CAJ | 학술논문

基于分整自回归条件异方差模型（FIGARCH），本文研究了考虑金融因素情况下量化宽松政策对国际大宗商品市场的直接影响，以及量化宽松通过金融市场对国际大宗商品市场的溢出效应。实证结果表明：量化宽松政策对国际大宗商品市场的影响主要表现为溢出性、非对称性和长记忆性，即金融市场的溢出效应在政策实施后得到加强，量化宽松政策对大宗商品市场有显著影响，且呈现行业性差异，大宗商品市场的典型长记忆特征得到显著增强，冲击造成的市场波动将持续较长时间。
기우분정자회귀조건이방차모형（FIGARCH），본문연구료고필금융인소정황하양화관송정책대국제대종상품시장적직접영향，이급양화관송통과금융시장대국제대종상품시장적일출효응。실증결과표명：양화관송정책대국제대종상품시장적영향주요표현위일출성、비대칭성화장기억성，즉금융시장적일출효응재정책실시후득도가강，양화관송정책대대종상품시장유현저영향，차정현행업성차이，대종상품시장적전형장기억특정득도현저증강，충격조성적시장파동장지속교장시간。
Through using FIGARCH model which could describe features of returns and volatilities, we re- searched on the four rounds of quantitative easing＇ s direct influences on the commodity markets, and the other influences coming from the changes of financial market information. The empirical results show that the influ- ences of QE on commodity markets can be described as spillover, asymmetry and long - memory. QE had sig- nificant effects on commodity markets, especially the third round. It also strengthened the information transmis- sion effect of financial factors. The influences of QE were various in different industries and in different stages of QE. The indexes of commodity markets had the classic feature of long - memory and this feature varied in dif- ferent industries. The long -memory effect was strengthened by the QE.