铁矿石期货与现货价格波动特征研究——基于铁矿石指数定价机制下的分析  

Research on Volatility Characters of Spot and Futures Price under Iron Ore Index Pricing Mechanism

作　　者：洪水峰[1,2] 孙园园 杨雅心 

机构地区：[1]中国地质大学(武汉)经济管理学院 [2]中国地质大学(武汉)经济管理学院,资源环境经济研究中心 [3]美尔雅期货有限公司

出　　处：《价格理论与实践》2017年第6期118-121,共4页Price:Theory & Practice

基　　金：国土资源部地质调查项目:中国能源与矿产资源安全动态评价与决策支持系统建设目2017年度项目资助

摘　　要：在铁矿石指数定价机制背景下,全球铁矿石价格波动频率和幅度逐渐扩大。本文通过构建广义自回归条件异方差(GARCH)模型,拟合分析了铁矿石现货价格和期货价格的波动特征,对比分析各模型的拟合效果,寻求出最佳的拟合模型。研究结果表明:铁矿石价格序列远距离观测值具有较明显的相关性,其价格的波动维持原长期协议定价机制时期的特性;铁矿石现货市场不是完全典型的金融市场,现货价格的波动受到众多非理性和其他战略因素的制约;由于大量投机交易者和金融机构的介入,铁矿石期货价格波动表现出更明显的高风险、高回报特征。In the context of the iron ore index pricing mechanism, the global iron ore price fluctuation frequency and amplitude gradually expanded. In this paper, the generalized autoregressive conditional hetereskedasticity （GARCH） model fits the fluctuation character- istics of iron ore spot price and futures price, and analyses the effect. The results show that the long-term of the iron ore price sequence have a significant correlation, and the price fluctuation maintains the characteristics of the long-term agreement pricing mecha- nism. The iron ore spot market is not a completely financial market, the fluctuation of the spot price has been subject to numerous irrational and strategic factors. Because of specu- lative traders and financial institutions involved, iron ore futures price fluctuations ob- viously shows more high-risk, high return characteristics.

关 键 词：铁矿石价格 铁矿石指数 铁矿石定价机制 铁矿石期货市场 

分 类 号：F724.5[经济管理—产业经济] F764.2