我国工业品期货价格指数与PPI关系的实证研究——基于VAR模型和ECM模型

发布时间：2018-04-30 08:53

本文选题：工业品期货价格指数 + PPI　；参考：《金融理论与实践》2017年06期

【摘要】：期货市场具有价格发现和套期保值的功能,期货价格指数作为期货市场运行的大盘指数,可以反映期货市场的整体运行状况以及市场主体对未来价格走势的心理预期,对于宏观经济具有重要的预警和预期引导作用。利用2004年6月至2016年12月南华工业品期货价格指数(NHG)收盘价和工业生产者出厂价格指数(PPI)数据进行实证分析,通过ADF单位根检验、建立VAR模型、Johansen协整检验,建立误差修正模型、Granger因果检验以及方差分解,检验南华工业品期货价格指数对PPI的先导作用及对宏观经济的预警作用。实证结果表明:NHG与PPI之间存在长期均衡关系,且NHG对PPI的走势影响显著,NHG对PPI存在先导作用,并至少领先PPI半年以上,目前来看,NHG对PPI的引导作用大概占到三分之一。因此,我国的南华工业品期货价格指数可以对PPI变动进行预警,且随着商品期货指数的不断完善,其必将对宏观经济指标发挥更为显著的预警作用。
[Abstract]:Futures market has the function of price discovery and hedging. As a large market index of futures market, futures price index can reflect the overall operating state of futures market and the psychological expectation of the main body of the market for the future price trend. For the macro-economy has an important role in early warning and expected guidance. Based on the data of South China Industrial Product Futures Price Index and Industrial producer Price Index from June 2004 to December 2016, an empirical analysis is carried out. Through the unit root test of ADF, the VAR model is established to test Johansen cointegration. An error correction model is established to test the leading role of the South China industrial product futures price index to PPI and its warning effect on the macro economy by Granger causality test and variance decomposition. The empirical results show that there is a long-term equilibrium relationship between NHG and PPI, and NHG has a significant influence on the trend of PPI. NHG has a leading effect on PPI, and it is at least half a year ahead of PPI. At present, the guiding effect of NHG on PPI is about 1/3. Therefore, China's South China Industrial Product Futures Price Index can forewarn the change of PPI, and with the continuous improvement of commodity futures index, it will play a more significant role in early warning of macroeconomic indicators.
【作者单位】：华中科技大学经济学院;北京大商所期货与期权研究中心有限公司;
【分类号】：F724.5;F764

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