CAJ | 학술논문

资源性产品价格近10年来不断上涨起伏，中国作为资源消费大国却没有与之匹配的定价权。本文旨在剖析资源价格巨幅震荡的原因，探明关键因素及其作用机理，为中国有效参与资源国际价格形成提供依据。本文利用多元回归方法和Copula—GARCH建模，筛选出7个关键因素，分析各因素对原油现价的影响，并特别关注极端事件下的协同效应。研究发现，非商业投机操作成为资源价格波动的主导因素；资源供给的波动引起的价格变化大于需求因素；计价货币汇率变动起到明显的推手作用；战略储备的增加抵减了商业库存的总体调节效果。实证结果显示市场因素对资源价格的影响程度及拟合效果均优于基本面因素。
자원성산품개격근10년래불단상창기복，중국작위자원소비대국각몰유여지필배적정개권。본문지재부석자원개격거폭진탕적원인，탐명관건인소급기작용궤리，위중국유효삼여자원국제개격형성제공의거。본문이용다원회귀방법화Copula—GARCH건모，사선출7개관건인소，분석각인소대원유현개적영향，병특별관주겁단사건하적협동효응。연구발현，비상업투궤조작성위자원개격파동적주도인소；자원공급적파동인기적개격변화대우수구인소；계개화폐회솔변동기도명현적추수작용；전략저비적증가저감료상업고존적총체조절효과。실증결과현시시장인소대자원개격적영향정도급의합효과균우우기본면인소。
The prices of resource products have experienced ups and downs over the past decade. As a country of huge resource consumption, China failed to have the well-matched power over the resources＇ pricing. This paper aims to explain the main reasons for the fluctuation over the price of resource products and seek out the key factors and their pricing mechanism so as to provide refer- ence for China＇ s effective participation in international resource pricing. By us- ing multivariate statistical regression method and Copula- GARCH model, the pa- per screens out seven critical factors to analyze the influences of each factor on crude oil price, and focuses on the synergic effects under extreme events. It is found that non-commercial speculation plays the leading role in the price fluctua- tion; price changes caused by resource supply are more significant than by the demand factor; the swing of valuation currency and its exchange-rate become a remarkable driving force of price changes; the increase in strategic inventory weakens the total adjustive function of commercial stocks. The empirical results indicate that the influence and imitative effect of market factors are better than those of the fundamentals. The paper concludes that continuous efforts should be made in worldwide markets to set resource prices at a reasonable level.