大宗商品国内外价格传递的非对称性研究——以大豆、棉花、原油和铁矿石为例

Asymmetric Price Transmission from International Bulk Commodity to Chinese Bulk Commodity--Based on Empirical Study of Soybeans,Cotton,Crude Oil and Iron ore

掌握大宗商品国内外市场价格非对称性传递规律,是有效规避其价格波动风险的基础。本文基于2002年1月至2018年12月的大豆、棉花和原油以及2005年7月至2018年12月的铁矿石月度数据,运用NARDL模型就国际价格对国内价格传递效应的非对称性状况进行分析。结果表明:国内外大宗商品的价格传递存在非对称性,且在不同商品间非对称性程度因国际贸易环境、进口依存度等因素存在差异;国内外价格传递的长期非对称性在大豆、棉花和原油三种产品上是显著的,而短期非对称性仅在大豆和棉花产品上显著;铁矿石国内外价格传递的非对称性则不明显。

To grasp the symmetry of the pass-through in the domestic and foreign markets of bulk commodities is the basis for effectively avoiding the risk of price fluctuation and reasonably utilizing the characteristics of prices linkage.Based on soybean,cotton and crude oil monthly data from January 2002 to December 2018 and iron ore monthly data from July 2005 to December 2018,this paper uses NARDL model to investigate the symmetry price transmission from international bulk commodities to Chinese bulk commodities.The results show that asymmetry exists in the price transmission from international bulk commodities to Chinese bulk commodities,and the degree of asymmetry varies among different commodities due to international trade environment,import dependence and other factors.The long-term asymmetry of domestic and foreign price transmission is significant in soybean,cotton and crude oil,while the short-term asymmetry is only significant in soybean and cotton.The asymmetry price transmission from international iron ore to Chinese iron ore isn’t obvious.