中国商品期货定价理论及其实证研究

发布时间：2018-02-11 22:56

本文关键词： 商品期货定价套期保值压力标的稀缺性风险溢价模型便利收益模型　出处：《华中科技大学》2013年博士论文　论文类型：学位论文

【摘要】：随着中国经济稳定而高速的发展,作为制造业大国的中国,对国际大宗商品的进口需求日益增长。国际大宗商品市场价格大幅度频繁波动无疑对中国大宗商品的进口成本及其相关经济活动产生实质性与严重性的负面影响。作为世界大宗商品的主要进口国和消费国,为了增强我国在国际大宗商品市场的定价权和话语权以维护中国国民、企业利益以及国家经济安全,建立和健全我国大宗商品定价机制是摆在我们面前的急需解决的现实问题。基于此背景,本文以国内外商品期货市场定价的相关文献及成果为基础,并结合国内外实际情况,探讨和研究商品期货定价机制,以便进一步深层次地推动我国商品期货定价机制的研究进程。本文从世界商品期货市场发展现状入手,将我国商品期货市场发展现状与国外商品期货市场发展进行对比,澄清我国商品期货市场与国外商品期货市场之间的关系及差距,从而找出我国商品期货市场存在的问题及难点。应用协整理论并采用我国大庆原油和布兰特(BRENT)原油油价数据,基于向量自回归的Granger因果检验,对国内外油价联动关系及短期波动模式进行了实证研究。针对我国商品期货市场定价机制不健全的现状与我国关键性大宗商品现货价格与世界大宗商品现货价格存在联动性的现实情况,对商品期货合约定价的影响因素进行了相关理论分析,结合国内外研究文献,分别从套期保值压力效应及系统性风险、交易者种类及其结构、交易成本与套期保值成本、期货合约到期日与期限结构以及政治、经济等其他因素的角度来分析商品期货合约定价的决定。本文引入传统商品期货合约定价理论的两个主要模型,即风险溢价模型(Risk Premium Model, RP)和便利收益模型(Convenience Yield Model, CY)。在分别详细阐述商品期货合约定价的风险溢价模型(RP)和便利收益模型(CY)之后,强调风险溢价模型理论与便利收益模型理论之间的对比和联系,并且利用这两个模型对商品期货定价进行实证分析和检验。本文在商品期货标的存在稀缺性的条件下,提出价格分解的理论基础,然后分析了与油价有关的测量问题,并运用程序得出稀缺性价格和回报。最后,本文采用了一个基于貌似不相关(SUR)方法的多变量因素模型和精简形式的条件贝塔定价模型,并使用广义矩估计(GMM)方法分别对期货回报和稀缺性回报的风险溢价的显著性、大小和周期性特点进行估计和检验。
[Abstract]:With the steady and rapid development of China's economy, China, as a large manufacturing country, The import demand for international commodities is increasing day by day. The large and frequent fluctuations in the prices of international commodities undoubtedly have a substantial and serious negative impact on the import costs of Chinese commodities and their related economic activities. As a major importer and consumer of world commodities, In order to strengthen China's pricing power and voice in the international commodity market in order to safeguard the interests of Chinese people, enterprises and national economic security, establishing and perfecting the pricing mechanism of China's commodities is a practical problem that needs to be solved urgently in front of us. Based on this background, this paper discusses and studies the pricing mechanism of commodity futures on the basis of relevant literature and achievements of commodity futures market at home and abroad, and combined with the actual situation at home and abroad. In order to further promote China's commodity futures pricing mechanism research process. This paper begins with the development of world commodity futures market, compares the development of China's commodity futures market with that of foreign commodity futures market, and clarifies the relationship and gap between China's commodity futures market and foreign commodity futures market. In order to find out the existing problems and difficulties in China's commodity futures market, applying the co-collation theory and using the oil price data of Daqing crude oil and Brent crude oil, the Granger causality test based on vector autoregressive is presented. This paper makes an empirical study on the linkage of oil price at home and abroad and the short-term fluctuation mode. Aiming at the imperfect pricing mechanism of China's commodity futures market and the spot price of key commodities in China and the spot price of world commodities. There is a reality of linkage, Based on the theoretical analysis of the influencing factors of commodity futures contract pricing, combined with the domestic and foreign research literature, the paper analyzes the effects of hedging pressure and systemic risk, the types and structure of traders, transaction costs and hedging costs, respectively. This paper analyzes the pricing decision of commodity futures contracts from the perspective of maturity and term structure, political and economic factors. This paper introduces two main models of traditional commodity futures contract pricing theory. The risk Premium Model (RP) and the Convenience Yield Model (CYP3) are the risk Premium Model (RPM) and the Convenience Yield Model (CYP). After the detailed elaboration of the risk Premium Model (RPM) and the convenient return Model (CY) of commodity futures contract pricing, The comparison and relation between risk premium model theory and convenience income model theory are emphasized, and the two models are used to analyze and test commodity futures pricing empirically. The theoretical basis of price decomposition is put forward, and then the measurement problems related to oil price are analyzed, and the scarcity price and return are obtained by using the program. Finally, In this paper, a multivariable factor model based on seemingly irrelevant surr method and a reduced form conditional beta pricing model are used, and the significance of the risk premium of futures return and rare return is obtained by using the generalized moment estimation of GMMs, respectively. Size and periodicity are estimated and tested.
【学位授予单位】：华中科技大学
【学位级别】：博士
【学位授予年份】：2013
【分类号】：F224;F724.5

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