摘要
由于我国钢铁企业铁矿石原料采购普遍的对外依存度非常高,铁矿石价格的波动对于整个钢铁产业的健康运行具有重要影响。本文选取2005年6月到2016年2月的铁矿指数,运用G S A D F模型对铁矿石价格的波动情况进行了实证检验,且通过G S A D F统计量及其界值的对比情况检验出了铁矿指数在2007年、2010年、2014年间的三次泡沫。本文通过实证研究结果发现:价格泡沫的产生和破灭与铁矿石的定价机制和我国的供需密切相关;警惕铁矿石价格现阶段的下行中仍然有可能存在泡沫。
Because of the high degree of dependence on foreign iron ore procurement of China's iron and steel enterprises,the fluctuation of the price of iron ore has an important influence on the healthy operation of the whole iron and steel industry.Using data of iron ore price index in I Nishimoto Shinkansen from 2005~2016,this paper conduct bubble tests by the methods of the sup ADF and the general sup ADF,and find that bubbles exist in the period of 2007,2010,2014.In this paper,the results of empirical studies are found:these bubbles are related to the iron ore price mechanism,and domestic supply and offer is the main driver as well;there are still possible bubbles in the market of iron ore,even the price shows a downtrend.
出处
《工业经济论坛》
2016年第2期180-187,共8页
Industrial Economy Review
基金
国家社会科学基金项目"人民币离岸金融中心的区位选择与形成机制研究(15BJY155)"
