关键词: 铁矿石价格, 定价影响力, 动态联动, 有向无环图, SVAR模型

Abstract: 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.

Key words: iron ore price, pricing influence, dynamic co-movement, directed acyclic graphs, SVAR model