LIU Ruijin，YANG Lin，WEI Hongjie

(1.Rubber Research Institute，CATAS，Danzhou，Hainan 571737 China；2.School of Economics，Shanghai University of Finance and Economics，Shanghai 200439 China)

Static and Dynamic Analysis on Responses of Natural and Synthetic Rubber Price to Exchange Rate Shock

LIU Ruijin1，YANG Lin1，WEI Hongjie2

(1.Rubber Research Institute，CATAS，Danzhou，Hainan 571737 China；2.School of Economics，Shanghai University of Finance and Economics，Shanghai 200439 China)

Background Exchange rates are important signals in the foreign exchange markets，which also include the information of policy implementing．State Administration of Foreign Exchange provides rates of Renminbi(RMB)to US Dollar(USD)，Euro，Japanese yen，and other currencies while the exchange indices based on weights of bilateral trades are available at Bank for International Settlements exchange．About 80 percentage of natural rubber consumed by China are mainly from Association of Southeast Asian Nations(ASEAN)countries．The prices of the synthetic rubber，the original materials of from crude oil，are almost dominated by natural rubber．Changes in foreign exchange rates may significantly affect the markets of rubber．

Methods Base on regressions analysis，co-integration test，Granger test and impulse functions，this paper investigates the impacts of shocks which are from exchange rates of RMB to USD and RMB effective exchange rates including nominal and real on natural and synthetic rubber spot prices，and futures exchange variables of natural rubber．

Results Most of international trade settlements are finish by USD，and the appreciation of RMB against USD may increase the cost of importing natural rubber．However，the pricing is influenced by many factors and is not easy to identify the results from foreign exchange markets．Changes in Malaysian Ringgit and Thailand Baht against USD could not provide much useful information for explaining the natural and synthetic rubber monthly price volatility．The nominal rates of RMB against USD are negatively linked to the natural rubber price from Jan 2000 to June 2014 if the timing is neglected，but the relationship may by a co-movement instead of causality．Futures market is a main source of the price discovery for natural rubber．The exchange rates partly indicate the difference of interest rates among economies which deeply affect the capital flows．There seem to be a co-moving trend in certain time periods among nominal exchange rates，trade volumes and open interest of natural rubber．The volume and rate behave in same direction in 95 months from Jan 1999 to July 2014 but the pattern of capital flows are not always coinciding with the price movements of natural rubber．An appreciation in RMB is positively associated to the natural and synthetic rubber prices．In general，there exist no co-integrations among the opening interest，trade volume，and trade values of natural rubber．From the perspective of the cost transmission，depreciations of RMB increase costs of natural rubber import but reduce ones of rubber manufacturing product export．On the other hand，an appreciation often accompanies the outflows which may come from the futures markets．Both nominal and real exchange rates of RMB against USD cannot provide useful information for predicting the prices and futures markets．The nominal effective exchange rate is the linear Granger causality for natural and synthetic rubber price but not for variables of futures market while the real term is only for the spot prices of natural rubber．The nominal and real effective exchange rates are calculated basing on the bilateral trades and the trading centers are mainly located in Shanghai，Tokyo and Singapore，and they may have a stronger predicting power for the prices．On the other hand，the adjustment of exchange markets to monetary policies and news may be quicker and greater than that of futures and spot markets but the contract trading variables are dominated by other factors instead of exchange rates．

Conclusions and Discussions The impact of shocks in RMB appreciations on the prices are positively，which may be mainly due to the rapid development of the Chinese economy during the sample period，and there is no significant difference of responses of natural and synthetic rubber spot prices to seasons．The prices of natural and synthetic rubber are more sensitive to real rates，especially the former．The responses to the rates against USD differ from the effective exchange rates．

exchange rates；natural rubber；synthetic rubber；price；futures exchange；impulse response

Original Articlein劉銳金，楊琳，魏宏杰．匯率沖擊對(duì)天然橡膠與合成橡膠價(jià)格的影響分析．林業(yè)經(jīng)濟(jì)問題，2017，37(2)：61-69．

10.16832/j.cnki.1005-9709.2017.02.012