国际铁矿石价格与汇率动态关系的实证研究  

Empirical Study on Dynamic Relationship between International Iron Ore Prices and Exchange Rates

作　　者：蒋昱珺 余星 Jiang Yujun;Yu Xin(School of Economics and Management,Dalian University of Technology,Dalian 116000,China;School of Economics and Business Administration,Central China Normal University,Wuhan 430079,China)

机构地区：[1]大连理工大学经济管理学院,辽宁大连116000 [2]华中师范大学经济与工商管理学院,湖北武汉430079

出　　处：《湘南学院学报》2020年第2期114-120,共7页Journal of Xiangnan University

基　　金：湖北省社会科学研究基金一般项目(2018116)。

摘　　要：基于2009年1月至2018年1月相关货币的汇率及国际铁矿石价格,利用多元回归模型、Johansen协整检验及格兰杰因果检验,分析了铁矿石主要进出口国(澳大利亚、巴西、印度、中国、日本及韩国)的货币汇率对国际铁矿石价格的影响.研究结果表明,美元兑澳元汇率、美元兑巴西雷亚尔汇率和美元兑日元汇率与国际铁矿石价格具有协整关系,美元兑巴西雷亚尔汇率和美元兑日元汇率是国际铁矿石价格的格兰杰原因.最后提出了应对国际铁矿石价格变动风险的一些建议.Based on the exchange rates of relevant currencies and international iron ore prices from January 2009 to January 2018,this paper uses the multiple regression model,Johansen co-integration test and Granger causality test to analyze the impact of currency exchange rates of main import and export countries(Australia,Brazil,India,China,Japan and South Korea)of iron ore on international iron ore prices.The results show that usd/Australian dollar exchange rate,the usd/Brazilian exchange rate and the usd/Japanese yen exchange rate have a co-integration relationship with international iron ore prices.The dollar-Brazilian exchange rate and the dollar-yen exchange rate are the Granger reasons for international iron ore prices.Based on this,the paper puts forward some suggestions to deal with the risk of international iron ore price changes.

关 键 词：国际铁矿石价格 货币汇率 多元回归 JOHANSEN协整检验 格兰杰因果检验 

分 类 号：F82[经济管理—财政学]