论文部分内容阅读
本文充分考虑国内商品市场周期波动和境内外市场联动关系,通过探究期货市场风险溢价来源,构建期货市场基差变动的宏观经济因素模型。实证研究发现,市场利率、股权风险溢价等宏观经济因素以及境外期货市场价格变动对国内期货基差有正向影响,且向上波动阶段期货基差受当期宏观经济信息冲击大于向下波动阶段,受前期基差影响则要弱于向下波动阶段;中国宏观经济因素对境外期货基差变动影响显著,但弱于对境内期货基差变动的影响。
In this paper, we take full account of the volatility of the domestic commodity market and the linkage between the domestic and overseas markets. By exploring the sources of the risk premium in the futures market, we construct the macroeconomic model of the fundamental difference in the futures market. The empirical study finds that the macroeconomic factors such as market interest rate and equity risk premium and the fluctuation of the price of the overseas futures market have a positive effect on the domestic futures basis, and the fluctuation of the futures base in the upward fluctuation period is more affected by the current macroeconomic information than the downward fluctuation period. The impact of pre-primary basis will be weaker than that of downward fluctuation. The macro-economic factors of China have a significant impact on the fluctuation of overseas futures basis but weaker than the impact on the fluctuation of domestic futures basis.