China's monetary policy framework and global commodity prices
使用贝叶斯结构向量自回归模型，研究1996年至2021年间中国货币政策（利率和货币供应量M2）对全球大宗商品价格的影响，发现利率上升会持续压低商品价格，而M2增长对非燃料商品价格影响显著，且数量工具比价格工具更有效。
This paper examines the effects of China's monetary policy on global commodity prices over the quarterly period 1996:Q1–2021:Q4. Using a Bayesian Structural VAR model, we evaluate the impact of interest rate shocks (as a price rule) and shocks to the monetary aggregate (M2) (as a quantity rule) on those commodity prices. Our main findings are fourfold. First, a positive interest rate shock has a negative and persistent effect on commodity prices, with beverages and metals commodity prices falling the most in response to such shock. Second, a positive shock to the growth rate of M2 has a strong impact on the prices of non-fuel commodities, agricultural raw materials, and metals. Still, the highly volatile food and fuel (energy) commodity prices are less affected. Third, while both the growth rate of M2 and the interest rate seem relevant macroeconomic stabilizers, the quantity instrument appears more effective than the price instrument in explaining commodity prices. Finally, while interest rate hikes are linked with a persistent rise in world uncertainty, monetary expansions lead to a long-lived fall in this variable. All in all, our study provides new evidence about the impact of China's monetary policy on global commodity prices using a rich dataset and an econometric setup that accounts for uncertainty. • The effects of China's monetary policy on global commodity prices are examined. • We use BSVAR to assess the impact of interest rate shocks and M2 monetary aggregate. • A positive interest rate shock negatively and persistently affects commodity prices. • Commodity prices are also affected by positive shocks to the M2 growth rates. • The quantity instrument (M2) appears more effective than the price instrument.