天然橡胶期现货市场价格动态因果构造分析——基于单方向因果测度的中日泰市场比较

An Analysis of the Dynamic Causal Structure in Natural Rubber Futures and Spot Market Prices:A Comparison of China,Japan and Thailand Markets Based on the One-Way Effect Causal Measure

研究天然橡胶期现货价格波动的因果构造关系,对海南自贸港致力于建设以天然橡胶为主的国际热带农产品“三中心”具有重要意义。基于2005—2007年中日泰三国天然橡胶期现货交易市场日度价格数据,运用单方向因果测度统计方法,探究天然橡胶期货与现货之间价格相互影响的内在关系。研究发现,中国和国际天然橡胶市场期现货价格存在长期稳定的协整关系;在传导路径上,形成了“上海期货市场-海南现货市场-国际期货市场”的空间传导路径;在传导时间周期上,中国市场呈现期货对现货的短期和长期的单方向引导,国际市场上是现货对期货的中长期单方向引导。建议中国应加强与东盟各国在天然橡胶产业方面的合作,建立天然橡胶全产业链,提高天然橡胶自给率,完善离岸金融法律体系,推进海南天然橡胶国际现货交易中心建设。

Studying the causal structure of futures and spot price fluctuation of natural rubber is of great significance for Hainan Free Trade Port to build an international“three centers”of tropical agricultural products that are dominated by natural rubber.Based on the daily price data of natural rubber futures and spot trading markets in China,Japan and Thailand from 2005 to 2007,this paper uses the statistical method of one-way effect causal measure to explore the internal relationship of mutual interaction between natural rubber futures and spot prices.It is found that there is a long-term and stable co-integration relationship between the futures and spot prices in China and the international natural rubber market.In the transmission path,a spatial trans‐mission path of“Shanghai futures market–Hainan spot market–international futures market”has been formed.In terms of transmission time,the market in China shows the short-term and long-term one-way guidance from futures to spot,and the international market shows the medium and long-term one-way guidance from spot to futures.Therefore,it is suggested to strengthen cooperation with ASEAN countries in the natural rubber industry,establish the whole natural rubber industry chain,improve the degree of natural rubber self-sufficiency,and improve the offshore financial and legal system,so as to promote the establishment of Hainan international natural rubber spot trading center.