【作者】 王丽丽；

【导师】 赵卫亚；

【作者基本信息】 浙江工商大学 ， 统计学， 2010， 硕士

【摘要】 本文主要研究我国有色金属期货价格的形成机制,对期货价格的研究一直是期货市场的研究重点。在上海期货交易所上市的铜、铝、锌有色金属期货由于其特殊性其价格决定不同于一般的商品定价。我国是世界最大的铜、铝、锌生产国和消费国,部分品种依赖进口,并且进口量有日渐增加的趋势。有色金属是基础设施建设中不可或缺的材料,是我国经济发展过程中的重要战略性资源。本文在这种背景下,展开对我国有色金属期货价格形成机制的研究。参考学者对期货价格形成理论和对期货价格研究的成果,本文选择以持有成本理论为基础,找出影响有色金属期货价格的因素,运用协整理论和误差修正模型分析现货价格、利率和库存量对期货价格的影响；在此基础上结合我国的实际情况引入具有国际影响力的伦敦金属交易所有色金属期货价格对模型进行改进,并对比模型改进前后的结果。为了全面地研究我国有色金属期货价格的形成机制,本文运用VAR、脉冲响应及方差分解方法从动态角度展开研究,分析各个因素的变动对有色金属期货价格的影响程度以及对有色金属期货价格变动的贡献度。从实证结果来看,加入伦敦金属交易所期货价格以后的模型拟合效果有所改善,并且新加入项的系数显著,说明伦敦金属交易所有色金属期货价格对我国有色金属期货价格的形成有影响。从拟合的残差对比图来看,改进后的模型在金融危机以前的拟合效果好于改进前的模型,而金融危机发生以后两个模型的拟合效果接近,说明我国良好的经济环境从某种程度上减弱了金融危机对有色金属期货价格的冲击。从品种来看,外来影响因素对铜的影响最大,该项前面的系数为0.222；对铝的影响最小,该系数为0.058；对锌的影响介于二者之间,为0.187,说明我国铜受国外的影响最大,铝受国外的影响最小,这与我国需要进口大量的铜,出口少量的铝的实际情况相符。在由期货价格、现货价格、利率、库存和伦敦金属交易所期货价格构成的VAR模型中,不考虑期货价格自身滞后项的影响,在脉冲响应和方差分解的分析中伦敦金属交易所期货价格是我国期货价格波动的最大影响因素。在品种上,依然是伦敦金属交易所的铜对我国期货铜价影响最大,铝最小。更多还原

【Abstract】 This paper is mainly concentrate on the price forming mechanism of non-ferrous metals futures in China. The research on the futures price is always important part of the futures study. The 3-month contract settlement prices for copper, aluminum and zinc are decided by the balance of supply and demand. These metals are in the same macroeconomic environment, but their price volatility is different. China produces and consumes the most quantity of copper, aluminum and zinc in the world. China imports more and more metals year by year. Non-ferrous metals are the necessary material in infrastructure building, so they are strategy resources for China. In this situation, the paper researches the price forming mechanism of non-ferrous metals futures in China.Based on the achievement about futures price forming mechanism having received by scholars, this paper applies the cost-of-carry model as the basis, pointing out factors which impact futures price.These factors are spot price, interest rate and inventory level, applying co-integration and ECM analyzing the impact. Considering that China imports large quantity of metals every year, LME futures price is introduced to the model. The next step is contrast the former result to the later result. In order to get more details, this paper applies VAR, IMF and variance decomposition to analyze the mechanism, attaining the attribution of each factor to futures price volatility.From the empirical result, we know that the model having LME futures price is better.That is to say, LME non-ferrous metals futures price has impact on futures price in China. Based on the residual plot, the result of the latter model is better than the former before this financial crisis, but after this financial crisis began, the results of these two models are similar. The good economic situation of China lessens the impact on non-ferrous metals futures price. LME non-ferrous metals future price has the largest impact on contract settlement price for copper, the coefficient is 0.222. And the smallest impact on contract settlement price for aluminum, the coefficient is 0.058. And the middle impact on contract settlement price for zinc, the coefficient is 0.187.This is consistent with Chinese practical conditions. China imports large quantity of copper and exports some aluminum. According to the VAR model consisting of non-ferrous metals futures price, spot price, interest rate and LME non-ferrous metals futures price, LME non-ferrous metals futures price has the most important impact on Chinese non-ferrous metals futures price, except the impact from its own lag item. Among the contracts, LME non-ferrous metals futures price has the largest impact on Chinese copper price, and the smallest impact on Chinese aluminum price.更多还原