国内外橡胶价格的动态关系分析

运用协整分析、格兰杰因果检验、脉冲响应函数等计量方法,使用1997年1月到2009年12月国内天然橡胶橡胶、国内合成橡胶、国际天然橡胶的月平均价格数据,研究了各类价格之间的动态关系。研究结果表明:国内天然橡胶、合成橡胶与以人民币计价的天然橡胶国际价格存在长期均衡关系,但与美元计价的价格则不存在;国内天然橡胶价格偏离时受其与国际市场的长期均衡的调整力强,国内天然橡胶和合成橡胶的均衡调整对后者的调整作用更大;天然橡胶国际市场价格对国内天然橡胶和合成橡胶价格都有较强的预测力,国内合成橡胶价格对天然橡胶价格具有预测力,反之,预测力很弱;国际天然橡胶价格变动对国内天然橡胶和合成橡胶的冲击大,尤其是对前者,但国内价格变动对国际价格的冲击力小;国内天然橡胶价格对来自合成橡胶的冲击反映相对慢,幅度也相对小,反之,则较为强烈。

Analysis on Dynamic Relationship of Rubber's Prices at Home and Abroad

This study tests the dynamic relationship of the prices of domestic synthetic rubber ( SR) and natural rubber ( NR) at home and abroad by co-integration analysis,Granger causality test,and impulse response functions with monthly data from January 1997 to December 2009. The result shows that the prices of domestic SR and NR,and RMB-denominated international price of natural rubber are co-integrated,but and US-denominated price are not; the adjustment force on domestic NR price when it deviates from the equilibrium is stronger than on the international NR price,and the force on domestic SR price is stronger than on the domestic NR price; the international NR price has greater predictability on domestic NR and SR prices,and domestic SR price helps predict domestic NR,instead it does not; the impulse of international price affected mainly by itself has stronger impact on domestic NR than SR,and the impulse of domestic NR price effects SR more.