發(fā)布時(shí)間：2018-06-13 07:35

  本文選題：大宗商品 + 價(jià)格聯(lián)動(dòng)�。� 參考：《復(fù)旦大學(xué)》2013年碩士論文

【摘要】：自加入WTO以來,中國(guó)參與全球化經(jīng)濟(jì)發(fā)展程度日益縱深,隨著國(guó)家綜合實(shí)力增強(qiáng),中國(guó)在全球經(jīng)濟(jì)發(fā)展中占有舉足輕重的地位。與此同時(shí),高速增長(zhǎng)的中國(guó)經(jīng)濟(jì)對(duì)大宗商品的依賴程度越來越高。 當(dāng)前我國(guó)正處在城鎮(zhèn)化發(fā)展的重要?dú)v史階段,大規(guī)模的城鎮(zhèn)化建設(shè)需要投入大量的能源礦產(chǎn)資源、基礎(chǔ)原材料等大宗商品。然而,我國(guó)對(duì)大宗商品價(jià)格的控制力度較弱,一些重要的能源商品定價(jià)權(quán)被外國(guó)市場(chǎng)牢牢把控,所以中國(guó)經(jīng)濟(jì)在為世界經(jīng)濟(jì)做出突出貢獻(xiàn)的同時(shí),反過來卻深受國(guó)際大宗商品價(jià)格波動(dòng)劇烈的影響,這種尷尬被動(dòng)的關(guān)系使得中國(guó)宏觀經(jīng)濟(jì)面臨嚴(yán)峻考驗(yàn)。 本文通過建立分階段的國(guó)際大宗商品綜合價(jià)格對(duì)中國(guó)大宗商品現(xiàn)貨及權(quán)益市場(chǎng)價(jià)格指數(shù)的聯(lián)動(dòng)效應(yīng)模型,比較次貸危機(jī)前后國(guó)際大宗商品市場(chǎng)對(duì)中國(guó)市場(chǎng)均值溢出效應(yīng)的影響差異程度,試圖揭示出國(guó)際大宗商品市場(chǎng)與中國(guó)大宗商品市場(chǎng)間關(guān)聯(lián)緊密程度,為建立我國(guó)大宗商品市場(chǎng)價(jià)格主導(dǎo)權(quán),并同國(guó)際市場(chǎng)發(fā)展接軌提出積極建議,這為推動(dòng)我國(guó)實(shí)體經(jīng)濟(jì)對(duì)大宗商品期貨市場(chǎng)的適應(yīng)性及未來發(fā)展具有重要的現(xiàn)實(shí)意義。 研究發(fā)現(xiàn),中國(guó)大宗商品現(xiàn)貨價(jià)格(CCPI)更易受到國(guó)際大宗商品期貨價(jià)格(CRB)的影響,且危機(jī)后這兩個(gè)市場(chǎng)的價(jià)格聯(lián)動(dòng)程度比危機(jī)前變得緊密；而國(guó)際大宗商品期貨市場(chǎng)與中國(guó)大宗商品權(quán)益市場(chǎng)之間無論危機(jī)前后均保持相對(duì)的獨(dú)立性,而危機(jī)后中國(guó)大宗商品現(xiàn)貨市場(chǎng)與本國(guó)權(quán)益市場(chǎng)的關(guān)系變得緊密,中國(guó)大宗商品權(quán)益市場(chǎng)收益率會(huì)對(duì)本國(guó)現(xiàn)貨市場(chǎng)產(chǎn)生正向的溢出效應(yīng),但影響程度偏弱。
[Abstract]:Since China's entry into WTO, China's participation in the development of the global economy has become more and more profound. With the strengthening of the country's comprehensive strength, China occupies a pivotal position in the development of the global economy. Meanwhile, China's booming economy is increasingly dependent on commodities. At present, China is in the important historical stage of urbanization development, large-scale urbanization construction needs to invest a lot of energy, mineral resources, basic raw materials and other commodities. However, China's control over commodity prices is relatively weak, and some important energy commodity pricing powers are firmly controlled by foreign markets, so China's economy has made outstanding contributions to the world economy at the same time. In turn, it is deeply affected by the volatility of international commodity prices, an awkward and passive relationship that has put China's macro economy to a severe test. In this paper, we establish a model of the linkage effect of the international integrated commodity prices on the spot and equity market price indices of Chinese commodities. By comparing the influence of international commodity market on the average spillover effect of Chinese market before and after the subprime mortgage crisis, this paper tries to reveal the close relationship between international commodity market and Chinese commodity market. In order to establish the leading power of commodity market price in our country, and put forward some positive suggestions for the development of international market, it is of great practical significance to promote the adaptability and future development of China's real economy to the commodity futures market. It is found that the spot price of Chinese commodities is more susceptible to the influence of the international commodity futures price (CRB), and the price linkage between the two markets becomes stronger after the crisis than before the crisis. The international commodity futures market and the Chinese commodity equity market remain relatively independent both before and after the crisis. After the crisis, the relationship between the Chinese commodity spot market and the domestic equity market became close. China's commodity equity market yields will have a positive spillover effect on the country's spot market, but to a lesser extent.
【學(xué)位授予單位】：復(fù)旦大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2013
【分類號(hào)】：F224;F832.51

【共引文獻(xiàn)】

相關(guān)期刊論文 前10條

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8 牛成U，

本文編號(hào)：2013237