欧洲央行货币政策和商品价格

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欧洲央行货币政策和商品价格

ECB Monetary Policy and Commodity Prices

作者：

沙里里亚·阿里耶夫（Shahriyar Aliyev）

埃夫森·科森达（Evzen Kocenda）

We analyze the impact of the ECB monetary policies on global aggregate and sectoral commodity prices using monthly data from January 2001 till August 2019. We employ a SVAR model and assess separately period of conventional monetary policy before global financial crisis (GFC) and unconventional monetary policy during post-crisis period. Our key results indicate that contractionary monetary policy shocks have positive effects on the aggregate and sectoral commodity prices during both conventional and unconvetional monetary policy periods. The effect is statistically significant for aggregate commodity prices during post-crisis period. In terms of sectoral impact, the effect is statistically significant for food prices in both periods and for fuel prices during post-crisis period; other commodities display positive but statistically insignificant responses. Further, we demonstrate that the impact of the ECB monetary policy on commodity prices increased remarkably after the GFC. Our results also suggest that the effect of the ECB monetary policy on commodity prices does not transmit directly through market demand and supply expectations channel, but rather through the exchange rate channel that influences the European market demand directly.
我们使用2001年1月至2019年8月的月度数据分析欧洲央行货币政策对全球总和部门商品价格的影响。我们采用SVAR模型，分别评估了全球金融危机（GFC）之前的常规货币政策和非常规货币政策的时期在危机后时期。我们的主要结果表明，在常规和非常规货币政策时期，紧缩性货币政策冲击对总体和部门商品价格产生积极影响。对于危机后时期的商品总价，该影响具有统计意义。就部门影响而言，这两个时期的粮食价格和危机后时期的燃料价格在统计上都具有显着影响；其他商品显示出积极但统计上微不足道的反应。此外，我们证明，在全球金融危机之后，欧洲央行货币政策对商品价格的影响显着增加。我们的结果还表明，欧洲央行货币政策对商品价格的影响不是直接通过市场需求和供给预期渠道传递，而是通过直接影响欧洲市场需求的汇率渠道传递。

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关键词：央行货币政策 央行货币 商品价格 欧洲央行 货币政策

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