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贸易融资套利、商品价格变动及货币政策效应
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TitleTrade-Finance Arbitrage, Commodity Prices Change and the Effect of Monetary Policy  
作者郑尊信 王琪 徐晓光  
AuthorZheng Zunxin, Wang Qi and Xu Xiaoguang  
作者单位深圳大学经济学院 
OrganizationCollege of Economics, Shenzhen University 
作者Emailzxzheng@szu.edu.cn,wqcarmen@gmail.com,xxg_sz@163.com。 
中文关键词持有成本效应 融资套利效应 商品价格变动 货币政策效应 
Key WordsThe Effect of Cost-of-carry; The Effect of Trade-finance Arbitrage; Commodity Prices Change; The Effect of Monetary Policy 
内容提要近年来大宗商品贸易中融资套利活动异常活跃,但是目前还缺乏系统的理论分析框架和有效的政策应对措施。本文尝试在传统库存理论的基础之上,引入融资套利交易行为,建立套利库存的均衡分析框架,为观察商品价格变动及货币政策效应提供新视角,并通过“效应显示”为贸易融资套利活跃程度诊断提供新方法。实证研究发现,跨境贸易融资套利比境内贸易融资套利更加活跃;境内市场利率向均衡利率上方变动时,有助于扩大融资套利利差,强化融资套利效应;人民币贬值和政府管制对于融资套利行为具有一定的压制作用,但作用有限;境内实施紧缩性货币政策时,融资套利效应会强化商品市场的“调整不足”。 
AbstractIn recent years, trade-finance arbitrage activities have been hyperactive with no systematic theoretical framework and effective countermeasures in place, in order to observe the commodity prices change and the effect of monetary policy from a new perspective, we try to take trade-finance arbitrage activities into consideration to establish the equilibrium framework of arbitrage storage based on the traditional theory of storage. And through the idea of effect demonstration, a new method is provided to diagnose the active level of trade-finance arbitrage activities. According to the empirical results, trade-finance arbitrage activities across borders are more active than those within; When domestic market interest rate rise above the equilibrium level, the interest spread is likely to be widen, so the effect of trade-finance arbitrage is magnified; The suppression effects of current depreciation of RMB and government regulation are very limited; If contractionary monetary policy is implemented, the effect of trade-finance arbitrage is likely to strengthen the undershooting effect of commodity market. 
文章编号WP968 
登载时间2015-12-01 
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