国际棉花现货价格波动及短期预测研究

Study on Fluctuation of International Cotton Spot Price and Short Term Prediction

随着棉花市场化改革的不断深入,我国棉花市场与国际棉花市场的联系日益紧密,同时我国棉花现货价格受国际棉花现货价格的影响不断加深。以2004/2005—2015/2016年国际棉花现货价格(Cotlook FE-A)月度数据为依据,理论分析了国际棉花现货价格的波动情况。基于ARIMA模型实证预测了短期内国际棉花现货价格的波动趋势,模型相对误差在5%以下,预测值精度较高。模型预测结果显示,短期内国际棉花现货价格呈缓慢上涨趋势,2017年5月将上升到12812.02元/t,比2016年12月增加了688.83元/t。基于国际棉花现货价格的波动趋势,提出防范国际棉花价格波动冲击和保障中国棉花产业可持续发展的对策建议。

With the deepening of China＇s market- oriented reform of cotton, the relationship between China＇s cotton market and the international cotton market was becoming more and more closely. From 2004/2005 to 2015/2016 international cotton spot price i Cotlook FE- A）monthly data on the basis of theoretical analysis, this paper theoretically analyzed the fluctuations of international cotton spot price, then applied the ARIMA model to predict the fluctuation trend of international cotton spot price in the short term, the model relative error was below 5 %, the predictive value of preci- sion was high. Model prediction results showed that in the short term the international cotton spot prices showed a slow upward trend in May 2017 which wouldl rise to 12812.02yuan/t, an increase of up to 688.83yuardt than December 2016. Based on the fluctuation trend of the international cot- ton spot price, this paper put forward some and suggestions to prevent the impact of international cotton price fluctuation and ensure the sustainable development of China＇s cotton industry.