大宗商品市场金融化研究

发布时间：2017-12-27 08:07

本文关键词：大宗商品市场金融化研究　出处：《复旦大学》2014年硕士论文　论文类型：学位论文

【摘要】：21世纪后进入大宗商品市场’的金融资本不断增多,尤其是2004年后,传统金融市场对商品期货市场和现货的影响越来越大。与此同时,商品市场出现了结构性的变化,表现出金融化的特征：商品期货市场参与者构成的变化,交易量和未平仓量的急剧上升,与传统金融市场的相关性上升。商品市场金融化的出现和深化使得商品的价格不再只取决于实体经济基本面的供求关系,同时也深受金融投资力量的影响。本文对商品市场金融化进行理论机制的分析以及实证分析的研究,多层次、多角度分析美国和中国主要商品现货市场的金融化现象。首先,本文对商品金融化的内涵进行了界定,回顾并梳理其理论基础,在此基础上分析了其发生机制,认为商品指数投资以及主动管理基金是商品市场金融化的主要推手。其次,本文从两个角度对国际大宗商品现货市场的金融化进行了研究。第一,基于ARDL-ECM模型的实证结果表明金融投资对商品现货市场市场的影响程度在2000年后逐渐加深。2000年到2004年,金融投资在短期内能显著推动商品现货价格的变化,而2004年后这样影响已经从短期渗透到长期中；第二,基于VAR-BEKK-GARCH模型的实证结果表明商品市场的金融化使得两个市场之间出现了显著的波动溢出。最后,本文对中国大宗商品现货市场的金融化进行了研究。基于VAR-BEKK-GARCH模型的实证结果表明中国商品市场出现了不同程度的金融化。其中,能源市场、农产品市场和股票市场有显著的波动溢出效应,存在金融化现象,而有色金属市场相反。
[Abstract]:After twenty-first Century, the number of financial capital entering mass market is increasing. Especially after 2004, traditional financial market has more and more influence on commodity futures market and spot market. At the same time, there are structural changes in the commodity market, showing the characteristics of Finance: the change of participants in commodity futures market, the sharp rise of trading volume and unliquidated volume, and the correlation with traditional financial market. The emergence and deepening of the financial market makes the price of commodities no longer depend on the supply and demand of the fundamentals of the real economy, but also deeply influenced by the power of financial investment. This paper analyzes the theoretical mechanism and empirical analysis of the financial market, and analyzes the financial phenomenon of the main commodity spot market in the US and China from multiple perspectives. First of all, this paper defines the connotation of financial liberalization, reviews and sorts out its theoretical basis, and then analyzes its occurrence mechanism. It believes that commodity index investment and active management fund are the main drivers of the financial market. Secondly, this paper studies the finance of the international commodity spot market from two perspectives. First, the empirical results based on the ARDL-ECM model show that the impact of financial investment on the commodity spot market has gradually deepened after 2000. From 2000 to 2004, the financial investment in the short term significantly promote changes in commodity spot prices, but after 2004 this influence has infiltrated from the short-term long-term; second, empirical results show that the VAR-BEKK-GARCH model of the commodity market has between two financial market volatility spillover effect based on. Finally, this paper studies the finance of China's commodity spot market. The empirical results based on the VAR-BEKK-GARCH model show that the Chinese commodity market has emerged to varying degrees of finance. Among them, the energy market, the agricultural product market and the stock market have significant volatility spillover effects, and there is a financial phenomenon, while the non-ferrous metal market is opposite.
【学位授予单位】：复旦大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F724.5

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