CAJ | 학술논문

选取M2同比增长率为货币供应量的增长指标,从收益的波动性与分布出发,运用 GARCH-GED模型对上海期货交易所的铜、铝和橡胶期货数据进行检验,求得收益的波动序列.同时,运用小波db(4)对波动序列进行小波分解,得到反映长期趋势的低频数据.通过对低频数据和M2同比增长率之间的Granger因果检验,得出货币供应量的增长会加剧期货市场的波动,从而为流动性过剩对期货市场产生影响提供有力证据.
선취M2동비증장솔위화폐공응량적증장지표,종수익적파동성여분포출발,운용 GARCH-GED모형대상해기화교역소적동、려화상효기화수거진행검험,구득수익적파동서렬.동시,운용소파db(4)대파동서렬진행소파분해,득도반영장기추세적저빈수거.통과대저빈수거화M2동비증장솔지간적Granger인과검험,득출화폐공응량적증장회가극기화시장적파동,종이위류동성과잉대기화시장산생영향제공유력증거.
This paper considers M2 as money supply index. Based on the volatility and distributions of returns, it tests the three varieties of copper, aluminum and rubber in Shanghai Futures Market by constructing the GARCH-GED model and gets three volatility serials. Based on the multi-scale analysis, the volatility serials can be decomposed by the wavelet of db(4) and low frequency data can be gained to reflect the long trend of price volatility. The empirical results show that the growth of money supply can prick up the volatility of futures market by the measure of Granger cause test between low frequency data and M2 growth. This also proves that liquidity surplus has marked effects to futures market.