基本有色金属期货市场价格波动实证分析

依据铜、铝和锌三种典型性基本有色金属在金融危机前后的期货价格波动数据,运用分解-合成框架和时变TVP-VAR分析模型,考量影响基本有色金属期货价格波动重大事件和长期趋势价格波动的因素及价格时变特征。结果发现：铜、铝和锌三种基本有色金属期货的价格走势基本一致,且与中国宏观经济密切相关,其价格的最低点都出现在金融危机期间,而价格的最高点基本都出现在经济繁荣期;基本有色金属价格存在同涨同跌关系,而且涨跌幅基本趋势相一致。鉴此,可以对具有周期变化特征的基本有色金属价格走势进行预测,并规避价格波动的风险。     

积极财政政策对中国宏观经济的动态时变影响 ——以重大突发公共卫生事件为视角

采用带有随机波动率的时变参数向量自回归模型(T V P-V A R),基于1999年1月-2020年8月的月度数据动态识别中国积极财政政策对宏观经济的影响,并进一步刻画不同时点的重大突发公共卫生事件下积极财政政策与宏观经济之间的变动关系.研究结果表明:基于时变脉冲响应分析发现,财政政策对中国宏观经济波动存在显著的时变特征,表现出明显的非线性关系,不同时期的财政政策工具对宏观经济影响存在差异;基于时点脉冲响应分析发现,重大突发公共卫生事件下积极财政政策有利于促进产出、消费及贸易,但在短期会引起通货紧缩.对新冠肺炎疫情和"非典"疫情冲击的比较发现,积极财政政策对"新冠"疫情的刺激作用较显著,财政支出与财政收入政策对两次疫情下中国宏观经济影响在前期存在差异.     

基于价量关系的股指期货投资技术——以台湾加权指数期货为例

对股指期货进行投资分析的一个重要方面是价量关系,台湾加权指数期货的经验值得我们分析与借鉴。本文采用微观的面板数据计量模型与宏观趋势波段两种方法对其进行实证分析,发现其价、量之间以及价格波动与成交量之间都存在正向关系,符合主流的MDH理论,并表明投资技术分析在一定程度上是有效的;大陆投资者将来在沪深300股指期货上可以参考,借鉴台湾地区的经验。     

我国货币政策与股票市场的相依性研究

对VAR同时施加短期约束与长期约束,以识别价格型货币政策与股票价格之间的同步冲击响应关系。结果表明,股票价格对利率的即刻冲击响应为负,长期冲击响应收敛于零,这解决了乔斯基分解的长期正向效应之谜。股票价格对利率具有即刻正向冲击,且这种冲击不具有长记忆性。产出和通货膨胀对股票价格的冲击均具有正向滞后响应。实证结果可为基准利率的确定、货币政策的制定执行、股票市场的稳定发展、宏观调控的有效实施、货币政策由数量型向价格型的过渡提供一定的经验支持。     

中国房地产价格与城市化水平实证分析

运用协整分析方法与误差纠正模型,考察了1991～2005年中国房地产价格与城市化水平之间的关系.实证研究发现,中国城市化水平的提高是中国房地产价格上升的原因;中国的房地产价格与中国城市化水平之间存在一种长期稳定的正向变动关系;短期来看,均衡关系由短期偏离向长期均衡调整的速度较慢.     

经济政策不确定性对有色金属股票收益率的时变影响

构建TVP-SVAR-SV模型,依据WIND数据库2007年7月至2018年12月数据,将经济政策不确定性冲击纳入多结构冲击体系,考量经济政策不确定性对有色金属股票收益率的时变影响。结果显示：经济政策不确定性对中国有色金属板块股票收益率的影响具有时变性与阶段性等特征,对不同时间尺度、不同时间点、不同品种的影响效应呈异质性。在四类细分经济政策不确定性冲击中,金融监管政策不确定性冲击的影响程度最大。鉴此,监管部门应重视市场之间的联动性特征,发挥市场机制应对有色金属金融化不利冲击的作用;应使用经济政策不确定性指标及时监控有色金属价格波动,避免政策过度干预。     

利率与股价之间的价格溢出效应与波动溢出效应

基于具有外生变量的二元VAR-MGARCH模型对中国货币市场利率和股价之间的关联进行了理论分析和实证研究。结果表明,利率和股价之间基本不存在价格溢出效应;货币市场利率和股价序列均表现出时变方差的特征和波动的持久性特征,货币市场和股市之间存在双向波动溢出效应;货币供给的正向冲击对利率的影响是正向的。     

甘肃有色金属价格指数编制及与宏观经济关系研究

文章梳理了有色冶金行业发展的文献综述,采用人民银行企业商品交易价格调查等相关数据,针对甘肃有色金属行业发展特点,编制了甘肃省有色金属价格指数,运用定性分析与定量分析相结合的方法,研究了甘肃有色金属行业价格指数变化与主要宏观经济指标波动之间的关系。结果表明:甘肃省有色金属价格指数总体呈现“N”态势,2016年以来指数总体表现为回升状态。甘肃省GDP对有色金属价格反映比较敏感,且在GDP增幅变化之前半年或一个季度有色金属价格开始变化,甘肃省有色金属价格指数对经济波动具有一定的预测作用。最后提出了关注有色金属价格变动和强化预警机制、完善有色金属产业链、进行结构性产业调整等对策建议。     

金融资产价格与成交量关系研究背景及综述

金融资产价格与成交量之间的正向相关关系在很多实证研究中都得到确定,不同的研究形成了不同的学说。在过去六十多年来的近代金融学发展过程中经历了以金融经济学为基础的传统标准金融理论阶段和行为金融学阶段两个时期,而不同的资产价格与成交量关系学说就是在这两个不同的阶段中形成。不同时期产生的资产价格与成交量关系学说,在模型上的假设和参数上的设定,都受到学说形成时的金融学界思想的影响。     

我国大豆期货价格与现货价格波动关系的实证分析研究

本文借助相关性分析、单位根检验、协整检验、误差修正模型、格兰杰因果关系检验、脉冲响应函数和方差分解一系列计量分析方法,对大豆的期货价格与现货价格之间的波动关系进行了实证分析,结果表明大豆期货价格与现货价格之间存在高度正向相关关系,二者之间保持长期均衡关系。期货价格与现货价格间存在双向引导关系,大豆期货市场在价格发现功能上发挥主导作用,总体来看我国大豆期货市场运行状况良好。     

Stock Prices and Inflation: New Evidence from the Pacific-Basin Countries

This paper investigates the statistical relationship between stock prices and inflation in nine countries in the Pacific-Basin. On balance, regression analysis on the nine markets shows negative relationships between stock returns in real terms and inflation in the short run, while co-integration tests on the same markets display a positive relationship between the same variables over the long run. The time path of the response of stock prices plotted against corresponding changes in consumer price indices validates this dichotomy in time-related response patterns of stock prices to inflation; namely, a blip of negative responses at the beginning changes to a positive response over a longer period of time. Stock prices in Asia, like those in the U.S. and Europe, appear to reflect a time-varying memory associated with inflation shocks that make stock portfolios a reasonably good hedge against inflation in the long run.     

2011年7月上海期货交易所市场综述

金属市场：7月伦敦金属交易所（LME）期铜、期铝、期锌价格总体表现为强劲上涨走势,而期铅则呈盘整走势。美联储主席表示可能采取新的货币刺激政策、智利铜矿罢工等因素提振金属价格,但月末美国债务上限谈判悬而未决引发市场对全球经济担忧,令金属价格高位盘整。     

2019年12月上海期货交易所市场综述

有色金属市场:12月,伦敦金属交易所(LME)有色金属价格涨跌互现,其中铜、铝、锡、镍涨幅明显。全球经济下行压力下全球普遍实施宽松货币政策;叠加中国11月官方制造业PMI超预期,显示中国经济依然处于阶段性企稳中,为有色金属价格奠定上涨基调。月末,LME三月期铜、期铝、期锌、期铅、期镍、期锡收报每吨6174美元、1810美元、2272美元、1927美元、14025美元、17175美元,分别较上月上涨5.29%、上涨3.13%、下跌0.07%、下跌0.49%、上涨2.6%、上涨4.12%。     

Nonlinear effects of climate policy uncertainty and financial speculation on the global prices of oil and gas

With the acceleration of global energy transition and financialization, intense climate policy uncertainty and financial speculation have significant impacts on the global energy market. This paper uses TVP-VAR-SV models to analyze the nonlinear effects of climate policy uncertainty (CPU), financial speculation, economic activity, and US dollar exchange rate on global prices of crude oil and natural gas respectively, and then compare the time-varying response of oil prices and gas prices to six representative CPU peaks. The results show that responses of energy prices to various shocks have significant nonlinear effects: the time-varying effect of CPU on energy prices from positive to negative over time is significant, and financial speculation has the opposite effects on oil and gas prices. The effect from economic activity is mainly positive, while the effects of US dollar exchange are negative and stable. These results provide important implications for policymakers and investors dealing with high levels of climate policy uncertainty, financial speculation, and global economic activity.     

What role do futures markets play in Bitcoin pricing? Causality,cointegration and price discovery from a time-varying perspective?

Recent papers that have explored spot and futures markets for Bitcoin have concluded that price discovery takes place either in the spot, or the futures market. Here, we consider the robustness of previous price discovery conclusions by investigating causal relationships, cointegration and price discovery between spot and futures markets for Bitcoin, using appropriate daily data and time-varying mechanisms. We apply the time-varying Granger causality test of Shi, Phillips, and Hurn [2018]; time-varying cointegration tests of Park and Hahn [1999], and time-varying information share methodologies, concluding that futures prices Granger cause spot prices and that futures prices dominate the price discovery process.     

The frequency and size of price changes: evidence from non-parametric estimations

The majority of price setting models predict a negative correlation between the frequency and size of price changes. Using a unique micro-level price data from Slovakia, we find that a negative correlation between frequency and size of price changes holds only for more rigid prices. On the other hand, less rigid prices such as gasoline prices exhibit positive correlation in line with Rotemberg's pricing model.     

Futures markets and fundamentals of base metals

According to the theory of storage, the interest-adjusted basis equals the warehousing cost minus the convenience yield (i.e., benefit of holding a physical commodity) per time unit. By assuming that warehousing costs relatively constant at alternative stock levels, the interest-adjusted basis will be inversely associated with the convenience yield.In this article, we explore whether the sign of the interest-adjusted basis determines the degree of association between spot and futures returns on the six London Metal Exchange base metals—aluminum, copper, lead, nickel, tin, and zinc. In addition, we study to what extent the sign of the interest-adjusted basis correlates with the business cycle of industrial production of various countries (e.g., US, G7, OECD, Russia, and China), and with the business cycle of consumption/production of the aforementioned six base metals.We conclude that a negative interest-adjusted basis is generally associated with booming industrial production, a negative or small metal surplus (i. e., production minus consumption), and low metal stocks. To our knowledge, this is the first study to link metal market fundamentals to futures markets dynamics.     

Modelling time varying volatility spillovers and conditional correlations across commodity metal futures

This paper examines how the most prevalent stochastic properties of key metal futures returns have been affected by the recent financial crisis using both mapped and unmapped data. Our results suggest that copper and gold futures returns exhibit time-varying persistence in their corresponding conditional volatilities over the crisis period; in particular, such persistence increases during periods of high volatility compared with low volatility. The estimation of a bivariate GARCH model further shows the existence of time-varying volatility spillovers between these returns during the different stages of such a crisis. Our results, which are broadly the same in relation to the use of mapped or unmapped data, suggest that the volatilities of copper and gold are inherently linked, although these metals have very different applications.     

Impact of macroeconomic news on metal futures

This paper uses intra-day data for the period 2002 through 2008 to examine the intensity, direction, and speed of impact of US macroeconomic news announcements on the return, volatility and trading volume of three important commodities - gold, silver and copper futures. We find that the response of metal futures to economic news surprises is both swift and significant, with the 8:30 am set of announcements - in particular, nonfarm payrolls and durable goods orders - having the largest impact. Furthermore, announcements that reflect an unexpected improvement in the economy tend to have a negative impact on gold and silver prices; however, they tend to have a positive effect on copper prices. In comparison, realized volatility and volume for all three metals are positively influenced by economic news. Finally, there is evidence that several news announcements exert an asymmetric impact on market activity variables.