美元汇率对中国天然橡胶现货价格影响的实证  

Empirical Study on Impact of the Fluctuation of US Dollar Exchange Rate to the Spot Price of Natural Rubber in China

作　　者：樊孝凤[1] 刘行[1] 

机构地区：[1]海南大学经济与管理学院,海口570228

出　　处：《林业经济问题》2016年第4期355-360,共6页Issues of Forestry Economics

基　　金：国家自然科学基金资助项目(71163011);海南省社会科学基金资助项目(HNSK(ZC)15-6);国家天然橡胶产业技术体系产业经济研究项目(CARS-34-GW11);中西部高校综合能力提升计划(海南)项目(HDZHSL201301)

摘　　要：2009年以来天然橡胶价格的大涨大落无法用天然橡胶的基本供求解释;在2009年1月至2015年5月美元指数和中国全乳胶价格的周度数据,在单位根和协整检验基础上,构建向量自回归(VAR)模型,利用脉冲响应函数和Granger因果检验对全乳胶价格与美元指数之间的关系进行分析;结果表明:美元指数与全乳胶价格之间存在负相关关系,且在Granger意义上因果单向相关,即美元指数的变化会影响全乳胶价格,但全乳胶价格的变化不会影响美元指数;该结果能较好地解释2009年至今天然橡胶价格大涨大落现象。基于研究从微观和宏观提出政府应鼓励企业加强套期保值交易、利用关税、国家收储等政策应对美元汇率对中国天然橡胶市场的影响。The theory of supply and demand can＇t explain why the price of natural rubber fluctuate so much from 2009 to 2015. In order to untie the paradox,this paper builds VAR model based on unitroot and cointegration test to analyze the relations between US Dollar Index and the price of SCR-WF by using time-series weekly data from January 2009 to May 2015,utilizing pulse response analysis and Granger causality test. The result shows that there is not only a negative correlation between US Dollar Index and the price of SCR-WF,but also this negative correlation is Granger causality relationship.That is to say,the price change of US Dollar Index can influence the price change of SCR-WF,but the price change of SCR-WF can＇t influence the price change of US Dollar Index. At last some suggestions are put forward to reduce the influence of US Dollar exchange rate on the domestic market. For example,government should encourage enterprises to strengthen hedging trade,make the best use of tariffs and purchasing and storage policy,and so on.

关 键 词：美元汇率 美元指数 全乳胶价格 VAR模型 

分 类 号：F326.23[经济管理—产业经济]