Interest Rates and Commodity Prices: Theory and Empirics

主讲人: 马庆寅（首都经贸大学）

主持人：余昌华（北京大学国家发展研究院）

时间：5月9日（周二）上午10:30-12:00（北京时间）

地点：承泽园246教室

摘要：Frankel’s hypothesis states that low interest rates increase firms’ incentive to hold inventories and drive up the price of commodities. The validity and size of this effect is difficult to analyze statistically due to numerous confounding variables and reverse causality. In order to analyze Frankel’s hypothesis and its quantitative implications, we extend the competitive storage model to handle stochastically evolving interest rates. We provide conditions under which a unique equilibrium pricing rule exists and can be efficiently computed, allowing for sustained periods of negative interest rates as empirically observed. We then study the quantitative impact of interest rates on commodity prices in depth, and find that interest rates have nontrivial and persistent negative effect on commodity prices, with the level of impact varying substantially under different regimes.

主讲人介绍：马庆寅，首都经济贸易大学国际经济管理学院教授、博士生导师，澳大利亚国立大学博士。其研究领域为数量经济学、宏观经济学，涵盖高维动态模型的理论和算法、资产定价、收入和财富分配等领域。在Operations Research、Journal of Economic Theory等国际著名期刊发表论文数篇。入选国家级人才青年学者项目、北京市海外高层次人才项目，并主持国家自然科学基金青年项目。