【硕士论文】我国商品现货价格与期货价格长期均衡关系实证研究.doc

我国商品现货价格与期货价格长期均衡关系实证研究 摘要 期货市场是现代市场经济不可或缺的组成部分，在国民经济中有着重要作一用。我国期货市场是改革开放的产物，出现较晚，且其发展过程比较曲折，理论界对我国期货市场的研究尚不够深入。然而，鉴于期货市场在我国市场体系建设中的重要性，对期货市场的运行效率做出客观的评价是十分必要的。因此，对我国商品期货市场的功能作实证分析，具有重要的理论意义和现实意义。 一个规范的、成熟的期货市场，其形成的期货价格和相对应的现货价格之间应该具有长期均衡关系。因此，本文以此作为对象进行研究，首先论述了二者之间存在的长期均衡关系的重要意义，第二，提出了二者均衡关系的四种研究方法，第三，以铜这种期货产品作为研究对象,对现货价格与期货价格的长期均衡关系进行实证研究，最后针对我国期货市场的发展和完善提出了三条建议，为期货市场的发展和完善提供借鉴。 关键词：期货价格；现货价格；长期均衡关系 Abstract Futures market is the modern market economy, an integral part, in the national economy has an important use for one. Chinas futures market is a product of reform and opening up, appeared later, and the development of more twists and turns, theorists of the futures market in China is still not deep enough. However, given the futures market, the market system in China in the importance of the efficiency of the futures market to make an objective evaluation is necessary. Therefore, the functions of Chinas commodity futures market as empirical analysis has important theoretical and practical significance. A standard, a mature futures market, futures prices and the formation of the corresponding spot price should be between the long-term equilibrium relationship. Therefore, this article as a study object, the two first discussed the long-term equilibrium relationship between the importance of the second, put forward a balanced relationship between two of the four methods, the third of copper products such futures As a study on spot prices and futures prices of the long-run equilibrium relationship between empirical research, the last for Chinas futures market development and perfection of the three proposals for the development and improvement of the futures market for reference. Keywords: Future Price; Sport Price; Long-term Equilibrium 目录 1 绪论 1 2 期货价格和现货价格存在长期均衡关系的重要意义 2 2.1 期货价格的形成机制 2 2.2期货价格和现货价格存在长期均衡关系的重要意义 2 2.2.1 有助于检验不同交易制度对期货市场实现价格发现功能的影响 3 2.2.2 有助于检验和分析新信息在不同市场结构下期货市场的传递速度的差异，从而分析不同期货市场结构的优劣 3 2.2.3 有助于检验套利行为所具有的市场价格修正作用以及分析交易行为对价格发现的影响程度 4 3 期货价格和