【摘要】：隨著我國加入WTO并更深入地參與到經(jīng)濟(jì)全球化進(jìn)程,加之城市化和工業(yè)化步伐不斷加快,我國對鋼鐵的需求增長非常迅速,然而,面對國際市場的沖擊,近幾年我國鋼材價格波動明顯加劇,不斷威脅著我國的鋼鐵產(chǎn)業(yè)安全以及國家的經(jīng)濟(jì)安全。本文在此背景下,從產(chǎn)業(yè)安全視角,對我國鋼鐵定價地位進(jìn)行研究,不僅有利于維護(hù)和促進(jìn)我國鋼鐵產(chǎn)業(yè)的發(fā)展,還可以為我國爭取其他大宗商品定價權(quán)和維護(hù)國家其他產(chǎn)業(yè)安全提供借鑒。 本文在對相關(guān)理論綜述和現(xiàn)實(shí)狀況分析的基礎(chǔ)上,運(yùn)用動態(tài)條件相關(guān)多元GARCH (DCC—MGARCH)模型,Garbade-Silber(G-S)模型等計量方法,基于產(chǎn)業(yè)安全視角對我國上海期貨交易所(SHFE)的鋼鐵期貨價格和倫敦金屬交易所(LME)、印度大宗商品交易所(MCX)的鋼鐵期貨價格進(jìn)行系統(tǒng)的實(shí)證分析,以期檢驗我國鋼鐵期貨市場的定價地位；并將定價權(quán)引入鋼鐵產(chǎn)業(yè)安全指標(biāo)體系中,檢驗定價權(quán)對我國鋼鐵產(chǎn)業(yè)安全的影響。研究發(fā)現(xiàn)：(1)雖然倫敦金屬交易所(LME)鋼鐵市場在世界市場上仍然保有價格信息發(fā)現(xiàn)的中心地位,但上海期貨交易所(SHFE)鋼鐵市場已不再是國際鋼鐵定價關(guān)系中的被動接受者,而是一個重要的參與者,存在對倫敦金屬交易所(LME)和印度大宗商品交易所(MCX)鋼鐵市場的信息波動。(2)國內(nèi)鋼材現(xiàn)貨價格受到國內(nèi)和國際期貨市場的雙重影響,國內(nèi)期貨市場部分的擁有國內(nèi)現(xiàn)貨的定價權(quán),但國內(nèi)現(xiàn)貨價格仍然受前一期的價格和國外發(fā)達(dá)期貨市場定價中心(LME)的影響比較多,還不能認(rèn)為鋼鐵期貨對國內(nèi)鋼材市場的決定性定價機(jī)制已經(jīng)形成。(3)將前兩項實(shí)證結(jié)果轉(zhuǎn)化為調(diào)整系數(shù)引入鋼鐵產(chǎn)業(yè)安全評價指標(biāo)體系,發(fā)現(xiàn)我國鋼鐵期貨市場對鋼鐵產(chǎn)品的定價權(quán)比之發(fā)達(dá)國家仍然不足。定價權(quán)缺失的不利影響主要表現(xiàn)在產(chǎn)業(yè)對外依存度方面,從鋼鐵期貨市場定價權(quán)的總體情況看,我國已經(jīng)獲得部分的定價權(quán),目前定價權(quán)問題對我國鋼鐵產(chǎn)業(yè)的不利影響并非難以逆轉(zhuǎn)。最后,基于前面的研究,本文從國家產(chǎn)業(yè)安全的角度提出了提高我國鋼鐵期貨市場定價地位的相應(yīng)政策建議。
[Abstract]:With China's entry into WTO and its deeper participation in the process of economic globalization, in addition to the accelerating pace of urbanization and industrialization, China's demand for steel is growing very rapidly. However, in the face of the impact of the international market, In recent years, the fluctuation of steel price in China has become more and more serious, which threatens the safety of China's steel industry and national economy. In this context, this paper, from the perspective of industrial safety, studies the pricing status of iron and steel in China, which is not only conducive to maintaining and promoting the development of China's iron and steel industry. It can also be used for reference for China to strive for other commodity pricing rights and to maintain national other industrial safety. Based on the summary of relevant theories and the analysis of practical situation, this paper uses dynamic conditional correlation multivariate GARCH (DCC-MGARCH) model, Garbade-Silber (G-S) model and other metrological methods. Based on the perspective of industrial safety, this paper makes a systematic and empirical analysis of the iron and steel futures prices of (SHFE) in Shanghai Futures Exchange and (MCX) of (MCX) in London Metal Exchange. In order to test the pricing status of China's iron and steel futures market; The pricing power is introduced into the safety index system of iron and steel industry to test the influence of pricing power on the safety of China's iron and steel industry. The study found that: (1) although the London Metal Exchange (LME) (LME) Steel Market still holds the central position of price information discovery in the world market, But the (SHFE) steel market on the Shanghai Futures Exchange is no longer a passive recipient of international steel pricing relationships, but an important participant. There are information fluctuations on the London Metal Exchange (LME) and India's Commodity Exchange (MCX) steel markets. (2) the spot prices of domestic steel are influenced by both domestic and international futures markets. Part of the domestic futures market has the pricing power of domestic spot, but the domestic spot price is still affected by the price of the previous period and the foreign developed futures market pricing center (LME). It can not be considered that the decisive pricing mechanism of iron and steel futures to domestic steel market has been formed. (3) the first two empirical results are transformed into the adjustment coefficient into the steel industry safety evaluation index system. It is found that the pricing power of iron and steel futures market is still insufficient in developed countries. The negative impact of the lack of pricing power is mainly reflected in the degree of dependence of the industry on external relations. From the overall situation of pricing power in the iron and steel futures market, China has obtained part of the pricing power. At present, the adverse effect of pricing power on China's iron and steel industry is not difficult to reverse. Finally, based on the previous research, this paper puts forward the corresponding policy recommendations to improve the pricing status of China's iron and steel futures market from the point of view of national industrial security.
【學(xué)位授予單位】：東華大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2013
【分類號】：F426.31;F831.51

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