Study On The Volatilities Of International Commodity Prices

Studing the volatilities of international commodity prices from the perspectives of the economic growth of new emerging markets and the monetary policies of developed countries and the representative factors of China's economic growth and U.S. monetary policies are accounted into the empirical analysis. At first, under building the VAR model, the parameter stability test and BDS test are adopted and find that the parameters in the VAR model does not have the stability, so the Markov-Regime Switching Vector Autoregression Model is used to analyze the relationship between the five kinds of commodity prices and China's industrial output, American real interest rates and U.S. dollar index from January 2000 to July 2011, empirical results show that:(1)there is a non-linear correlation between between the five kinds of commodity prices and China's industrial output, American real interest rates and U.S. dollar index factors; (2) sub-prime crisis is the primary reason for the regime switching; (3) China's industrial output play a role in promoting v the commodity price, after the sub-prime crisis, its role enhanced. (4) U.S. monetary policies have influence on the commodity prices after the sub-prime crisis. (5) the sub-prime crisis has influenced the price of copper and crude oil before having affection on the price of gold and soybean. Thus, under the global division of labor, China as a manufacturing power its demand for commodities will push commodity prices, through the United States as a financial power, its monetary policy on the prices of commodities have a strong impact. Therefore, China should establish a sound strategic resource reserve system. At the same time, speeding up the futures market constructing, and promoting China's futures market becoming the world's major centers of commodity pricing.