- 期刊
大宗商品期貨市場與美國通貨膨脹間之關聯性
The Relationship between Bulk Commodity Futures Market and Inflation in the United States
摘要
期貨交易之優勢在於能夠規避未來現貨價格變動的風險，期貨價格能提前反應市場價格的走勢，而包含大部分商品期貨的商品期貨價格指數也成為判斷通貨膨脹之早期預警指標，不同於以往多數之研究標的是取自於現貨市場，本研究以原油期貨價格與商品期貨價格指數代表大宗商品期貨市場，應用一般迴歸分析與分量迴歸分析檢視2012年1月至2021年12月原油期貨價格、商品期貨價格指數以及美國通貨膨脹間之關係。實證結果顯示：前一期原油期貨價格的變動與前一期商品期貨價格指數的變動對美國通貨膨脹皆呈現顯著的正向影響；在分量迴歸分析之低分量下發現：前一期的美國通貨膨脹對商品期貨價格指數的變動也呈現顯著的正向影響。
並列摘要
An advantage of futures trading is avoiding the risk of future spot price fluctuations. The futures prices can predict the trend of market price, including the Commodity Research Bureau index of most commodity futures, is also an early warning index for determining inflation. Thus, this study is different from most studies focusing on spot market data. The study uses crude oil futures prices and the Commodity Research Bureau Index to represent the bulk commodity futures market. Regression analysis and quantile regression analysis are applied to examine the relationship among crude oil futures prices, Commodity Research Bureau index, and inflation in the United States during the period of January 2012 and December 2021. Empirical results reveal that the change of crude oil futures prices in the previous period and the change of CRB index in the previous period significantly and positively affect inflation in the United States. Under the low quantiles in quantile regression analysis, the inflation of the United States in the previous period significantly and positively affects the change of the Commodity Research Bureau index.