中国商品期货指数与GDP指数的关系研究  

A Study of the Relationship between China's Commodities Futures Index and GDP Index

作　　者：蔡慧[1] 华仁海[1] 

机构地区：[1]南京财经大学金融学院,江苏南京210046

出　　处：《金融理论与实践》2007年第8期3-6,共4页Financial Theory and Practice

基　　金：国家自然科学基金(70573044);江苏省教育厅高校哲学社会科学基金(05SJB790012)的资助

摘　　要：本文在借鉴国内外商品期货指数编制方法的基础上,编制了我国商品期货指数。基于1998-2005年的时间序列数据,对我国商品期货指数与GDP指数之间的超前滞后关系进行了实证研究,研究结果表明在样本区间内存在商品期货指数到GDP指数的因果关系,其先行时间达2个月。我国商品期货指数与GDP指数两者之间存在长期均衡关系,但是期货市场的价格发现功能依然存在某些缺陷。因此,应当进一步完善我国的期货市场,使商品期货指数成为监测我国经济景气的指示器。This paper works out China＇s commodities futures index by drawing on the experiences both at home and abroad. Based on the time series data of 1998-2005, it conducts an empirical study of the leading-lagging relationship between our commodities futures index and GDP index. The results show that the Granger causality exists from commodities futures index to GDP index, and the former leads the latter by two months. A long-term equilibrium remains between our commodities futures index and GDP index, but there are still some defects in the price discovery function of futures market. Therefore, we should further develop the futures market and make commodities futures index be an indicator to monitor the economy of our country.

关 键 词：商品期货指数 GDP指数 协整检验 VECM模型 因果检验 

分 类 号：F830.91[经济管理—金融学]