Empirical Study Of The Impact Of Extreme Risks In International Commodity Markets On Chinese Macroeconomy

In recent years,commodity futures have been enthusiastically sought after by institutional investors such as hedge funds and pension insurance,and they have also attracted other investors to accelerate their entry.The financialization of commodity markets has made commodity prices more and more deviate from the supplydemand pricing principle.The situation of falling is more and more frequent,and commodities appear more like a financial asset.In the second half of 2008,with the advent of the global financial crisis,commodity prices fell “breaking”,and the Standard & Poor's Commodity Index fell from 1067 points on July 3,2008 to 303 points on February 18,2009.It fell by about 71.6%.With the acceleration of industrialization and urbanization,China's dependence on foreign commodities has increased year by year.The fluctuation of international commodity prices has had a significant impact on various investment decisions and policy formulation in China's various players,such as consumers,enterprises and governments.This paper studies its impact on China's macro economy from the perspective of extreme risks in the commodity market.First,in terms of extreme risk measurement,this paper selects the expected loss(MES)measurement method for seven major commodities,namely,heating oil,crude oil,gold,aluminum.,Copper(Copper),Wheat(Wheat),Corn(Corn)extreme risk measurement,sample data from January 3,2000 to December 31,2018,the Standard & Poor's Commodity Index daily rate of return,according to The measurement results analyze the evolution of extreme risks in the commodity market and the difference in risk between different commodities.The results show that the expected loss(MES)of energy products is large.If the market is in crisis,it is expected that energy products will have greater losses;while the expected loss of gold(MES)is much smaller than other products,even if the market appears In extreme events,gold is expected to suffer less losses.Next,this paper examines the impact of expected commodity price losses on macroeconomics under extreme risks.This paper selects the three macroeconomic indicators of actual industrial added value growth rate,consumer price index and money supply M2,which respectively reflect China's economic growth,inflation and monetary policy,and builds four of the expected loss of commodities(MES).The core SVAR model,the core conclusion is: Overall,the impact of extreme risks in the commodity market on economic growth and monetary policy in the macro economy is consistent among varieties: the current extreme risk of commodities is imposed In the case of a positive shock,there is no significant impact on economic growth and a significant positive impact on monetary policy.The effects on inflation vary from breed to breed: energy commodities have a short-term negative impact on inflation;in metals,aluminum and copper have short-term negative effects,while gold does not have a significant impact on inflation;Agricultural commodity commodities do not have a significant impact on inflation.Specifically:Based on the above conclusions,this paper argues that we should reduce the dependence on international energy products and enhance macroeconomic stability,and reduce the impact of oil price fluctuations on China's economy;in addition,monetary authorities should combine macroeconomic fundamentals under the extreme risks of commodity markets.The response is a policy decision that should not overreact to panic in the market to avoid a spiral of wage-price spirals caused by loose monetary policy during the oil crisis.