中国铜期货市场期货价格期限结构研究  

Study on backwardation and term structure of futures prices in Chinese copper futures market

作　　者：部慧[1] 

机构地区：[1]北京航空航天大学经济管理学院,北京100191

出　　处：《系统工程学报》2016年第2期192-201,226,共11页Journal of Systems Engineering

基　　金：国家自然科学基金资助项目(71003004;71373001);北京航空航天大学基本科研业务费资助项目(501000020-14108019;50100002015108001)

摘　　要：分析了我国上海期货交易所的铜期货不同到期期限的期货合约的价格数据,研究了铜期货价格的期限结构,样本期为2004-09—2012-12.结合Kolb提出的统计量,首先对铜期货市场的现货升水特征进行了统计分析.接下来,结合Gibson等提出的似无关回归分析(SUR)的方法,利用代理变量对现货价格和便利收益率的时间序列性质进行了检验,揭示了现货价格和便利收益率均是均值回转的过程,也说明Schwartz提出的两因子模型适用于拟合我国的铜期货合约价格.因此,本文构建了价格期限结构的两因子模型,并利用状态空间模型和卡尔曼滤波方法进行估计.实证结果揭示了我国铜期货在金融危机之前具有相对稳定的现货升水特征,尤其在2006年之前更为明显;金融危机时期该特征曾发生异常逆转;危机过后较长一段时间铜期货市场无明显特征,近期现货升水特征逐渐恢复但仍很微弱.This paper analyzes the backwardation character of futures prices in Chinese copper futures market.According to Kolb,the relationship between forward prices and futures prices at expiration is examined,and the existence of the backwardation character of copper futures is tested.Using seemingly unrelated regression（SUR） analysis according to Gibson and Schwartz,the property of spot price and convenience yield based on the proxy variables is tested.It is found that both spot price and convenience yield are the processes with mean reverting.This illustrates that two-factor dynamic model of stochastic behavior of futures put forward by Schwartz is suitable for analyzing Chinese copper futures.Finally,a dynamic model is set up,which is estimated by the state space model and Kalman filter method.The empirical results reveal that normal backwardation exists in Chinese copper futures before the global financial crisis,especially before 2006;and the character once reversed into contango during the period of financial crisis.After financial crisis,Chinese copper futures market has no clear backwardation or contango character for a long time;until recently,backwardation character recover gradually,but it is still weak.

关 键 词：期货市场 现货升水假说 库存理论 期限结构模型 

分 类 号：F832.5[经济管理—金融学]