我国天然橡胶期货市场与现货市场价格关系的研究

发布时间：2018-01-20 04:22

本文关键词： 天然橡胶现货市场期货市场价格关系　出处：《北京林业大学》2013年博士论文　论文类型：学位论文

【摘要】：本文分析了影响中国天然橡胶市场价格波动的因素,刻画了我国天然橡胶期货市场和现货市场、中国天然橡胶期货市场与国外天然橡胶期货市场价格的互动关系,并就天然橡胶期货市场建设和现货市场建设方面提出了改进的对策和措施。对影响我国天然橡胶现货市场价格因素的分析表明：我国天然橡胶现货价格具有一定的短周期性波动特征,国内橡胶价格的变动主要受进口价格和期货价格变动的影响,但价格的波动与国内橡胶供需缺口缺乏明显的相关性。另一方面,天然橡胶的成本因素对价格的影响是显著的,我国天然橡胶价格和原油期货价格也具有高度的一致性。对影响我国天然橡胶期货市场价格因素的分析表明：我国天然橡胶具有一定的短周期性波动特征,全球天然橡胶供求因素、货币政策、汇率政策是长期影响天然橡胶期货市场价格的根本性因素,而自然环境因素、政治因素则是引起天然橡胶期货市场价格短期波动的重要因素。对天然橡胶期货市场价格和现货市场价格关系的计量分析表明：我国天然橡胶期货期货市场价格与现货市场价格具有长期均衡关系,天然橡胶期货市场价格是现货市场价格的Granger原因,但期货市场对现货市场的影响大于现货市场对期货市场的影响。另外,我国天然橡胶期货期货市场与东京天然橡胶期货市场是长期均衡的,两个市场之间的价格具有双向引导关系,但我国市场对日本市场的影响大于日本市场对我国市场的影响；我国天然橡胶期货期货市场与泰国天然橡胶期货市场也存在长期均衡关系,且我国市场价格是泰国市场价格的Granger原因；研究还发现目前我国天然橡胶期货市场与新加坡天然橡胶期货市场长期没有均衡关系,但我国期货市场对新加坡期货市场的影响大于新加坡期货市场对我国期货市场的影响。
[Abstract]:This paper analyzes the factors that affect the price fluctuation of China's natural rubber market, and describes the natural rubber futures market and spot market in China. The interactive relationship between Chinese natural rubber futures market and foreign natural rubber futures market price is discussed, and the countermeasures and measures for the construction of natural rubber futures market and spot market are put forward. The analysis of the factors affecting the spot market price of natural rubber in China shows that the spot price of natural rubber in China has the characteristics of short-term periodic fluctuation. The change of domestic rubber price is mainly affected by the change of import price and futures price, but the fluctuation of price is lack of obvious correlation with domestic rubber supply and demand gap. The cost of natural rubber has a significant impact on the price. The price of natural rubber and crude oil futures price in China are also highly consistent. The analysis of the factors affecting the price of natural rubber futures market in China shows that natural rubber in China has a certain characteristics of short-term periodic fluctuations. Global natural rubber supply and demand factors, monetary policy, exchange rate policy is the long-term impact of natural rubber futures market prices of fundamental factors, while the natural environment factors. The political factor is the important factor that causes the natural rubber futures market price to fluctuate in the short-term. The econometric analysis of the relationship between natural rubber futures market price and spot market price shows that the natural rubber futures market price and spot market price have a long-term equilibrium relationship. The price of natural rubber futures market is the Granger reason of spot market price, but the influence of futures market on spot market is greater than that of spot market on futures market. Natural rubber futures market in China and Tokyo natural rubber futures market is a long-term equilibrium, the price between the two markets has a two-way guide relationship. However, the impact of our market on the Japanese market is greater than that of the Japanese market on the Chinese market. China's natural rubber futures market and Thailand's natural rubber futures market also have a long-term equilibrium relationship, and China's market price is the Granger reason for the Thai market price; The study also found that there is no equilibrium relationship between the natural rubber futures market and Singapore natural rubber futures market for a long time. However, the influence of Chinese futures market on Singapore futures market is greater than that of Singapore futures market.
【学位授予单位】：北京林业大学
【学位级别】：博士
【学位授予年份】：2013
【分类号】：F724.5;F426.72

【参考文献】