数量经济技术经济研究
數量經濟技術經濟研究
수량경제기술경제연구
The Journal of Quantitative & Technical Economics
2009年
3期
118~128
,共null页
资源性产品 价格周期 波动性 协动性 持续时间
資源性產品 價格週期 波動性 協動性 持續時間
자원성산품 개격주기 파동성 협동성 지속시간
Resource Products; Price Cycle; Volatility; Co-movement; Persistence Time
本文运用MSVAR和Copula方法研究国际资源性产品价格运行规律，发现国际资源性产品名义价格受供给面因素的影响在长期呈上升趋势；最近40年资源性产品市场共出现三次衰退，平均价格周期约为10年；各类产品价格高度协动及强下尾相关是周期运行的显著特征；不同的需求弹性和生产性质造成原油、金属矿藏品和农产品价格波动的速度、幅度和持续时间差异。本轮资源性产品价格整体上升的成本效应未导致世界经济衰退的原因在于经济增长机制的转变。
本文運用MSVAR和Copula方法研究國際資源性產品價格運行規律，髮現國際資源性產品名義價格受供給麵因素的影響在長期呈上升趨勢；最近40年資源性產品市場共齣現三次衰退，平均價格週期約為10年；各類產品價格高度協動及彊下尾相關是週期運行的顯著特徵；不同的需求彈性和生產性質造成原油、金屬礦藏品和農產品價格波動的速度、幅度和持續時間差異。本輪資源性產品價格整體上升的成本效應未導緻世界經濟衰退的原因在于經濟增長機製的轉變。
본문운용MSVAR화Copula방법연구국제자원성산품개격운행규률，발현국제자원성산품명의개격수공급면인소적영향재장기정상승추세；최근40년자원성산품시장공출현삼차쇠퇴，평균개격주기약위10년；각류산품개격고도협동급강하미상관시주기운행적현저특정；불동적수구탄성화생산성질조성원유、금속광장품화농산품개격파동적속도、폭도화지속시간차이。본륜자원성산품개격정체상승적성본효응미도치세계경제쇠퇴적원인재우경제증장궤제적전변。
Using the MSVAR and Copula, this paper studies the rule of inter- national resource products. We find that the nominal price of the international resource products affected by the supply is always going up; and there has been three declines in the resource products market during the recent 40 years, the average price cycle is 10 years; and the strong co-movement of prices among various products and strong tail correlation are the remarkable characters; the different demand elasticities and product characters cause that the speed, extent and last time of price volatility are different among crude oil, metal minerals and agricultural products. The cost effect caused by the whole increase of the resource products price this time doesn＇t induce the international economic decline, because of the change of the economic growth mechanism.
