工业原材料期货价格指数研制与功能的实证分析

本文探讨了开发国内工业原材料期货价格指数的意义,并提出了符合中国实际情况的编制方法和修正方法,研制出我国上海期货交易所的工业原材料期货价格指数。实证结果表明:在样本区间内其先行时间达到3个月,能反映出我国生产资料价格的未来价格走势,这为我国宏观价格政策的制定具有重要的意义。

Design of the Raw Material Industrial Index and Study of Its Funtions

Commodities futures index,first as an economic indicator,second as a financial derivative tool,it is helpful for government department,investor and investigator to hold and grasp commodity price.Therefore,we bring forward the index compilation method according with the real condition of China and figure out the raw material industrial index.The conclusings have drawn,the Chinas raw material industrial index circulates normally,the Granger causality is existing from China’s raw material industrial index to PPI,the former leads the latter by three months.Since the China’s raw material industrial index reflects the price fluctuations of raw material industrial products,it could be a indicator to monitor the industrial boom of our country.Ultimately,the author suggests that the government administration should put the raw material industrial index into the Shanghai Futures Exchange as a financial derivative investable tool with a feasible plan.