美国商品期货对我国大宗商品进口价格的影响研究

发布时间：2018-02-26 17:27

本文关键词： 大宗商品进口价格美国期货 BEKK-GARCH　出处：《南京财经大学》2014年硕士论文　论文类型：学位论文

【摘要】：在国际经济一体化日益加深的情况下,国际大宗商品价格信息的传递效率是否加强?其传递方向如何?本文旨在研究美国商品期货价格与我国进口大宗商品到岸价格之间的数量关系,以及这种关系对我国宏观经济政策的影响。本文首先阐述了我国的进口贸易状况、商品金融化发展等背景情况,然后对国内外学者相关研究进行了整理和评述,并以大豆、棉花、食糖、原木与木材、原油作为样本探讨其进口价格变化与美国商品期货市场的合约价格收益率之间的静态和动态关系。静态分析(数据的平稳性检验、非条件相关系数分析、协整关系检验等)和动态分析均发现均值和波动性溢出效应；波动性溢出效应基于BEKK-GARCH模型,其结果表明,我国大豆市场对美国大豆期货市场和美国大豆期货市场对我国棉花进口市场存在单向波动溢出效应；美国原油期货市场对我国大豆、食糖进口市场有单向波动溢出效应。最后一部分是研究结论与启示。
[Abstract]:With the deepening of international economic integration, is the transmission efficiency of international commodity price information enhanced? What is the direction of its transmission? The purpose of this paper is to study the quantitative relationship between the American commodity futures price and the CIF price of imported commodities in China, and the impact of this relationship on China's macroeconomic policy. The development of commodity financialization and other background, and then domestic and foreign scholars to sort and review the relevant research, and soybean, cotton, sugar, logs and timber, Crude oil is used as a sample to explore the static and dynamic relationship between the change of import price and the contract price return rate in the United States commodity futures market. Static analysis (data smoothness test, non-conditional correlation coefficient analysis, The mean and volatility spillover effects are found by dynamic analysis and cointegration test, and the volatility spillover effects are based on BEKK-GARCH model, and the results show that, China's soybean market has a one-way volatility spillover effect on American soybean futures market and American soybean futures market on China's cotton import market. Sugar import market has one-way volatility spillover effect. The last part is the conclusion and enlightenment.
【学位授予单位】：南京财经大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F724.5;F752.61

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