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澳元汇率与大商所铁矿石期货相关性分析

2017-09-21 10:13:21   中国经济网

澳大利亚是中国目前最重要的进口铁矿石来源之一,根据统计数据,2015年中国进口的铁矿石占铁矿石消费的81%,而其中澳大利亚铁矿石占中国进口铁矿石的64%,可见澳大利亚的铁矿石在国内的铁矿石市场占有率超过50%,这意味着从澳大利亚进口的铁矿石价格的波动将对国内的铁矿石价格具有很大的影响力。

澳元是G7货币中最重要的商品货币之一,而澳大利亚是出口主导的经济结构,出口商品中矿产品占比超过50%(2015年数据),使得澳元汇价与矿产(主要出口矿产为铁矿石、煤炭、黄金等等)价格紧密联系。铁矿石在澳大利亚矿产出口贸易量排名中位居第一,2014年、2015年、2016年其出口额分别占澳大利亚出口总额的22%、17%、15.3%,在贸易帐中占据主要位置,而贸易额的增减也直接关系着澳元的竞争力,这样来看澳元汇价和铁矿石的价格理应表现出较大的相关性。

从图1和图2中可以看出澳美汇价和铁矿石期货的价格走势(2013—2017年)具有一定的相关性。然而,由于人民币汇率的波动,使得两者在图形上出现了一定的偏离。下面对行情数据进行处理并分析其相关性。

图1 澳元周线(2013年10月18日—2017年9月5日)

图2 铁矿石主力合约周线(2013年10月18日—2017年9月5日)

数据上,采用澳元兑美元的汇率(AUDUSD)和大商所铁矿石期货主力合约连续收盘价格作为研究对象,使用美元兑人民币的汇率(USDCNY)来剔除人民币汇率的影响,数据使用2013年10月18日到2017年9月5日的日线收盘价。将铁矿石价格用USDCNY处理得到铁矿石的美元报价(后记作I/USD)。使用AUDUSD作为预测变量,来描述因变量I/USD,然后对AUDUSD和I/USD的数据进行相关性分析。

图3的I/USD-AUDUSD的散点图已经大致呈现出了正相关并且有一个线性区域聚集的现象,图4的相关性分析显示两者相关性系数为0.855,呈现出强相关性。

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