CAJ | 학술논문

商品库存是剖析货币政策在商品市场传导机制的关键切入点。本文尝试借助库存理论的供求均衡（而非无套利均衡）分析框架来重构货币政策下的商品价格“超调模型”。理论分析发现：货币政策的直接效应是通过市场利率调整资金占用成本，间接效应则是改变市场库存均衡点，进而影响商品价格预期变动；扩张性货币政策易引发商品价格超调，而紧缩性货币政策却易导致商品价格调整不足。其后，通过期货市场风险供求均衡思路将风险溢价理论和库存理论有机结合起来，由期货基差变动验证货币政策在商品市场的传导机理，为理论检验提供实证框架。将理论模型运用于上海期货交易所有色金属合约，发现实证结论很好地支持了相关理论分析。
상품고존시부석화폐정책재상품시장전도궤제적관건절입점。본문상시차조고존이론적공구균형（이비무투리균형）분석광가래중구화폐정책하적상품개격“초조모형”。이론분석발현：화폐정책적직접효응시통과시장리솔조정자금점용성본，간접효응칙시개변시장고존균형점，진이영향상품개격예기변동；확장성화폐정책역인발상품개격초조，이긴축성화폐정책각역도치상품개격조정불족。기후，통과기화시장풍험공구균형사로장풍험일개이론화고존이론유궤결합기래，유기화기차변동험증화폐정책재상품시장적전도궤리，위이론검험제공실증광가。장이론모형운용우상해기화교역소유색금속합약，발현실증결론흔호지지지료상관이론분석。
Commodity Storage is key point of view to analyze the effects of monetary policy on price dynamics. The theory of Storage will be adopted to reconstruct Frankel＇s Overshooting Model, which is basic analysis framework of effects of monetary policy on commodity price. Theoretical analysis finds that, （ 1 ） direct effect of monetary policy adjusts market interest, and indirect effects on convenience yields and marginal risk aversion cost, both effects push the supply curve of storage, make market equilibrium moving, and finally have influence on the expectation of commodity price change; （2） commodity price goes up and overshoots under excess liquidity, whereas commodity price goes down and undershoots for convenience yield under tighten liquidity; and monetary policy impresses asymmetric influences on price dynamics of commodity. Empirical framework based on future market will be constructed by incorporating risk premium theory into the model of storage, and empirical study from SHFE finds that theoretical results are supported perfectly.