国内外植物油价格波动的关联分析

Relationship Analysis on the Prices of Vegetable Oils at Home and Abroad

本文基于中国、西北欧的主要植物油价格以及马来西亚棕油价格、库存、产量的月度数据,研究其波动关联性。研究结果表明,最近7年和20世纪80年代的价格波动较为剧烈,西北欧市场植物油价格在过去30多年中没有明显增长趋势;季节性变动呈变弱趋势,豆油的季节性变化相对小;在棕榈油市场,投机对价格波动的影响较弱,但最近7年开始加重;不同地区、不同产品的价格关联性强,但菜籽油在不同区域市场之间的关系相对弱一些。

This paper analyzes the volatility relationships based on the monthly data of main vegetable oils in Chinese and Northwest Europe, and the palm oil price, production and closing stock in Malaysia. The results show that the prices are more volatile in the recent 7 years and 1980s, and in Northwest market, the vegetable oil prices have no significant growth in the past 30 years; the seasonal components become weak, and soybean oil prices own weaker seasonal volatility; speculation have no significant effect on the price volatility of palm oil; there are strong relationships between the prices of different products and regions, but the Pearson relation coefficient of rapebeen oil between China and Northwest is lower than others.