| The frequency of commodity’s price fluctuation has increased since 2008 and the commodity showed a remarkable financialization characteristics. Many Domestic and international numerous scholars believe that the development of the commodity financialization make the financial factors on the fluctuation of commodity prices increases greatly and weake the actual supply and demand of commodity price.To study how the development of commodity financialization influence on commodity price’s formation mechanism, this article choose U.S. crude goods as the research object,establish the VAR model which contain the price of crude oil and its influence factors, and use variance decomposition to inspect the contribution of the various factors on the crude oils’ price fluctuations. The result shows that the financial factors influence on futures price fluctuations than non-financial factors, and financial factors influence on spot price volatility is in line with non-financial factors. In order to more carefully study the influence of the financial factors’ impact on the price of crude oil, this paper choose speculative capital growth as threshold variable, the price of crude oil and its major financial factors as endogenous variables to establish TVAR model. This article use generalized impulse response to study various financial factors’ impact on the fluctuation of the price of crude oil in different growth environment of speculation, and the results show that the futures price give a strong reaction to the impact of financial factors in low growth environment of speculation, and the duration is longer, the spot price give a strong reaction to the impact of financial factors in high growth environment of speculation, and the duration is longer. On this basis, this article argues that speculative early warning mechanism should be established to monitor the risk of the crude oil price fluctuations caused by the large-scale enter or leave of speculative capital. |
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