汇率波动对大宗商品交易价格影响研究

基于大多数大宗商品以美元计价的现实背景,考虑到交易成本在内的一价定律,从人民币汇率波动对大宗商品交易价格的影响出发,以大宗农产品中的大豆、小麦和白糖为例,根据大宗农产品的国内期货价格的日频数据和人民币对美元的即期汇率,运用多元协整模型、误差修正模型、脉冲响应函数等方法,对人民币兑美元汇率与国内大宗农产品价格之间的关系进行全面分析.实证结果表明,人民币兑美元汇率的升值与大宗农产品价格上涨存在正相关关系,美元的贬值可能会导致更高的大宗农产品价格.

Impact of Exchange Rate System on Commodity Price

The recent fluctuation in commodity prices was enpounded due to the influence of RMB exchange rate variation on agricultural commodities.The relationship between the domestic futures price data of agricultural commodities and the exchange rate of RMB to dollar was analysed with soybean,wheat and sugar as examples.The analysis was based on the multivariable co integration model,the error correction model and the impulse response function technique.The empirical results show that a positive correlation exists between the appreciation of the exchange rate of RMB to dollar and prices of staple agricultural products,while the depreciation of dollar may lead to higher prices of agricultural commodities.