The Research On The Macroeconomic Effects Of International Commodity Price Fluctuation

As an important basis for social development,commodities cover almost all primary products,such as agricultural and sideline products,metal minerals and energy and chemical industry,which can be used for production and consumption.With the continuous increase of the economy,China's demand for commodities is increasing.At present,China is already the largest importer or consumer of many commodities in the world.Since twenty-first Century,the price of international commodity has fluctuated sharply,which has brought great uncertainty to the global economy.As the second largest economy in the world and the largest trading nation in the world,China is naturally hard to be independent.Then,what channels will the fluctuation of international commodity prices pass to China?What kind of impact will the fluctuation of international commodity prices bring to China's macroeconomic operation? And what is the transmission mechanism?Thinking about the above problems constitutes the research content of this article.The main conclusions draws by this paper are as follows:(1)China is fully equipped with the transmission conditions of international commodity price volatility.The impact of international commodity price fluctuation on a country's macro economy is not absolute,and it requires certain preconditions.From the perspective of China's economic development,the conditions of price transmission have been fully met.First of all,China's economic growth rate has fallen back in the "new normal" period,but still remains above6.5%,far more than other developed and developing countries.This means that our country's economic development still needs a large amount of raw material input.Secondly,China has been in a state of high consumption,high investment and low output for a long time.The imbalance between low level product overcapacity and the shortage of high-tech products,which aggravates the dependence of the economic growth on the raw materials of commodities.Third,China's high dependence on many commodities has led to the frequent exposure of the macroeconomic operation to the risk of fluctuations in international commodity prices.Fourthly,our country's strategic reserve resources are insufficient,which makes the bulk commodity appear rigid demand,which leads to the increase of import cost,and also needs to bear all kinds of negative economic effects caused by violent fluctuations in international prices;and fifth,our futures market is not mature enough,Compared with the international authoritative futures market,the price guidance ability is insufficient,and the fluctuation of international commodity price will be transmitted through the futures market to all sectors of the economic operation.(2)There are two direct channels for the impact of international commodity price fluctuation on China's macro economy: spot trade channels and futures price channels.This paper empirically analyzes the influence of current international commodity prices on China's macro-economic trade channel and price channel.Among them,the empirical analysis of trade channels uses the monthly data of CRB index and China's import situation;the empirical research on the price channel uses the domestic and foreign commodity comprehensive index,and selects fourteen kinds of more active varieties according to the current situation of the commodity futures trading in the three major markets of our country.By constructing the bivariate structure vector autoregressive(VAR)model and the vector error correction model(VECM),the existence of the two channels can be basically confirmed: the fluctuation of international commodity prices has a more intuitive impact on our trade channels.The fluctuation of international commodity prices has a significant impact on China's import situation.It can prove the existence of spot trade channels to a certain extent.In terms of futures price channels,although from a single variety,part of the international commodity price has a significant impact on the price of domestic commodities,but on the whole,the volatility of international commodity prices has a significant impact on the volatility of the comprehensive commodity prices in China.This shows the existence of price channels.(3)The impact of fluctuations in international commodity prices on China's macro economy can not be ignored.Through the establishment of 7 variable VAR model,the impact of international commodity price impact,investment proprietary technology impact,neutral technology impact and monetary policy impact on macroeconomic fluctuations is compared,and the importance of international commodity price fluctuation is proved.The sample interval selects quarterly data from 2002 to 2016,taking into account the structural impact of the subprime crisis,and setting up the SVAR model before and after the subprime crisis in the third quarter of the 2007 quarter.The results show that,in the long run,the impact of international commodity prices on investment growth is greater than that of other internal economies.The impact on consumption level is only less than that of investment proprietary technology.Inflation is weaker than neutral technology,but it is obviously stronger than the impact of monetary policy.Compared with the financial crisis,the impact of the international commodity price impact on China's macroeconomic fluctuations after the crisis has increased significantly in the field of inflation and consumption,but has weakened the impact of the investment field.(4)The impact mechanism of international commodity price fluctuation on China's macroeconomy is different under different exogenous shocks.Based on the dynamic stochastic general equilibrium model(DSGE),this paper constructs a multisectoral open economy DSGE model based on the characteristics of China's economic and financial operation.External factors such as total factor productivity,money supply and net bank value represent three factors: supply factor,macro policy factor and financial market factor.In this paper,a large number of calibration parameters are used to solve the DSGE model,and impulse response analysis is carried out according to the results of system simulation.The results show that China's inflation,consumption output ratio and investment output ratio increase when external shocks make international commodity prices rise.On the stable level,inflation and consumption output ratio will increase,but the proportion of investment and output will decrease,but it will increase gradually.The difference is that through the transfer of trade channels and price channels,the price fluctuations caused by the supply and demand factors make the domestic consumption rise and output decrease,which makes the ratio of consumption output rise and the ratio of consumption output rise.The increase in the price of international commodities caused by macro policy factors makes consumption rise and output decline,thus the ratio of consumption output has risen,but the decline in investment exceeds output and the ratio of investment output has declined.Financial market factors make domestic consumption and investment growth larger than output growth.Therefore,the ratio of consumption to output and investment output increase.Possible creative points of this paper include:Firstly,based on the fact that the international commodity price fluctuation affects the one-way transmission of China's macro-economy,the 7 variable SVAR model,including the index of international commodity price fluctuation,is constructed.Draw on other scholars' research,set short-term constraints and long-term constraints of SVAR model.The results show that the impact of international commodity price shocks on China's macro economy is very obvious in the long run and has the greatest impact on investment level.At the same time,it is also found that the difference of the impact before and after the subprime crisis is largely due to the role of the Federal Reserve's quantitative easing.Secondly,in the framework of the traditional DSGE model,in order to cover the different factors that affect the fluctuations in the price of international commodities,and according to the fact that China is mainly the importer of commodities,a DSGE model of the two countries is constructed.When setting a corresponding equation of behavior in various sectors of foreign economies,it is assumed that foreign major commodities are produced mainly,and they are linked with their own economies through trade and reach the market clearing.Thirdly,this paper considers the different sources of shocks affecting international commodity price fluctuations.Three different aspects,such as foreign total factor productivity,money supply and net value of the bank,represent the supply factors,macro policy factors and financial market factors that affect the fluctuation of international commodity prices.DSGE model is used to analyze the difference between the international commodity price fluctuation caused by different factors and the macroeconomic impact mechanism of our country.