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Comparative study of the relationship between volatility and macroeconomic variables in Sino US commodity futures price index

Author: LiZuo
Tutor: XuXue
School: Capital University of Economics
Course: National Economics
Keywords: Commodity Futures Price Index Macro-economic variables Guiding Relationship
CLC: F724.5
Type: Master's thesis
Year: 2014
Downloads: 1
Quote: 0
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As the market index in the futures market, Commodity futures price index reflectthe overall health of the futures market,and is a certain relation with themacroeconomic variables. Firstly, the article describes the theory of discovering priceof the futures market and qualitatively analysis the correlation between commodityfutures price index and macroeconomic variables on the basis; Then, the article selectsthe monthly statistical data of CRB, GSCI, WHCCI and PHCCI on January2009–November2013. It uses a series of econometric methods, such as stationary test,cointegration test, Granger causality test and time difference correlation analysis toinvest the long-run equilibrium relationship between futures price index andmacroeconomic variables of China and America.The article draws CRB advance American CPI for at least seven months and canbe used as an international futures market index. The effect of GSCI predictingmacroeconomic fluctuations is poor. WHCCI advances Chinese CPI and CI for aboutone year and predict well the domestic macroeconomic variables. The governmentand investors can use it as the domestic futures market index. Yet WHCCI did notpass the cointegration test, so it didn′t exist the long-term equilibrium relationshipwith the domestic macroeconomic variables.Combined the results of theoretical analysis and empirical research, the articleconsiders comparing the mature commodity futures price index in the internationalmarket the domestic commodity futures price index exist some gaps in the preparationmethods and effectiveness. For the lack of the domestic commodity futures priceindex, it proposes a series of policy and recommendations to improve the properties.

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CLC: > Economic > Trade and Economic > China's domestic trade and economic > Circulation of commodities > Futures Trading
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