中国铁矿石期货市场的定价影响力研究——基于VEC-SVAR模型的实证分析

为探究中国铁矿石期货这一新兴市场的定价影响力状况以评价其对于中国铁矿石国际定价权的提升所起到的作用，本文从期货市场功能的视角，采用以VEC-SVAR模型为核心的研究方法，选取2013年10月至2016年3月的相关日度历史数据，对中国铁矿石期货价格与国内外现货价格间的动态联动及引导关系进行实证分析。结果表明：中国铁矿石期货价格与国内外现货价格之间存在高度关联性和长期均衡关系，已具备风险规避功能，可用于套期保值转移市场风险，但尚不具备有效的价格发现功能，无法对国内外现货价格的形成起决定和引导作用，定价影响力较弱，并未实质性地促进中国铁矿石国际定价权的提升；以TSI为代表的国际铁矿石现货价格指数占据绝对的定价权主导地位，但其高度的价格独立性和不透明的编制过程隐藏有价格操纵的可能性。

Pricing Influence of China's Iron Ore Futures Market: An Empirical Analysis Based on VEC-SVAR Models

As a fundamental metal resource bulk commodity, iron ore is indispensable for national development. Although being the biggest iron ore importing country in the world, China has been incurring enormous economic loss in the past decades due to lack of iron ore international pricing power. In recent years, the financialization trend of iron ore market has been more prominent owing to the change of iron ore pricing mechanism. Therefore, the construction and development of futures market becomes an important way to promote iron ore international pricing power at the present stage. To study the pricing influence of the emerging China's iron ore futures market and evaluate its effect on the promotion of China's iron ore international pricing power, from the perspective of futures market's functions, an example from iron ore prices of DCE (Dalian Commodity Exchange iron ore futures), and CSI (China Iron Ore Spot Price Index) and TSI (The Steel Index)is taken, and relevant historical intraday data from October 2013 to March 2016 is selected, in order to make an empirical analysis of the dynamic co-movement and leading relation between China's iron ore futures price and both domestic & international spots prices. The empirical analysis is based on VEC-SVAR models as the core research method and combined with the methods of cointegration test and directed acyclic graphs. The results show that:there are high-level correlation and long-term equilibrium between China's iron ore futures price and both domestic & international spots prices. China's iron ore futures market has the function of risk aversion, and can be used for hedging to transfer market risk. However, it still does not have effective function of price discovery or pricing influence, and cannot play a decisive and leading role in the pricing formation of both domestic & international spots markets. Moreover, it does not improve the international pricing power of China substantially. The international iron ore spots price indexes, represented by TSI, have absolute domination in pricing power, however, the possibility of price manipulation may be hidden in the high-level price independence and opaque compilation process. The research of this paper fills the insufficiency of the research field, which is about the international pricing influence of China's iron ore futures market, and extends the research perspectives of iron ore international pricing power from the perspective of futures market. The findings have significant reference value to the further development and improvement of China's iron ore futures market.