考虑行为因素的多元耦合商品资产定价模型研究

The uncertainty of global economy extremely appeals after the financial crisis, driving commodity prices in ups and downs movements. The proposal aims at constructing multivariate coupling commodity pricing model, including entity economy factors, financial market factors and behavior factors. The main works and possible contributions are as follows. Firstly, we put forward the accelerator effects of the extracted behavioral factor indices, and then investigate the pricing capacity of the behavioral factors for commodities. Secondly, we reveal the feedback effect of behavioral factors to entity economy factors and financial market factors, and extract the basic coupling types for commodity pricing factors, in order to obtain the micro dynamic coupling mechanism for multivariate pricing factors under environment transmission and exogenous shocks. Thirdly, we construct commodity pricing models with coupling entity economic factors, financial market factors and behavioral factors from the perspective of limit rationality of investor, and realize the models adaptive adjusting function to exogenous shocks. We try to make the pricing models account for micro mechanism of information-expectation-behavior-price and possess the functions of explaining the law of price movement at the normal status and anomalies at the abnormal. Based on theoretical results, comprehensive empirical research would be conducted on major global commodity assets, and results will provide policy implications for improving market mechanism, market regulation and strategies for investment and risk management.

后危机时代，全球经济不确定性加剧，大宗商品价格跌宕起伏，非理性因素凸显。对此，本项目旨在建立包括实体经济因素、金融市场因素和行为因素在内的多元耦合商品资产定价模型。拟创新点是：1）提出商品市场上行为因素的加速器效应，提炼行为因素指标，揭示行为因素对商品资产的定价能力；2）揭示行为因素对实体经济因素和金融市场因素的反馈效应，提炼主导因素下的商品资产定价因子的基本耦合形式，提出市场环境变迁与外部冲击下多元定价因子微观动态耦合机制；3）基于投资者有限理性的视角，构建含实体经济、金融市场和行为因素多元耦合的商品资产定价模型，实现外部冲击下定价模型的适应性调整。力图让定价模型充分考虑信息-预期-行为-价格的微观机制，具有解释平稳状态时商品价格运动规律和特殊状态时商品价格异象的能力。基于理论成果，对全球主要商品资产进行全方位实证研究；为市场机制完善、市场监管、投资与风险管理策略提供政策支持。

后危机时代，全球经济不确定性加剧，大宗商品价格跌宕起伏，非理性因素凸显。对此，本项目建立包括实体经济因素、金融市场因素和行为因素在内的多元耦合商品资产定价模型。本课题的主要研究内容包括：第一，提炼行为因素指标，提出商品市场上行为因素系统性、非线性及非对称性效应，揭示了行为因素对商品资产的定价能力，进而论证基于多元定价因子探讨商品资产定价耦合机制的必要性；第二，揭示行为因素对实体经济因素和金融市场因素的反馈效应，提炼主导因素下的商品资产定价因子的基本耦合形式，提出市场环境变迁与外部冲击下多元定价因子微观动态耦合机制；第三，基于投资者有限理性的视角，构建含实体经济、金融市场和行为因素多元耦合的商品资产定价模型，在充分考虑信息-预期-行为-价格的微观机制的条件下，具有解释平稳状态时商品价格运动规律和特殊状态时商品价格异象的能力。相关成果能够为全球主要商品资产和传统金融资产价格的动态演化进行全方位实证研究提供经验基础；为大宗商品市场与实体经济和其他主要金融市场之间的联动提供丰富证据；为市场机制完善、市场监管、投资与风险管理策略提供政策支持。