新市场格局下铁矿石价格影响因素研究

›› 2018, Vol. 30 ›› Issue (2): 13-24,41.

新市场格局下铁矿石价格影响因素研究

邵留国^1,2,3, 许自花^2,3, 张仕璟³

1. 中国社科院工业经济研究所, 北京 100836;
2. 中南大学商学院, 长沙 410083;
3. 中南大学金属资源战略研究院, 长沙 410083

收稿日期:2015-11-05 出版日期:2018-02-28 发布日期:2018-02-10
通讯作者: 张仕璟(通讯作者),中南大学金属资源战略研究院讲师,博士。
作者简介:邵留国,中南大学商学院副教授,硕士生导师,中国社科院工业经济研究所博士后;许自花,中南大学商学院硕士研究生
基金资助:
国家社科基金重大项目（13ZD169；14ZDB136；15ZDA051）；中国博士后科学基金（2016M600162）；湖南省社科基金项目（14ZDB35；16YBA372）；湖南省教育厅创新平台开放基金项目（15K134）。

A Research of the Factors that Influence the Iron Ore Price under New Market Patterns

Shao Liuguo^1,2,3, Xu Zihua^2,3, Zhang Shijing³

1. Institute of Industrial Economics of Chinese Academy of Social Sciences, Beijing 100836;
2. Business School, Central South University, Changsha 410083;
3. Metal Resources Strategic Research Institute, Central South University, Changsha 410083

Received:2015-11-05 Online:2018-02-28 Published:2018-02-10

摘要/Abstract

摘要：

近年来，铁矿石国际贸易供需格局、定价机制发生了根本性改变，铁矿石价格也扭转上涨势头不断下跌，形成新的市场格局。本文在构建进口铁矿石价格影响因素分析框架的基础上，运用MS-VAR和VAR模型重点探讨了以下两个问题：一是在不同的市场走势中，进口铁矿石价格影响因素是否有差异、相关因素对进口铁矿石价格的影响是否具有非对称性；二是不同的定价机制对进口铁矿石价格是否有影响。结果显示：（1）美元汇率、中美利率差等金融因素对进口铁矿石价格有影响，且国际铁矿石市场存在投机行为，供需基本面不能作为国际铁矿石市场趋势分析的唯一考量。（2）在不同区制中，进口铁矿石价格对相关因素冲击的响应存在非对称效应。在上涨与下跌区制中，进口铁矿石价格对美元汇率、铁矿石进口量的冲击响应方向不同，而对美元汇率、中美利率差、海运费、铁矿石进口量、国产矿产量、库存等因素主要是响应程度的差异。（3）在定价权的争夺当中，三大矿山力推的现货指数定价抬升了价格，大连商品交易所推出的期货合约拉低了价格，而国产矿未能显著抑制价格的上升。

关键词: 铁矿石, MS-VAR模型, 定价机制, 金融因素

Abstract:

In recent years, the international iron ore supply and demand dynamics, and pricing mechanisms have fundamentally changed, with iron ore prices turning from upward trend to downward trend. Based on a framework built to analyze the factors that influ-ence the imported iron ore prices, this paper uses MS-VAR and VAR models to explore two questions:first, whether such the imported iron ore prices are influenced by different factors in different market trends and whether such factors influence the prices asymmetrically; second, whether different pricing mechanisms make difference to the imported iron ore prices. Results show that:(1) Financial factors such as US dollar exchange rate and interest-rate spread between China and America affect the imported iron ore prices, and there are speculations in international iron ore market, fundamentals of supply and demand should not be the only consideration in analyzing the international iron ore market trend. (2) In different regimes, the imported iron ore prices asymmetrically respond to the relevant influen-cing factors. In the rising and declining regimes, the imported iron ore prices respond, in different directions, to dollar exchange rate and iron ore import volume, and respond, to different extents, to US dollar exchange rate, interest-rate spread between China and America, ocean freight, iron ore import volume, domestic ore production and inventory. (3) The spot price indexes that the top three mining com-panies launched in pursuit of pricing power lead to an uplift in price, futures contracts released by Dalian Commodity Exchange bring down the prices, and domestic ores fail to inhibit the rise of prices.

Key words: iron ore, Markov-switching vector auto regressions model, pricing mechanism, financial factors

邵留国, 许自花, 张仕璟. 新市场格局下铁矿石价格影响因素研究[J]. , 2018, 30(2): 13-24,41.

Shao Liuguo, Xu Zihua, Zhang Shijing. A Research of the Factors that Influence the Iron Ore Price under New Market Patterns[J]. , 2018, 30(2): 13-24,41.

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