A Feasibility Study: China's Commodity Futures Price Index Functions As A Referential Variable Of Monetary Policy

Commodity Futures Price Index is a comprehensive reflection of the overall trend of the prices in the futures market.Some International commodity futures price indexes are usually regarded as the predictor of inflation indicators,which can provide early warning signals to the macroeconomic policy makers.At present,China's commodity index system has been initially constructed.In order to discuss whether China Commodity Futures Price Index can predict the magnitude and direction of price changes and study the feasibility of bringing China's commodity futures price index into the monetary policy referential index.This article firstly analyzes the correlation between monetary policy and commodity futures price: discussing the influence of monetary policy on commodity futures prices,through regular and unconventional channels.Then on the contrary,discuss the influence of commodity futures market on the effect of monetary policy,separating into the entity economy and the financial economy.The analysis result suggests that a link existed between monetary policy and commodity futures market.In the empirical part,based on the futures market theory,this article establishes price transmission assumptions between the prices of future,industrial products,and consumer goods.By using the Fisher equation,the article qualitatively analyze the correlation between money supply,economic growth,commodity futures price index and the inflation index PPI,CPI.Then select the monthly data of Nan Hua commodity index(nh0100),CPI,PPI,money supply(M2)from March 2007 to December 2016.And analyze the data by using stationary test and co-integration test to establishes the VAR Model and then uses Granger causality test and correlation analysis to obtain the corresponding analysis conclusions.The conclusions of empirical parts shows the Nan Hua Commodity Index reflects the change of money supply promptly in the same direction,precedes the PPI,CPI by 6 period.However,the reflection of amplitude is greater than the general inflation index;there may be a kind of "overshoot" phenomenon.Nan Hua Commodity Index can predict the future price fluctuations,and has a close relationship with intermediate variables of monetary policy.A summary of theoretical analysis and empirical research results: the current China's Commodity Futures Price Index has the basic condition of being used as a monetary policy effect of referential variable.However,due to the gap between China's futures market and developed countries',China's Commodity Futures Price Index has some restrictions and shortcomings on the design methods and the variety on futures contracts.To these shortcomings,this article proposes some corresponding policies and recommendations.