主  題: Liquidity Effects on Prices, Returns and Volatilities in Commodity Futures Markets 

內(nèi)容簡(jiǎn)介: Given their ubiquitous role as input factors to production, commodities and their prices can affect many important macroeconomic variables such as the general price level and its rate of change. In addition, spillover effects across different commodity classes are likely to further amplify inflation volatility. As a result, the determinants of commodity price co-movements should deliver useful information for monetary policy formulation.  Based on daily high frequency data, instead of monthly or quarterly data commonly used in previous studies, we isolate and identify a common commodity liquidity factor as a bellwether signal for commodity price and return co-movements and a transmission channel for volatility spillover, and argue for its relevance in designing monetary policy.

報(bào)告人: 章勇敏      教授

時(shí)  間: 2018-09-20    10:00 

地  點(diǎn): 敏行樓102 

舉辦單位: 金融學(xué)院  科研部  經(jīng)濟(jì)與金融研究院