基于VAR的棉花价格波动与中国棉花市场供需因素研究

发布时间：2018-03-14 23:36

本文选题：棉花　切入点：供求　出处：《青岛大学》2017年硕士论文　论文类型：学位论文

【摘要】：作为仅次于粮食的第二大农作物,棉花是我国重要的战略性物资,在中国的农业、纺织业和整个国民经济中都占据着重要的地位。当前,中国棉花价格极不稳定,国内外棉花价格差异悬殊,其不稳定性和不可预测性严重影响了棉农、流通及生产企业的利益,同时对我国棉花产业发展提出了新的挑战。因此,本文关于中国供给和需求因素对棉花价格的影响研究具有十分重要的意义。本文首先从中国棉花价格的波动及影响因素进行探讨,通过对棉花行业现状的分析,得出中国棉花价格受供求因素及国际和政策等宏观因素的影响。然后分析了影响棉花价格的诸多因素。在实证部分,根据中国棉花价格、证监会行业分类中的纺织业每股收益、国信证券行业分类中的棉纺的每股收益、中信证券行业分类中的棉纺制品每股收益、棉花消耗量、棉布产量、棉纱产量等需求因素建立VAR模型,根据中国棉花价格、中国棉花年产量、中国棉花进口量、中国棉花期初库存、中国棉花期末库存等供给因素建立VAR模型,分别运用数据平稳性检验、Johansen协整检验、格兰杰因果检验、脉冲响应和方差分解等方法进行了研究,以此来探讨中国棉花价格受中国方面供给和需求因素的影响,在此基础上,提出了应对中国棉花价格变化的措施和政策建议。本文的研究结论:作为棉花生产和消费的大国,发展棉花产业具有战略性意义。但是中国棉花价格波动剧烈,棉花价格受中国单方面的供给和需求因素的影响并不十分显著,期货市场的建立使棉花更具有金融产品的属性,中国棉花期货价格具有价格发现功能。
[Abstract]:As the second largest crop after grain, cotton is an important strategic material in China, which occupies an important position in China's agriculture, textile industry and the whole national economy. At present, China's cotton prices are extremely unstable. The wide difference in cotton prices at home and abroad has seriously affected the interests of cotton farmers, circulation and production enterprises, and has posed new challenges to the development of cotton industry in China. It is of great significance to study the influence of supply and demand factors on cotton prices in China. Firstly, this paper discusses the fluctuation of cotton prices in China and the influencing factors, and analyzes the current situation of cotton industry. It is concluded that the cotton price in China is influenced by the supply and demand factors, the international and policy factors, and so on. Then, the paper analyzes many factors that affect the cotton price. In the empirical part, according to the cotton price of China, the earnings per share of the textile industry in the industry classification of the CSRC are analyzed. The VAR model is established according to the demand factors such as cotton spinning earnings per share in Guoxin securities industry classification, cotton textile products per share earnings per share, cotton consumption, cotton production, cotton yarn production and other demand factors in CITIC Securities Classification. The VAR model is established for the supply factors of China's annual cotton output, China's cotton import volume, China's cotton initial inventory, and China's cotton final inventory. The data smoothness test, Johansen cointegration test and Granger causality test are used, respectively. The impulse response and variance decomposition methods are used to study the influence of supply and demand factors on cotton prices in China. The research conclusions of this paper are as follows: as a large country of cotton production and consumption, it is of strategic significance to develop cotton industry. The price of cotton is not significantly affected by the unilateral supply and demand factors in China. The establishment of futures market makes cotton have the property of financial products, and the price of Chinese cotton futures has the function of price discovery.
【学位授予单位】：青岛大学
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：F323.7

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