The Relationship Among Commodity Futures Price,Inflation And Monetary Policy

This paper used the quick development of China's commodity futures market as its research background.Firstly,it analyzed the theoretical impact of the commodity futures market's emergence on the monetary policy making and transmission by extending two classical monetary policy rules(the Taylor rule and the single rule),and used it as the theoretical analysis of the relationship among commodity futures price,inflation rate and monetary policy.Secondly,based on China's inflation,monetary variable and commodity price data from Jun 1996 to Feb 2005,it analyzed the long-term interaction relationship of these three variables using wavelet transformation and cross-correlation coefficient method,and discussed the short-term volatility spillover effects among these variables by using BEKK-MGARCH model.The empirical results proved the existence of two way transmission mechanism among commodity futures price,inflation rate and monetary policy in China.This paper also found that commodity price could function as both target variable and transmission variable in China's monetary policy system and could shorten the monetary policy delay as well as improve the monetary policy accuracy.However,different commodity futures have different effectiveness.In general,industrial futures have tighter interaction with monetary policy than agricultural futures.