商品金融化背景下大宗商品指数收益机制转换

基于虚拟变量Markov机制转换模型,选取具有代表性的国际商品指数-标普高盛商品指数(S&P GSCI)及道琼斯大宗商品指数(DJCI)为研究对象,探寻大宗商品指数收益率机制转换出现的规律与诱因.实证结果表明:修正后的模型能较好地反映大宗商品指数收益率波动性呈现出的“中-高-中高-低-中”的阶段性变化,在阶段变换的拐点处商品指数呈现出具有转折意义的“V”形走势;金融危机前后的流动性冲击改变机制转化的概率.研究结果可以为预测大宗商品市场走势及阶段性转折点提供参考.

Regime-switching of commodity index returns under financialization of commodities

This paper studies the occurrence and causes of the regime-switching of two representative commodity indexes,S&P GSCI (Standard & Poor's Goldman Sachs Commodity Index) and DJCI (Dow Jones Commodity Index),by using the modified Markov Regime-Switching model with the dummy variables that reflect the changes of regimes both before and after the financial crisis.The results show that the suggested model performances better in characterizing the periodic variation of return volatility,which possesses a feature of "medium-high-medium high-low-medium".Around the turning point,the considered commodity index is shaped as a "V" type.It also reveals that liquidity shocks in the process of financial crisis could alter the probability of regime-switching.The empirical findings could provide some references,to some extent,for the prediction of the trend of commodity markets and the emergence of the stage turning points.