北京航空航天大学学报社科版 ›› 2020, Vol. 33 ›› Issue (5): 108-116.DOI: 10.13766/j.bhsk.1008-2204.2019.0240

• 经济与管理 • 上一篇    下一篇

进口型国家能获取商品期货国际定价权吗?——以棕榈油为例

姚林, 穆月英   

  1. 中国农业大学 经济管理学院, 北京 100083
  • 收稿日期:2019-08-06 发布日期:2020-10-10
  • 作者简介:姚林(1987-),男,河南兰考县人,博士研究生,研究方向为农产品期货市场、国际贸易.
  • 基金资助:
    国家自然科学基金(61871380);中央高校基本科研业务费(2018JG001)

Can Importing Countries Obtain International Pricing Power for Commodity Futures?—Taking Palm Oil as an Example

YAO Lin, MU Yueying   

  1. College of Economics and Management, China Agricultural University, Beijing 100083, China
  • Received:2019-08-06 Published:2020-10-10

摘要: 基于2010—2017年中国大连商品交易所、马来西亚衍生品交易所、印度尼西亚商品和衍生品交易所棕榈油期货价格数据,实证分析了中国、马来西亚、印度尼西亚三国棕榈油期货市场的价格发现功能。研究发现:中国作为进口大国尚不具有棕榈油期货的国际定价权,马来西亚是棕榈油的国际定价中心;棕榈油期货价格的国际传导存在着门槛效应,当误差修正项大于0.383时,印度尼西亚棕榈油期货价格会对中国市场产生显著的影响。扩展讨论认为:封闭性、虚拟化是中国期货市场缺乏国际定价权的两个主要原因,提高国际化水平是中国期货市场获取国际定价权的必由之路,服务实体经济发展是期货市场发展的根本之策。

关键词: 商品期货, 价格发现, 门槛协整, 国际定价权

Abstract: Based on the 2010 to 2017 palm oil futures price data of China Dalian Commodity Exchange, Bursa Malaysia Derivatives Berhad and Indonesia Commodity & Derivatives Exchange, this paper empirically analyzed the price discovery function of palm oil futures markets in China, Malaysia and Indonesia. It is found that as an important importing country, China does not yet have the international pricing power of palm oil futures, and Malaysia is the international pricing center of palm oil. There is a threshold effect in the international transmission of palm oil futures prices. When the error correction term is greater than 0.383, Indonesia's palm oil futures prices will have a significant impact on the Chinese market. A further discussion shows that closeness and virtualization are two of the main reasons for the lack of international pricing power in China's futures market: expanding opened-up is the only way for China's futures market to obtain international pricing power; and serving the development of real economy is the fundamental policy for the development of futures market.

Key words: futures market, price discovery, threshold co-integration, international pricing power

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