基于SVAR的SHFE铜期货市场功能及国际影响实证研究

Empirical Research of SHFE Cu Futures Market's Function and International Impact on SVAR Model

基于期货市场功能形成的机理,对上海期货交易所(SHFE)铜、伦敦金属交易所(LME)铜以及我国现货铜价格进行实证分析,发现SHFE铜期货市场已经具备了规避风险及价格发现的功能.利用SVAR模型、脉冲响应及方差分解技术我们进一步分析了影响三个市场价格波动因素的比例,对SHFE市场的国际影响进行了分析,发现无论是对新息反应的效率还是在影响铜的国际定价权方面,LME市场总是优于SHFE市场.

Whether our futures market has the function of risk elusion and price finding is argued for many years. Our research finds that the SHFE Cu Futures Markets has these two basic functions already. By using the .SVAR model, impulse response function and variance decomposition technique we make the quantitative description of SHFE Cu market. We conclude that LME market is better than SHFE market beth on the response of new innovation and the international impact.