摘要
随着我国期货市场的迅速发展,商品期货逐步显示出金融属性。本文运用自回归分布滞后模型结合GARCH族模型对CRB指数波动与我国上海期货交易所沪铜、沪铝、沪锌、天然橡胶、燃料油期货价格波动之间的动态关系展开研究,以考察宏观经济运行对我国期货市场的影响。
With rapid development of Chinese futures market,financial character of commodity futures becomes more and more clear.Based on ADL and GARCH models,the dynamic relationship between volatility of CRB Index and SHFE futures is studied to disclose influence of macroeconomics on SHFE futures market.
基金
国家自然科学基金资助项目:流动性调整期望损失La-ES和最优变现策略(70671025)
江苏省软科学项目:江苏区域均衡发展与区域竞争问题研究(SBR20090383)
