition, although the CPI index and PPI index deviate from the long run, this paper still finds that the futures price of agricultural products has a stable role in the monetary supply and CPI index transmission mechanism. Results of this paper suggests that it is necessary to incorporate futures price index into monetary policy regulation system, so as to enhance monetary policy control inflation efficiency and shorten the conduction time lag of monetary policy.
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