中国铁矿石期货市场的定价影响力研究——基于VEC-SVAR模型的实证分析
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摘要
为探究中国铁矿石期货这一新兴市场的定价影响力状况以评价其对于中国铁矿石国际定价权的提升所起到的作用,本文从期货市场功能的视角,采用以VEC-SVAR模型为核心的研究方法,选取2013年10月至2016年3月的相关日度历史数据,对中国铁矿石期货价格与国内外现货价格间的动态联动及引导关系进行实证分析。结果表明:中国铁矿石期货价格与国内外现货价格之间存在高度关联性和长期均衡关系,已具备风险规避功能,可用于套期保值转移市场风险,但尚不具备有效的价格发现功能,无法对国内外现货价格的形成起决定和引导作用,定价影响力较弱,并未实质性地促进中国铁矿石国际定价权的提升;以TSI为代表的国际铁矿石现货价格指数占据绝对的定价权主导地位,但其高度的价格独立性和不透明的编制过程隐藏有价格操纵的可能性。
As a fundamental metal resource bulk commodity,iron ore is indispensable for national development.Although being the biggest iron ore importing country in the world,China has been incurring enormous economic loss in the past decades due to lack of iron ore international pricing power.In recent years,the financialization trend of iron ore market has been more prominent owing to the change of iron ore pricing mechanism.Therefore,the construction and development of futures market becomes an important way to promote iron ore international pricing power at the present stage.To study the pricing influence of the emerging China's iron ore futures market and evaluate its effect on the promotion of China's iron ore international pricing power,from the perspective of futures market's functions,an example from iron ore prices of DCE(Dalian Commodity Exchange iron ore futures),and CSI(China Iron Ore Spot Price Index)and TSI(The Steel Index)is taken,and relevant historical intraday data from October 2013 to March 2016 is selected,in order to make an empirical analysis of the dynamic co-movement and leading relation between China's iron ore futures price and both domestic &international spots prices.The empirical analysis is based on VEC-SVAR models as the core research method and combined with the methods of cointegration test and directed acyclic graphs.The results show that:there are high-level correlation and long-term equilibrium between China's iron ore futures price and both domestic &international spots prices.China's iron ore futures market has the function of risk aversion,and can be used for hedging to transfer market risk.However,it still does not have effective function of price discovery or pricing influence,and cannot play a decisive and leading role in the pricing formation of both domestic &international spots markets.Moreover,it does not improve the international pricing power of China substantially.The international iron ore spots price indexes,represented by TSI,have absolute domination in pricing power,however,the possibility of price manipulation may be hidden in the high-level price independence and opaque compilation process.The research of this paper fills the insufficiency of the research field,which is about the international pricing influence of China's iron ore futures market,and extends the research perspectives of iron ore international pricing power from the perspective of futures market.The findings have significant reference value to the further development and improvement of China's iron ore futures market.
As a fundamental metal resource bulk commodity,iron ore is indispensable for national development.Although being the biggest iron ore importing country in the world,China has been incurring enormous economic loss in the past decades due to lack of iron ore international pricing power.In recent years,the financialization trend of iron ore market has been more prominent owing to the change of iron ore pricing mechanism.Therefore,the construction and development of futures market becomes an important way to promote iron ore international pricing power at the present stage.To study the pricing influence of the emerging China's iron ore futures market and evaluate its effect on the promotion of China's iron ore international pricing power,from the perspective of futures market's functions,an example from iron ore prices of DCE(Dalian Commodity Exchange iron ore futures),and CSI(China Iron Ore Spot Price Index)and TSI(The Steel Index)is taken,and relevant historical intraday data from October 2013 to March 2016 is selected,in order to make an empirical analysis of the dynamic co-movement and leading relation between China's iron ore futures price and both domestic &international spots prices.The empirical analysis is based on VEC-SVAR models as the core research method and combined with the methods of cointegration test and directed acyclic graphs.The results show that:there are high-level correlation and long-term equilibrium between China's iron ore futures price and both domestic &international spots prices.China's iron ore futures market has the function of risk aversion,and can be used for hedging to transfer market risk.However,it still does not have effective function of price discovery or pricing influence,and cannot play a decisive and leading role in the pricing formation of both domestic &international spots markets.Moreover,it does not improve the international pricing power of China substantially.The international iron ore spots price indexes,represented by TSI,have absolute domination in pricing power,however,the possibility of price manipulation may be hidden in the high-level price independence and opaque compilation process.The research of this paper fills the insufficiency of the research field,which is about the international pricing influence of China's iron ore futures market,and extends the research perspectives of iron ore international pricing power from the perspective of futures market.The findings have significant reference value to the further development and improvement of China's iron ore futures market.
引文
[1]李艺,汪寿阳.大宗商品国际定价权研究[M].北京:科学出版社,2008.
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[5]黄建新,周启清.中美玉米期货市场对现货市场价格影响的实证分析[J].宏观经济研究,2014,(7):136-143.
[6]Garbade K D,Silber W L.Dominant and satellite markets:A study of dually-traded securities[J].Review of Economics and Statistics,1979,61(3):455-60.
[7]Garbade K D,Silber W L.Price movement and price discovery in futures and cash markets[J].Review of Economics and Statistics,1983,65(2):289-97.
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[13]何晓燕,张蜀林.我国棉花期货与现货市场的价格发现与波动溢出效应[J].系统工程理论与实践,2013,33(7):1723-1728.
[14]朱学红,谌金宇,邵留国.信息溢出视角下的中国金属期货市场国际定价能力研究[J].中国管理科学,2016,24(9):28-35.
[15]Wu Jinxi,Yang Jie,Ma Linwei,et al.A system analysis of the development strategy of iron ore in China[J].Resources Policy,2016,48:32-40.
[16]Chen Wenhui,Lei Yalin,Jiang Yong.Influencing factors analysis of China’s iron import price:Based on quantile regression model[J].Resources Policy,2016,48:68-76.
[17]肖明,崔超,郑珩.我国铁矿石期货价格与现货价格的波动分析[J].价格理论与实践,2014,(9):89-91.
[18]邓超,袁倩.基于VAR模型的铁矿石国际定价权研究[J].统计与决策,2016,(9):162-164.
[19]吴振信,薛冰,王书平.基于VAR模型的油价波动对我国经济影响分析[J].中国管理科学,2011,19(1):21-28.
[20]Dungey M,Fry-Mckibbin R,Linehan V.Chinese resource demand and the natural resource supplier[J].Applied Economics,2014,46(2):167-178.
[21]程凤朝,叶依常.资本充足率对宏观经济的影响分析[J].管理世界,2014,(12):1-11.
[22]谭小芬,韩剑,殷无弦.基于油价冲击分解的国际油价波动对中国工业行业的影响:1998-2015[J].中国工业经济,2015,(12):51-66.
[23]柳瑞禹,叶子菀.高耗能行业电力消费长期波动效应研究[J].中国管理科学,2014,22(6):125-133.
[24]吴文锋,靳莹.基于DAG方法的物价波动国际间传导研究[J].中国管理科学,2008,16(S1):481-485.
[25]郭娜,李政.我国货币政策工具对房地产市场调控的有效性研究——基于有向无环图的分析[J].财贸经济,2013,(09):130-136.
[26]Spirtes P,Glymour C,Scheines R.Causation,prediction,and search[M].MA:MIT Press,2000.
[27]高铁梅.计量经济分析方法与建模——EViews应用及实例(第二版)[M].北京:清华大学出版社,2009.
[28]叶欣,王婕.宏观经济环境下我国银行贷款和房价动态影响关系:基于SVAR模型的实证分析[J].管理评论,2013,25(9):62-71.
[2]Sukagawa P.Is iron ore priced as a commodity?Past and current practice[J].Resources Policy,2010,35(1):54-63.
[3]Engle R F,Granger C W J.Co-integration and error correction:Representation,estimation,and testing[J].Econometrica,1987,55(2):251-76.
[4]王百超,逯宇铎,乔美娥.我国豆油期货与现货价格协整关系分析[J].经济纵横,2012,(1):92-95.
[5]黄建新,周启清.中美玉米期货市场对现货市场价格影响的实证分析[J].宏观经济研究,2014,(7):136-143.
[6]Garbade K D,Silber W L.Dominant and satellite markets:A study of dually-traded securities[J].Review of Economics and Statistics,1979,61(3):455-60.
[7]Garbade K D,Silber W L.Price movement and price discovery in futures and cash markets[J].Review of Economics and Statistics,1983,65(2):289-97.
[8]Hasbrouck J.One security,many markets:Determining the contributions to price discovery[J].Journal of Finance,1995,50(4):1175-1199.
[9]Gonzalo J,Granger C W J.Estimation of common long-memory components in cointegrated systems[J].Journal of Business&Economic Statistics,1995,13(1):27-35.
[10]Dolatabadi S,Nielsen M O,Xu Ke.A fractionally cointegrated VAR analysis of price discovery in commodity futures markets[J].Journal of Futures Markets,2015,35(4):339–356.
[11]Zhou Bei,Wu Chong.Intraday dynamic relationships between CSI 300index futures and spot markets:A high-frequency analysis[J].Neural Computing and Applications,2016,27(4):1007-1017.
[12]杨浩,马鹤.中国对国际大宗农产品的价格影响力研究——基于大豆期货市场的实证分析[J].中国管理科学,2012,20(S2):848-853.
[13]何晓燕,张蜀林.我国棉花期货与现货市场的价格发现与波动溢出效应[J].系统工程理论与实践,2013,33(7):1723-1728.
[14]朱学红,谌金宇,邵留国.信息溢出视角下的中国金属期货市场国际定价能力研究[J].中国管理科学,2016,24(9):28-35.
[15]Wu Jinxi,Yang Jie,Ma Linwei,et al.A system analysis of the development strategy of iron ore in China[J].Resources Policy,2016,48:32-40.
[16]Chen Wenhui,Lei Yalin,Jiang Yong.Influencing factors analysis of China’s iron import price:Based on quantile regression model[J].Resources Policy,2016,48:68-76.
[17]肖明,崔超,郑珩.我国铁矿石期货价格与现货价格的波动分析[J].价格理论与实践,2014,(9):89-91.
[18]邓超,袁倩.基于VAR模型的铁矿石国际定价权研究[J].统计与决策,2016,(9):162-164.
[19]吴振信,薛冰,王书平.基于VAR模型的油价波动对我国经济影响分析[J].中国管理科学,2011,19(1):21-28.
[20]Dungey M,Fry-Mckibbin R,Linehan V.Chinese resource demand and the natural resource supplier[J].Applied Economics,2014,46(2):167-178.
[21]程凤朝,叶依常.资本充足率对宏观经济的影响分析[J].管理世界,2014,(12):1-11.
[22]谭小芬,韩剑,殷无弦.基于油价冲击分解的国际油价波动对中国工业行业的影响:1998-2015[J].中国工业经济,2015,(12):51-66.
[23]柳瑞禹,叶子菀.高耗能行业电力消费长期波动效应研究[J].中国管理科学,2014,22(6):125-133.
[24]吴文锋,靳莹.基于DAG方法的物价波动国际间传导研究[J].中国管理科学,2008,16(S1):481-485.
[25]郭娜,李政.我国货币政策工具对房地产市场调控的有效性研究——基于有向无环图的分析[J].财贸经济,2013,(09):130-136.
[26]Spirtes P,Glymour C,Scheines R.Causation,prediction,and search[M].MA:MIT Press,2000.
[27]高铁梅.计量经济分析方法与建模——EViews应用及实例(第二版)[M].北京:清华大学出版社,2009.
[28]叶欣,王婕.宏观经济环境下我国银行贷款和房价动态影响关系:基于SVAR模型的实证分析[J].管理评论,2013,25(9):62-71.