中国期货市场对宏观经济影响的实证研究

An Empirical Study on the Macroeconomic Impact of China s Futures Market

本文采用协整相关理论中的Granger因果关系检验、协整关系检验、误差修正模型及冲击反应函数的方法,采用2003年1月至2023年5月的月度数据,研究了期货市场变量(价格指数、总成交额、总持仓量)对16个宏观经济变量的作用与影响。结果表明,期货市场3个指标同时对工业增加值、净出口、财政收入、财政支出有引导作用;价格指数与总成交额对银行同业拆借利率7天期利率、人民币实际有效汇率指数有引导作用;总成交额与总持仓量对进出口总额、固定资产投资总额、社会消费品零售总额有较强的引导作用;价格指数对生产者价格指数、贷款总额、美元兑人民币汇率有较强的引导作用;总持仓量对贷款总额有较强的引导作用。协整检验及误差修正模型显示,从长短期来看,期货市场变量对12个宏观变量产生了或强或弱的定量影响,冲击反应函数曲线均显示期货市场变量对12个宏观变量产生不同时滞的冲击影响,说明期货市场对宏观经济产生比较强的影响,但在影响范围及深度上还有较大的提升空间。建议期货市场从品种扩容、国际化及监管方面发力,进一步助推国内宏观经济的全面发展。

This paper uses the methods of Granger causality test,cointegration relationship test,error correction model and shock response function in cointegration correlation theory,and uses the monthly data from 2003.1 to 2023.5 to study the role and influence of futures market variables(price index,total turnover,total position)on sixteen macroeconomic variables.The results show that the three indicators of the futures market have a guiding effect on industrial added value,net export,fiscal revenue and fiscal expenditure at the same time.The price index and total turnover also have a guiding effect on the interbank interest rate 7-day interest rate and the RMB real effective exchange rate index.The total turnover and total position also have a strong guiding effect on the total import and export volume,the investment amount of fixed assets,and the total retail sales of social consumer goods.The price index also has a strong guiding effect on the producer price index,total loans,and the exchange rate of the US dollar against the RMB.The total position also has a strong guiding effect on the total loan.The cointegration test and error correction model show that in the short and long term,the futures market variables have a strong or weak quantitative impact on twelve macro variables,and the shock response function curve shows that the futures market variables have different impact effects on twelve macro variables.It shows that the futures market has a relatively strong impact on the macroeconomy,but there is still much room for improvement in the scope and depth of influence.It is suggested that the futures market should make efforts in terms of variety expansion,internationalization and supervision to further promote the comprehensive development of the domestic macroeconomy.