四川大学硕士学位论文
金融市场传播路径进行研究。
在实体路径中，对处理后的数据采用的是 VAR模型，再利用 Granger因果
检验来进一步检验，最后是利用脉冲响应和方差分解研究具体的影响情况，研
究过程是分为两步，第一步即国际大宗商品的价格与中国生产价格水平之间的
相互关系，第二步是我国生产价格水平与我国股票市场之间存在的影响分析。
金融途径的传导过程的研究则采用 MODWT模型以及 DCC-GARCH模型，采
用这两种模型的用处是从不相同的时间段和整体趋势两个出发点来研究国际市
场上大宗商品的价格的波动对我国股市产生的影响。
基于实证研究得出的结论为：在实体传播途径研究中，国际大宗商品的价
格涨跌会扰动我国生产价格水平，再由生产价格水平传导至我国股市。在金融
传播路径，发现在不同的时间段，国际大宗商品的价格涨跌情况传递给我国股
票市场的影响程度是不相同的，而且这种影响不是单向的，而是双向影响，即
我国股票市场的波动对国际大宗市场的价格也是存在影响的。根据研究的结果，
提出以下建议，认为政府应不断完善金融政策、减轻国际大宗商品价格在震荡
情况下传导的风险；而对于投资者而言理当提升自我的投资专业素养，按照投
资工具特点进行资产配置。
关键词：国际大宗商品价格中国股票市场中国物价水平影响
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四川大学硕士学位论文
The Influence of International Bulk Commodity
Price on Chinese Stock Market
Major：Finance
Postgraduate：Gong Xiaoqing Supervisor：Gong Xiuguo
Abstract: Chinese financial market has been reformed since the 1980s. Chinese
stock market has also been continuously improved and gradually opened up. The
relationship between the international market and Chinese market has been
continuously deepened. However, Chinese financial market is still in the process of
continuous improvement and needs to face the rapidly changing market and various
external shocks. As an economic power, it is inseparable from the supply of bulk
commodities in various production activities, and there is a certain contradiction
between Chinese huge demand and the existing shortage of bulk commodities, which
makes the need of bulk commodities very dependent on foreign imports. Changes in
the price of imported international bulk commodities will affect the cost price of
Chinese production and impact Chinese market, which will also affect Chinese stock
market. Analyzing and researching past events that have affected international
commodity prices, Chinese economic conditions have been affected, and Chinese
stock market has also been affected. With the continuous development of Chinese
economy, the quantity of imported bulk commodities from the international market
continues to increase, which will also make the impact of changes in international
bulk commodity prices on China gradually larger. In China, the stock market’s
response to economic conditions is relatively sensitive and is called a "barometer".
Therefore, the stock market can also sensitively reflect changes in international
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四川大学硕士学位论文
commodity prices. Therefore, it is necessary to study the impact of international
commodity market price changes on Chinese stock market. The impact has certain
practical significance.
The paper selects the CRB International Commodity Index, Chinese producer
index PPI Index and Shanghai Composite Index as empirical data, the three indices
respectively represent the international commodity market, Chinese production price
level and Chinese stock market. The data selected CRB index after the reform of
January 4,2006 as the starting time, until December 30,2019. This paper studies the
entity communication path and financial market communication path respectively.
In the entity propagation path, the data after processing is used through VAR
model, then uses the Granger causality test to make the test more credibility, finally
uses the impulse response and the variance decomposition to study the concrete
influence situation, the research process is divided into two steps, the first step is the
influence between the price of international commodity market and the level of
Chinese production price. The second step is to research the influence between the
level of Chinese production price and Chinese stock market. The propagation process
of the financial channel is studied by using the MODWT model and DCC-GARCH
model, the purpose of using these two methods is to study the impact of the price
fluctuation of international commodity market on Chinese stock market from different
time periods and the overall trend of the two markets.
Based on the empirical research, the conclusion is that: in the study of physical
communication channels, price changes in the international commodity market will
affect the level of production prices in China, and then the level of production prices
will affect Chinese stock market. In the financial communication path, it is found that
the price changes in the international commodity market have different impacts on
Chinese stock market at different time periods, and this impact is not one-way, but
two-way, that is, the impact of Chinese stock market Volatility also has an impact on
prices in the international bulk commodity market. Based on the results of the research,
the following recommendations are put forward. The government should continue to
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