国外LLDPE价格对我国LLDPE价格的非对称传导分析  

Study on asymmetric conduction of LLDPE price in international market on Chinese market

作　　者：王兴芬[1] 刘哲 WANG Xing-fen;LIU Zhe(School of Information Management,Beijing Information Science and Technology University,Beijing 100192,China)

机构地区：[1]北京信息科技大学信息管理学院,北京100192

出　　处：《现代化工》2024年第S01期1-6,10,共7页Modern Chemical Industry

基　　金：国家重点研发计划课题“大宗商品电子商务市场的交易风险智能分析与预警技术”(2019YFB1405003)。

摘　　要：选取2010年1月至2023年12月我国、中东、东南亚及美国线性低密度聚乙烯(LLDPE)现货价格,采用非线性自回归分布滞后模型(NARDL)探讨国外地区市场价格对我国LLDPE价格传导的非对称效应。实证结果表明,相较于美国和东南亚,我国LLDPE对中东LLDPE市场的依存程度比较高;同时,东南亚、中东地区及美国对我国LLDPE价格传导存在非对称性,且在价格非对称传导程度和速度上呈现异质特点,其中,美国LLDPE价格下跌的传导程度与速度均大于价格上涨的传导程度与速度,东南亚地区在价格传导程度上也体现出负向非对称性,但传导速度的非对称性不显著,而中东地区LLDPE价格上涨的传导程度大于价格下跌的传导程度,在传导速度上差异较小。Nonlinear autoregressive distributed lag model(NARDL)is used to explore the asymmetric impact of linear low density polyethylene(LLDPE)price in global market on the price in Chinese market through selecting the spot LLDPE prices in the Middle East,Southeast Asia,the United States and China from January 2010 to December 2023 for analysis.Empirical results show that LLDPE in China relies more on LLDPE prices in the Middle East market than those in the United States and Southeast Asia markets.Meanwhile,the LLDPE prices in Southeast Asia,the Middle East and the United States of America conduct asymmetrically onto China's LLDPE prices,and showing heterogeneous characteristics in asymmetrical conduction degree and speed.In which,the conduction degree and speed of LLDPE price decline from the United States of America market are greater than those of LLDPE price increase;The price conduction from Southeast Asia market also reflects negative asymmetry in the conduction degree,but does not reflect significant asymmetry in the conduction speed;The price conduction degree of LLDPE price increase from the Middle East market is larger than that of price decline,but there is smaller difference in the conduction speed of price increase and decline.

关 键 词：LLDPE 线性低密度聚乙烯 非对称性 价格传导 NARDL模型 能源化工产品 

分 类 号：F405[经济管理—产业经济] F062.1