国际钾肥市场“一价定律”的验证
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摘要
全球钾盐资源和产能相对集中,而消费市场又与产地分离,造成了全球近80%的钾肥产量要通过贸易方式销往主要消费市场。作为可贸易流通商品,国际钾肥市场是否符合"一价定律",本文采用不同的方法验证国际钾肥市场价格是否支持"一价定律"假说,从而判断国际钾肥市场的空间整合程度。从研究结果看,国际钾肥市场中存在非常显著的"价格共移"特征,且出口市场的价格关联程度要明显高于进口市场;"一价定律"假说主要在钾肥进口市场之间以及进口市场和出口市场之间得到了验证,而钾肥出口市场之间则未能支持"一价定律"假说。
Global potassium resources and production capacity are relatively concentrated,and the consumer market is separated from the place of origin,resulting in nearly 80%of global potassium fertilizer production to be sold to the main consumer market through trade.As a tradable commodity,whether the international potash fertilizer market conforms to the law of one-price or not,this paper uses different methods to verify whether the price of the international potassium fertilizer market supports the hypothesis of the law of oneprice,so as to examine the degree of spatial integration of the international potassium fertilizer market.Based on the research findings,there is a very significant price co-movement feature in the international potassium fertilizer market,and the price correlation degree of the export market is significantly higher than that of the import market;the law of one-price hypothesis has been verified mainly among the import market of potassium fertilizer and between the import market and the export market,while the law of one-price hypothesis has not been supported among the export market of potassium fertilizer.
Global potassium resources and production capacity are relatively concentrated,and the consumer market is separated from the place of origin,resulting in nearly 80%of global potassium fertilizer production to be sold to the main consumer market through trade.As a tradable commodity,whether the international potash fertilizer market conforms to the law of one-price or not,this paper uses different methods to verify whether the price of the international potassium fertilizer market supports the hypothesis of the law of oneprice,so as to examine the degree of spatial integration of the international potassium fertilizer market.Based on the research findings,there is a very significant price co-movement feature in the international potassium fertilizer market,and the price correlation degree of the export market is significantly higher than that of the import market;the law of one-price hypothesis has been verified mainly among the import market of potassium fertilizer and between the import market and the export market,while the law of one-price hypothesis has not been supported among the export market of potassium fertilizer.
引文
[1]刘达禹,刘金全.人民币实际汇率波动与中国产业结构调整——一价定律偏离还是相对价格波动[J].国际贸易问题,2015(5):154-165.LIU Dayu,LIU Jinquan.RMB real exchange rate and China's industrial structure adjustment:a deviation from law of one price or relative price fluctuation[J].International Trade Problem,2015(5):154-165.
[2] FACKLER P L,GOODWIN B K.Spatial price analysis[M]∥Handbook of agricultural economics.Amsterdam:Elsevier,2001:971-1024.
[3] OFFICER L H.The law of one price cannot be rejected:two tests based on the tradable/nontradable price ratio[J].Journal of Macroeconomics,1986,8(2):159-182.
[4] ARDENI P G.Does the law of one price really hold for commodity prices?[J].American Journal of Agricultural Economics,1989,71(3):661-669.
[5]全世文,曾寅初,毛学峰.运输成本可以解释空间市场整合中的交易成本吗?——来自中国小麦和玉米市场的证据[J].中国农村观察,2015(1):15-29.QUAN Shiwen,ZENG Yinchu,MAO Xuefeng.Can transportation cost explain transaction cost in spatial market integration?Evidences from China's local wheat and maize markets[J].China Rural Survey,2015(1):15-29.
[6] FRANKEL J.Quantifying international capital mobility in the1980s[M]∥National saving and economic performance.Chicago:Chicago University Press,1978.
[7] KRUGMAN P.Purchasing power parity and exchange rates[J].Journal of International Economics,1978,8:397-407.
[8] FRANKEL J.International capital mobility and crowding out in the U.S.economy:imperfect integration of financial markets or goods markets?[M]∥How open is the US economy.Lexington:Lexington Books,1986.
[9] EDISON H.Purchasing power parity in the long run:a test of the dollar/pound exchange rate(1890-1978)[J].Journal of Money,Credit,and Banking,1987,19:376-387.
[10] MEESE R,ROGOFF K.Was it real?The exchange rate interest differential relation over the modern floating exchange rate period[J].Journal of Finance,1988,43:933-948.
[11] ENGLE R,GRANGER C.Co-integration and error correction:representation,estimation,and testing[J].Econometrica,1987,55(2):251-276.
[12] TAYLOR A M,TAYLOR M P.The purchasing power parity debate[J].Journal of Economic Perspective,2004,18:135-158.
[13] FROOT K A,ROGOFF K.“Perspectives on PPP and longrun real exchange rates[M]∥Handbook of international economics.Amsterdam:North Holland,1995.
[14] OH K Y.Purchasing power parity and unit root tests using panel data[J].Journal of International Money and Finance,1996,15:405-418.
[15] PESARAN M H.A pair-wise approach to testing for output and growth convergence[J].Journal of Econometrics,2007,138:312-355.
[16] LEVIN A,LIN C F,CHU C S J.Unit root tests in panel data:asymptotic and finite-sample properties[J].Journal of Econometrics,2002,108:1-24.
(1)从理论上讲,“一价定律”是购买力平价的充分但非必要条件,购买力平价理论的微观基础同样是“一价定律”,而验证购买力平价的方法体系同样适用于验证“一价定律”;差异在于,前者使用消费价格指数CPI,后者直接使用特定商品的价格。
[2] FACKLER P L,GOODWIN B K.Spatial price analysis[M]∥Handbook of agricultural economics.Amsterdam:Elsevier,2001:971-1024.
[3] OFFICER L H.The law of one price cannot be rejected:two tests based on the tradable/nontradable price ratio[J].Journal of Macroeconomics,1986,8(2):159-182.
[4] ARDENI P G.Does the law of one price really hold for commodity prices?[J].American Journal of Agricultural Economics,1989,71(3):661-669.
[5]全世文,曾寅初,毛学峰.运输成本可以解释空间市场整合中的交易成本吗?——来自中国小麦和玉米市场的证据[J].中国农村观察,2015(1):15-29.QUAN Shiwen,ZENG Yinchu,MAO Xuefeng.Can transportation cost explain transaction cost in spatial market integration?Evidences from China's local wheat and maize markets[J].China Rural Survey,2015(1):15-29.
[6] FRANKEL J.Quantifying international capital mobility in the1980s[M]∥National saving and economic performance.Chicago:Chicago University Press,1978.
[7] KRUGMAN P.Purchasing power parity and exchange rates[J].Journal of International Economics,1978,8:397-407.
[8] FRANKEL J.International capital mobility and crowding out in the U.S.economy:imperfect integration of financial markets or goods markets?[M]∥How open is the US economy.Lexington:Lexington Books,1986.
[9] EDISON H.Purchasing power parity in the long run:a test of the dollar/pound exchange rate(1890-1978)[J].Journal of Money,Credit,and Banking,1987,19:376-387.
[10] MEESE R,ROGOFF K.Was it real?The exchange rate interest differential relation over the modern floating exchange rate period[J].Journal of Finance,1988,43:933-948.
[11] ENGLE R,GRANGER C.Co-integration and error correction:representation,estimation,and testing[J].Econometrica,1987,55(2):251-276.
[12] TAYLOR A M,TAYLOR M P.The purchasing power parity debate[J].Journal of Economic Perspective,2004,18:135-158.
[13] FROOT K A,ROGOFF K.“Perspectives on PPP and longrun real exchange rates[M]∥Handbook of international economics.Amsterdam:North Holland,1995.
[14] OH K Y.Purchasing power parity and unit root tests using panel data[J].Journal of International Money and Finance,1996,15:405-418.
[15] PESARAN M H.A pair-wise approach to testing for output and growth convergence[J].Journal of Econometrics,2007,138:312-355.
[16] LEVIN A,LIN C F,CHU C S J.Unit root tests in panel data:asymptotic and finite-sample properties[J].Journal of Econometrics,2002,108:1-24.
(1)从理论上讲,“一价定律”是购买力平价的充分但非必要条件,购买力平价理论的微观基础同样是“一价定律”,而验证购买力平价的方法体系同样适用于验证“一价定律”;差异在于,前者使用消费价格指数CPI,后者直接使用特定商品的价格。