This paper
uses the cointegration correlated theory model method and the monthly data from
May 2004 to October 2023 to study the role and impact of the Chinese futures market
price index (total index and various sub-indices of energy, chemicals, non-ferrous
metals, grains, oilseeds and soft commodities) on Chinese monetary policy variables
(reserve ratio, net money supply of open market, interbank lending rate, USD/RMB
exchange rate, money supply M0, M1 and M2). It is found that the total commodity
futures price index and the non-ferrous index have a strong guiding effect on the
monetary policy variables except for the net money supply of open market operations.
All other sub-indices have a strong impact on individual monetary policy variables,
except for oilseeds, and generally speaking, the total commodity price index and
the non-ferrous commodity price index have a greater impact on monetary policy.
The cointegration test and error correction model show that in the long and short
term, various indices of futures prices have different quantitative effects on monetary
policy variables, and the shock response function curve reflects that each index
of futures price has different delayed effects on monetary policy variables, indicating
that the overall impact of futures price index on monetary policy variables is greater,
but the role of different subindices is different.
Therefore, taking a variety of measures to balance the development of the futures
market and better enhance the impact of the futures price index on monetary policy
will help improve the implementation effect of monetary policy and better promote
the development of macroeconomy.
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