摘要
本文基于我国铁矿石进口价格和资源性货币汇率的月度数据计量分析我国铁矿石进口价格与汇率变化的关系。研究显示,进口铁矿石价格与资源性货币澳元、巴西雷亚尔汇率之间存在长期协整关系;美元对澳元以及美元对巴西雷亚尔汇率跟铁矿石进口价格之间存在着反向动态关系,即美元对资源性货币贬值会导致国际铁矿石价格的上涨,并且这种影响是长期稳定的。铁矿石进口价格主要受供需关系影响,但汇率变动也是不可忽略的重要因素,本文就此提出了我国钢铁企业应该利用汇率衍生工具来规避或冲销商品涨价风险。
This paper conducts an investigation into the relationship between movements of resources currencies and China＇ s prices of imported iron ores us- ing monthly data. The econometric results demonstrate that there exists a long-term relationship between prices of imported iron ores, the foreign rates of Australian dollar against U.S. dollar, and the foreign rates of Brazilian Real. The negative relationship points to the fact that devaluation of U.S. dollar against these currencies will lead to an increase in prices of imported iron ores, and that the relationship is stable and not negligible. In light of these findings, China＇ s steel enterprises should use foreign exchange derivatives to manage commodities risk.
基金
"FDI技术转移
技术溢出与国内公司的自主创新理论与实证研究"(教育部12YJA790055)基金项目的支持
关键词
铁矿石进口价格
资源性货币汇率
协整检验
方差分解
Prices of imported iron ores
Resources currencies
Cointegration test
Variance decomposition
