金属矿产品市场价格发现功能的非线性特征研究

金属矿产品期货市场的价格发现行为是目前矿产品贸易中一种有效的定价措施。关于金属矿产品期货与现货价格之间的线性特征的研究已经十分成熟。然而,现有的研究并未考虑两者的非线性关系。本文通过协整检验以及非线性Granger因果关系检验对金属矿产品期货价格和现货价格之间的关系进行了研究。主要得出以下结论:第一,期货价格与现货价格之间存在长期均衡关系;第二,当期货市场需求旺盛时,市场价格会产生期货升水(现货贴水)现象,反之亦然;第三,金属矿产品市场价格发现功能存在着非线性的特征;第四,金属矿产品价格产生非线性传递的主要原因在于利率市场的非线性传递以及商品储藏成本与时间的非线性关系。

Study on nonlinear characteristics of metal minerals market price discovery

The price discovery of the futures market is a kind of effective pricing method in the mineral products trade. The research on the linear characteristics between the futures price and the spot price is very mature. However, the existing studies do not consider the nonlinear relationship. In this paper, cointegration test and nonlinear Granger causality test are used to study the relationship between metal ore futures price and spot price. The main draw the following conclusions: first, there is a long-term equilibrium relationship between the futures price and spot price; second, when the futures market demand, the market price will produce futures premium (cash premium), and vice versa; third, the market price discovery function of metal mineral products has nonlinear characteristics; fourth, main reasons of nonlinear transfer is the nonlinear transmission and the interest rate market commodity storage cost and time of the nonlinear relationship between the metal mineral products prices.