摘要
本文选取大豆、小麦、铁矿石和原木等11种我国进口量最大的初级产品作为考察对象,探寻国际原油价格波动与这11种商品的进口价格变化之间的联动关系。本文在对每种商品的价格变动率构建结构向量自回归(SVAR)模型的基础上,进行格兰杰因果关系检验、脉冲响应函数分析以及方差分解,发现油价变化对金属矿石类商品以及小麦和原木的进口价格波动的影响较为显著。论文根据分析推断这个结果主要由以上商品的进口海运费占比较高或在大宗商品市场上的金融属性较强等原因所导致。
This paper selects eleven major imported primary commodities in China, such as soybean, wheat, iron ore and raw timber, to examine the interactive relationship between the crude oil price shocks and the import price fluctuation of the 11 commodities. After establishing the Structural Vector Auto Regression model with the price change of each commodity, this study conducts the Granger Causality Test, Impulse Response Function and Variance Decomposition, finding that the oil price shocks show a significant influence on the import price of metal ores, wheat and raw timber. The interpretation of the results can be the ocean shipping fees accounting for a large portion of the import price or the strong financial properties of the three commodities.
