国际资源性产品价格运行规律的实证研究  

The Empirical Study on the Rules of Volatility of International Resource Products Price

作　　者：曹永琴[1] 李泽祥 

机构地区：[1]复旦大学 [2]万家基金研发部

出　　处：《数量经济技术经济研究》2009年第3期118-128,共11页Journal of Quantitative & Technological Economics

基　　金：国家自然科学基金(70573089)的资助

摘　　要：本文运用MSVAR和Copula方法研究国际资源性产品价格运行规律,发现国际资源性产品名义价格受供给面因素的影响在长期呈上升趋势;最近40年资源性产品市场共出现三次衰退,平均价格周期约为10年;各类产品价格高度协动及强下尾相关是周期运行的显著特征;不同的需求弹性和生产性质造成原油、金属矿藏品和农产品价格波动的速度、幅度和持续时间差异。本轮资源性产品价格整体上升的成本效应未导致世界经济衰退的原因在于经济增长机制的转变。Using the MSVAR and Copula, this paper studies the rule of inter- national resource products. We find that the nominal price of the international resource products affected by the supply is always going up; and there has been three declines in the resource products market during the recent 40 years, the average price cycle is 10 years; and the strong co-movement of prices among various products and strong tail correlation are the remarkable characters; the different demand elasticities and product characters cause that the speed, extent and last time of price volatility are different among crude oil, metal minerals and agricultural products. The cost effect caused by the whole increase of the resource products price this time doesn＇t induce the international economic decline, because of the change of the economic growth mechanism.

关 键 词：资源性产品 价格周期 波动性 协动性 持续时间 

分 类 号：F740.3[经济管理—国际贸易]