中国棕榈油期货价格与现货价格联动关系研究

摘要随着我国的金融市场逐步完善，作为世界主要油脂油料品种之一的棕榈油在我国植物油消费中占有重要的地位，也由于其价格低廉、不具有替代性等特点，棕榈油的需求量呈逐年上升趋势，因此，对棕榈油价格走势进行研究对国内油脂油料加工企业控制成本，提高企业利润意义重大。根据棕榈油在期货市场与现货市场价格波动之间的相关性以及风险规避的功能，本文以2018年1月6日至2023年3月25日的国内棕榈油期现货价格与现货价格的周数据作为样本，结合我国棕榈油期货和现货市场的实际情况，进行实证研究。国内棕榈油期货市场发挥着价格发现功能。协整检验结果表明国内棕榈油期现货价格间均存在长期均衡关系，格兰杰因果检验结果也表明有色棕榈油期货价格引导现货价格的引导关系普遍存在。脉冲响应分析和方差分解分析对价格引导关系的引导力度作了进一步解释，说明国内有色棕榈油期货的价格引导功能相对于现货有明显优势。因此国内棕榈油期货市场均发挥了价格发现功能作用。本文主要运用VAR模型及格兰杰因果、脉冲响应和方差分解等实证分析方法，佐证棕榈油期货价格与现货价格的均衡关系。关键词：棕榈油期现：VAR模型：协整检验：格兰杰因果：脉冲响应AbstractWith the gradual improvement of China's financial market,as one of theworld's main oil varieties palm oil occupies an important position in China's vegetableoil consumption,and because of its low price,no substitution and other characteristics,the demand for palm oil is rising year by year,therefore,the palm oil price trendresearch on domestic oil processing enterprises to control costs,improve corporateprofits is of great significance.Based on the correlation between palm oil in thefutures market and spot market price fluctuations and the function of risk aversion,this paper takes the weekly data of domestic palm oil futures spot prices and spotprices from January 6,2018 to March 25,2023 as samples,combined with the actualsituation of palm oil futures and spot markets in China.The domestic palm oil futures market plays a price discovery function.Theresults of the cointegration test show that there is a long-term equilibrium relationshipbetween the spot prices of domestic palm oil futures,and the results of the Graingercausal test also show that the guiding relationship between colored palm oil futuresprices and spot prices is widespread.Impulse response analysis and variancedecomposition analysis further explain the guiding strength of price guidancerelationship,indicating that the price guidance function of domestic colored palm oilfutures has obvious advantages over spot.Therefore,the domestic palm oil futuresmarket has played a role in price discovery.This paper mainly uses the VAR model and empirical analysis methodssuch as Granger causation,impulse response and variance decomposition to supportthe equilibrium relationship between palm oil futures prices and spot prices.Key word:Palm oil futures and cash;VAR model;cointegration test;Grangercausality;impulse response目录第一章绪论61.1研究背景..61.2研究意义44444444.61.2.1理论意义.61.2.2现实意义1.3研究内容与研究方法71.3.1研究内容.71.3.2研究方法.7第二章文献综述f2.1国外文献综述P2.2国内文献综述82.3持有成本理论92.4有效市场假说理论102.5时间价值理论..10第三章中国棕榈油期货价格与现货价格联动关系实证分析.…113.1实证研究方法概述113.1.1格兰杰因果关系.113.1.2VAR向量自回归模型构建113.1.3脉冲响应函数123.2数据来源123.3ADF平稳性检验133.4协整检验.…133.5VAR模型实证检验143.5.1确定滞后期143.5.2模型的稳定性检验.143.5.3VAR模型的拟合结果153.6格兰杰因果关系检验153.7脉冲响应163.8方差分解检验.17第四章结论及政策建议194.1研究结论194.2政策建议…..19