摘要
本文研究和总结了商品期货价格指数编制理论和方法,梳理了国内外商品期货价格指数编制的成功经验,并基于前述研究基础设计了五种我国金属期货价格指数编制方案。最后基于实证检验的方法,通过对比各方案指数在指数平稳性、指数投资功能、对宏观经济的反应等方面的表现,确定"持仓量"滚动型方案为最优方案。
This paper studies the theory and methodology of compiling commodity futures price index, and summarizes the successful experience on the compilation of famous commodity futures price index in the world. On the basis of foregoing research results, the author designs five projects on the compilation of China Metal Futures Price Index. Using historical data, the paper empirically analyzes the performance of each project on the jump effect, the investment function, the reaction to macro-economy, and so on. By comparing the empirical results, the author chooses the ＂Open interest＂ project with rolling period to compile China Metal Futures Price Index. This paper systematically and comprehensively studies the fundamental theory and methodology of compiling commodity futures price index, and researches the compiling methodology and project of China Metal Futures Price Index all-directionally and multiperspectiveUy. So it establishes sound theory foundation, providing general project for constructing China Commodity Futures Price Indices system, and constructs an objective benchmark for China＇s commodity investment and effective underlying index for index derivative.
出处
《统计研究》
CSSCI
北大核心
2009年第4期60-67,共8页
Statistical Research
基金
国家统计局重点项目<中国金属期货价格指数编制研究>(2008LZ027)
上海财经大学211工程三期
上海市重点学科建设项目(项目编号:B803)的资助
关键词
商品期货价格指数
金属期货
指数编制
Commodity Futures Price Index
Metal Futures
Index Compilation
