汇率冲击对天然橡胶与合成橡胶价格的影响分析  

Static and Dynamic Analysis on Responses of Natural and Synthetic Rubber Price to Exchange Rate Shock

作　　者：刘锐金[1] 杨琳[1] 魏宏杰[2] 

机构地区：[1]中国热带农业科学院橡胶研究所,海南儋州571737 [2]上海财经大学经济学院,上海200439

出　　处：《林业经济问题》2017年第2期61-69,共9页Issues of Forestry Economics

基　　金：海南省自然科学基金资助项目(712137;714280);国家哲学人文社会科学基金青年项目(11CJY064)

摘　　要：人民币汇率对天然橡胶与合成橡胶现货价格、天然橡胶期货交易变量影响的分析结果表明:人民币升值与国内天然橡胶现货价格、期货交易变量、合成橡胶现货价格在数值上呈现负向关系,但不存在长期均衡关系;名义有效汇率变动对价格变量具有预测力;在人民币升值冲击下,天然橡胶和合成橡胶价格会上涨,这可能主要是因为样本期间正是中国经济高速发展阶段;不同季节的汇率冲击,天然橡胶和合成橡胶现货价格的反应函数没有明显差异。Background Exchange rates are important signals in the foreign exchange markets,which also include the information of policy implementing.State Administration of Foreign Exchange provides rates of Renminbi(RMB)to US Dollar(USD),Euro,Japanese yen,and other currencies while the exchange indices based on weights of bilateral trades are available at Bank for International Settlements exchange.About 80 percentage of natural rubber consumed by China are mainly from Association of Southeast Asian Nations(ASEAN)countries.The prices of the synthetic rubber,the original materials of from crude oil,are almost dominated by natural rubber.Changes in foreign exchange rates may significantly affect the markets of rubber.Methods Base on regressions analysis,co-integration test,Granger test and impulse functions,this paper investigates the impacts of shocks which are from exchange rates of RMB to USD and RMB effective exchange rates including nominal and real on natural and synthetic rubber spot prices,and futures exchange variables of natural rubber.Results Most of international trade settlements are finish by USD,and the appreciation of RMB against USD may increase the cost of importing natural rubber.However,the pricing is influenced by many factors and is not easy to identify the results from foreign exchange markets.Changes in Malaysian Ringgit and Thailand Baht against USD could not provide much useful information for explaining the natural and synthetic rubber monthly price volatility.The nominal rates of RMB against USD are negatively linked to the natural rubber price from Jan2000 to June 2014 if the timing is neglected,but the relationship may by a co-movement instead of causality.Futures market is a main source of the price discovery for natural rubber.The exchange rates partly indicate the difference of interest rates among economies which deeply affect the capital flows.There seem to be a co-moving trend in certain time periods among nominal exchange rates,trade volumes and open interest of natural rubber.The volume

关 键 词：汇率 天然橡胶 合成橡胶 价格 期货交易 脉冲反应 

分 类 号：F740.3[经济管理—国际贸易]