金属矿产品市场价格发现功能的非线性特征研究

发布时间：2018-06-18 05:38

本文选题：金属矿产品价格 + 价格发现　；参考：《中国矿业》2017年07期

【摘要】：金属矿产品期货市场的价格发现行为是目前矿产品贸易中一种有效的定价措施。关于金属矿产品期货与现货价格之间的线性特征的研究已经十分成熟。然而,现有的研究并未考虑两者的非线性关系。本文通过协整检验以及非线性Granger因果关系检验对金属矿产品期货价格和现货价格之间的关系进行了研究。主要得出以下结论:第一,期货价格与现货价格之间存在长期均衡关系;第二,当期货市场需求旺盛时,市场价格会产生期货升水(现货贴水)现象,反之亦然;第三,金属矿产品市场价格发现功能存在着非线性的特征;第四,金属矿产品价格产生非线性传递的主要原因在于利率市场的非线性传递以及商品储藏成本与时间的非线性关系。
[Abstract]:The price discovery behavior of metal mineral products futures market is an effective pricing measure in mineral products trade at present. The research on the linear characteristics between metal ore products futures and spot prices is very mature. However, the existing studies do not consider the nonlinear relationship between the two. In this paper, the cointegration test and the nonlinear Granger causality test are used to study the relationship between futures price and spot price of metal mineral products. The main conclusions are as follows: first, there is a long-term equilibrium relationship between futures price and spot price; second, when the futures market demand is strong, the market price will produce the phenomenon of futures premium (spot discount), and vice versa; third, The market price discovery function of metal ore products has nonlinear characteristics. Fourthly, the main reasons for the nonlinear transfer of metal ore products price lie in the nonlinear transfer of interest rate market and the nonlinear relationship between commodity storage cost and time.
【作者单位】：中国地质大学(武汉)经济管理学院;
【基金】：国土资源部地质调查项目“中国能源与矿产资源安全动态评价与支持系统建设”资助(编号:121201103000150114)
【分类号】：F713.35;F764

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