多尺度GARCH模型研究货币增长对期货价格波动的影响

选取M2同比增长率为货币供应量的增长指标，从收益的波动性与分布出发，运用GARCH—GED模型对上海期货交易所的铜、铝和橡胶期货数据进行检验，求得收益的波动序列。同时，运用小波db（4）对波动序列进行小波分解，得到反映长期趋势的低频数据。通过对低频数据和M2同比增长率之间的Granger因果检验，得出货币供应量的增长会加剧期货市场的波动，从而为流动性过剩对期货市场产生影响提供有力证据。

The Influence of Monetary Increase on Futures Market Based on Multi-scale GARCH-GED Model

This paper considers M2 as money supply index. Based on the volatility and distributions of returns, it tests the three varieties of copper, aluminum and rubber in Shanghai Futures Market by constructing the GARCH-GED model and gets three volatility serials. Based on the multi-scale analysis, the volatility serials can be decomposed by the wavelet of db(4) and low frequency data can be gained to reflect the long trend of price volatility. The empirical results show that the growth of money supply can prick up the volatility of futures market by the measure of Granger cause test between low frequency data and M2 growth. This also proves that liquidity surplus has marked effects to futures market.