| 刘芳园，周日旺，邹文涛.石油价格对天然橡胶价格的影响——基于 VAR 模型的实证研究[J].广东农业科学,2018,45(12):165-171 |
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石油价格对天然橡胶价格的影响——基于 VAR 模型的实证研究 |
| Analysis of the impact of oil price on natural rubber price—An empirical study based on VAR model |
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| DOI：10.16768/j.issn.1004-874X.2018.12.027 |
| 中文关键词: 传导机理 ICE 布油 天然橡胶期货价格 VAR 模型 |
| 英文关键词: conduction mechanism ICE oil natural rubber futures price VAR model |
| 基金项目:海南省哲学社会科学规划项目（HNSK（QU）16-46） |
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| 摘要点击次数: 1694 |
| 全文下载次数: 1213 |
| 中文摘要: |
| 近年来，石油价格与天然橡胶价格逐渐呈现出负相关关系，与前人的研究结论相悖，即石
油价格与天然橡胶价格呈现正相关关系。分析了石油价格对天然橡胶价格影响的传导机理；通过格兰杰
因果检验和协整检验，表明二者是互为格兰杰因果关系，且走势存在长期均衡；通过 VAR 模型实证检
验了石油价格对天然橡胶价格的影响，结果表明前者对后者并非单纯的正向影响，指出前人结论的不完
善在于未考虑到天然橡胶根本供需关系的改变会在一定程度上割裂石油与天然橡胶在价格上相互影响的
关系。最后从投资者和生产者的角度提出相应的对策建议。 |
| 英文摘要: |
| In recent years, the price of oil has gradually presented negative correlation with the price of natural
rubber, and it is contradictory to the previous study conclusion that the price of oil and the price of natural rubber have
been positively correlated. In this paper, the transmission mechanism of the influence of oil price on natural rubber
price was analyzed. Through the granger causality test and co-integration test, the result showed that there was a
granger causality relation between the oil price and the natural rubber price, and the situation would be in long-term
equilibrium. In addition, the effect of oil price on the price of natural rubber was verified by the VAR model, and the
results showed that the former is not a simply positive effect on the latter. So we concluded that the original conclusion
was not imperfect, and it was not considered that the change of the supply and demand relationship of the natural
rubber would influence the relationship between oil and natural rubber on price. At last, some countermeasures and
suggestions were put forward from the perspective of investors and producers. |
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