本文關(guān)鍵詞： 大宗商品 進(jìn)口價(jià)格 美國期貨 BEKK-GARCH　出處：《南京財(cái)經(jīng)大學(xué)》2014年碩士論文　論文類型：學(xué)位論文

【摘要】：在國際經(jīng)濟(jì)一體化日益加深的情況下,國際大宗商品價(jià)格信息的傳遞效率是否加強(qiáng)?其傳遞方向如何?本文旨在研究美國商品期貨價(jià)格與我國進(jìn)口大宗商品到岸價(jià)格之間的數(shù)量關(guān)系,以及這種關(guān)系對(duì)我國宏觀經(jīng)濟(jì)政策的影響。本文首先闡述了我國的進(jìn)口貿(mào)易狀況、商品金融化發(fā)展等背景情況,然后對(duì)國內(nèi)外學(xué)者相關(guān)研究進(jìn)行了整理和評(píng)述,并以大豆、棉花、食糖、原木與木材、原油作為樣本探討其進(jìn)口價(jià)格變化與美國商品期貨市場的合約價(jià)格收益率之間的靜態(tài)和動(dòng)態(tài)關(guān)系。靜態(tài)分析(數(shù)據(jù)的平穩(wěn)性檢驗(yàn)、非條件相關(guān)系數(shù)分析、協(xié)整關(guān)系檢驗(yàn)等)和動(dòng)態(tài)分析均發(fā)現(xiàn)均值和波動(dòng)性溢出效應(yīng)；波動(dòng)性溢出效應(yīng)基于BEKK-GARCH模型,其結(jié)果表明,我國大豆市場對(duì)美國大豆期貨市場和美國大豆期貨市場對(duì)我國棉花進(jìn)口市場存在單向波動(dòng)溢出效應(yīng)；美國原油期貨市場對(duì)我國大豆、食糖進(jìn)口市場有單向波動(dòng)溢出效應(yīng)。最后一部分是研究結(jié)論與啟示。
[Abstract]:With the deepening of international economic integration, is the transmission efficiency of international commodity price information enhanced? What is the direction of its transmission? The purpose of this paper is to study the quantitative relationship between the American commodity futures price and the CIF price of imported commodities in China, and the impact of this relationship on China's macroeconomic policy. The development of commodity financialization and other background, and then domestic and foreign scholars to sort and review the relevant research, and soybean, cotton, sugar, logs and timber, Crude oil is used as a sample to explore the static and dynamic relationship between the change of import price and the contract price return rate in the United States commodity futures market. Static analysis (data smoothness test, non-conditional correlation coefficient analysis, The mean and volatility spillover effects are found by dynamic analysis and cointegration test, and the volatility spillover effects are based on BEKK-GARCH model, and the results show that, China's soybean market has a one-way volatility spillover effect on American soybean futures market and American soybean futures market on China's cotton import market. Sugar import market has one-way volatility spillover effect. The last part is the conclusion and enlightenment.
【學(xué)位授予單位】：南京財(cái)經(jīng)大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2014
【分類號(hào)】：F724.5;F752.61

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