鋁價影響因素之實證分析

Abstract

本文針對鋁價之影響因素進行研究，以實證分析方式針對其影響因素加以分析。實證資料選取了倫敦金屬交易所的鋁現貨價、鋁庫存量以及布蘭特原油價格、美國三月期國庫券利率、上海證券綜合指數、OECD工業生產指數與OECD消費者物價指數-能源加以分析，樣本期間為1991年1月至2010 年4月，資料頻率為月資料，共計136 筆。 實證結果發現： (1) 鋁現貨價格與OECD工業生產指數存在雙向因果關係。顯示鋁現貨價格與工業生產產值之正向互動關係；鋁現貨價格對鋁庫存量存在單向Granger因果關係，顯示鋁價上揚可能抑制鋁的需求亦或造成更多存貨的釋出，使鋁庫存量提高；油價以及庫存量未如預期對鋁現貨價格存在Granger因果關係，顯示此兩因素在統計上並不領先鋁現貨價格。 (2) 衝擊反應函數顯示OECD工業生產指數及利率約在三個月後對鋁現貨價產生顯著正向影響，顯示終端商品需求的增加，反應至原物料—鋁金屬的價格上揚，有時間遞延效果；而利率與鋁價格之變動為長期正相關，則可能與美國聯邦準備理事會抑制通膨有關。 (3) 預測誤差之變異分解顯示鋁現貨價之變動對其自身變動之解釋力逐漸降低；而OECD工業生產指數及利率對於鋁現貨價之變動解釋力則逐漸提高，顯見工業生產產值以及利率對於鋁現貨價格有長期的影響。 對於原物料的採購商而言，必須關注國際上主要國家之工業生產值的變化以及美國利率之變動，此兩因素對鋁現貨價格長期有顯著之影響。

This paper explores the influential factors of the aluminum price. Empirical data includes the London Metal Exchange (LME) aluminum spot price, Brent crude oil price, U.S. 3-months Treasuries interest rates, the Shanghai Composite Index, and two indices, total industrial production index of and consumer price index – energy, compiled by Organisation for Economic Co-operation and Development (OECD), sampling period from Jan. 1991 to Apr. 2010, monthly data, a total of 136 samples. Findings include: (1) A positive feedback relationship exists between aluminum spot price and the total industrial production of OECD. Aluminum spot price leads aluminum stocks, indicating lower demand and more stock release may due to high spot price, thus increasing the stock; besides, no evidence shows that oil prices and aluminum stocks lead aluminum spot price. (2) From impulse response function, industrial production of OECD and interest rates have a positive effect on the aluminum spot price after 3 months, showing a positive time-deferred effect of an increasing end products demand to aluminum spot prices; Inflation control by U.S. Federal Reserve Board (FED) maybe the reason positive correlation between Interest rates and aluminum spot prices. (3) From forecasting error variance decomposition, the influence of aluminum spot price itself decreases over time, while total industrial production of OECD and interest rate increase, indicating a long-term effect of the industrial production and interest rates on aluminum spot prices. For importers who look on aluminum price, industrial production in major countries of OECD and U.S. interest rate are two dominant factors.