The Research On The Influence Of Commodity Prices To Interest Rate Policy

As an important means of government macro-control,interest rate policy has been frequently used in recent years.However,with the development of economy and society,more and more factors restrict the effectiveness of interest rate policy.Especially in recent decades,the rapid development of the domestic commodity market has given the microeconomic main body more choice of assets,and affected inflation and economic growth through consumption and production and other links.Therefore,this paper studies the impact of commodity price volatility on interest rates,inflation and output,and whether central bank interest rate policy can reasonably respond to fluctuations in commodity prices.It is hoped that through the establishment of a reasonable link between commodity price and interest rate policy,it will provide reference for the formulation of central bank interest rate policy.First,the paper builds an open economy theoretical model that includes commodity prices and interest rate policy,and then derives the optimal interest rate setting by optimization method.After preparing commodity price index of china,it analyzes the relationship among asset prices,inflation,output and interest rates by the VAR method and calculates the optimum interest rate time-variant response coefficients against commodity price through State-Space model method.The empirical studies show the commodity price can influence output significantly,and challenge the effectiveness of interest rate policy.For effective regulation of the real economy,the central bank interest rate policy should response to the commodity price fluctuations according to the optimum interest rate time-variant response coefficients.The paper has innovated in four aspects: Firstly,compiles the domestic commodity price index which is suitable as the interest rate policy decision basis.This paper chooses the most representative commodity futures contract and the most practical and accurate method,so as to formulate the index which can provide the reference of interest rate policy for the central bank to judge the price situation of Chinese commodity.Secondly,the paper expands the mature economic model to make it more in line with the economic and social development.This paper deduces the optimal interest rate reaction equation which is suitable for the present situation of China and considers the fluctuation of commodity price,so as to provide the theoretical basis for interest rate policy regulation.Thirdly,the paper estimates the effect of commodities price on interest rate policy,proofing that the commodity prices have gradually become a very important asset price factors which significant impact the real economy.Fourthly,the paper quantified the relationship between commodity prices and interest rate policy.In this paper,the state-space model is used to estimate the time-varying parameters,which can be used to calculate the optimal response coefficient and provide a more quantitative basis for the central bank policy to response to the commodity price fluctuations.