国际大宗商品综合价格对中国大宗商品市场价格的联动效应研究

发布时间：2018-06-13 07:35

本文选题：大宗商品 + 价格联动　；参考：《复旦大学》2013年硕士论文

【摘要】：自加入WTO以来,中国参与全球化经济发展程度日益纵深,随着国家综合实力增强,中国在全球经济发展中占有举足轻重的地位。与此同时,高速增长的中国经济对大宗商品的依赖程度越来越高。当前我国正处在城镇化发展的重要历史阶段,大规模的城镇化建设需要投入大量的能源矿产资源、基础原材料等大宗商品。然而,我国对大宗商品价格的控制力度较弱,一些重要的能源商品定价权被外国市场牢牢把控,所以中国经济在为世界经济做出突出贡献的同时,反过来却深受国际大宗商品价格波动剧烈的影响,这种尴尬被动的关系使得中国宏观经济面临严峻考验。本文通过建立分阶段的国际大宗商品综合价格对中国大宗商品现货及权益市场价格指数的联动效应模型,比较次贷危机前后国际大宗商品市场对中国市场均值溢出效应的影响差异程度,试图揭示出国际大宗商品市场与中国大宗商品市场间关联紧密程度,为建立我国大宗商品市场价格主导权,并同国际市场发展接轨提出积极建议,这为推动我国实体经济对大宗商品期货市场的适应性及未来发展具有重要的现实意义。研究发现,中国大宗商品现货价格(CCPI)更易受到国际大宗商品期货价格(CRB)的影响,且危机后这两个市场的价格联动程度比危机前变得紧密；而国际大宗商品期货市场与中国大宗商品权益市场之间无论危机前后均保持相对的独立性,而危机后中国大宗商品现货市场与本国权益市场的关系变得紧密,中国大宗商品权益市场收益率会对本国现货市场产生正向的溢出效应,但影响程度偏弱。
[Abstract]:Since China's entry into WTO, China's participation in the development of the global economy has become more and more profound. With the strengthening of the country's comprehensive strength, China occupies a pivotal position in the development of the global economy. Meanwhile, China's booming economy is increasingly dependent on commodities. At present, China is in the important historical stage of urbanization development, large-scale urbanization construction needs to invest a lot of energy, mineral resources, basic raw materials and other commodities. However, China's control over commodity prices is relatively weak, and some important energy commodity pricing powers are firmly controlled by foreign markets, so China's economy has made outstanding contributions to the world economy at the same time. In turn, it is deeply affected by the volatility of international commodity prices, an awkward and passive relationship that has put China's macro economy to a severe test. In this paper, we establish a model of the linkage effect of the international integrated commodity prices on the spot and equity market price indices of Chinese commodities. By comparing the influence of international commodity market on the average spillover effect of Chinese market before and after the subprime mortgage crisis, this paper tries to reveal the close relationship between international commodity market and Chinese commodity market. In order to establish the leading power of commodity market price in our country, and put forward some positive suggestions for the development of international market, it is of great practical significance to promote the adaptability and future development of China's real economy to the commodity futures market. It is found that the spot price of Chinese commodities is more susceptible to the influence of the international commodity futures price (CRB), and the price linkage between the two markets becomes stronger after the crisis than before the crisis. The international commodity futures market and the Chinese commodity equity market remain relatively independent both before and after the crisis. After the crisis, the relationship between the Chinese commodity spot market and the domestic equity market became close. China's commodity equity market yields will have a positive spillover effect on the country's spot market, but to a lesser extent.
【学位授予单位】：复旦大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F224;F832.51

【共引文献】