摘要
CEM木材期货以产自北美的SPF锯材为合同标的物。过去一直认为CEM木材期货价格对中国的木材价格不产生影响,但是协整分析表明,滞后3个月的CEM木材期货价格与2012年5月以来的针叶原木进口价格之间存在长期均衡关系,说明CEM木材期货价格是针叶原木进口价格的格兰杰原因。考虑到进口针叶原木价格与中国木材市场价格综合指数高度相关,木材进口企业利用CEM木材期货规避针叶材进口中的价格风险是可行的。
CEM random length lumber futures take SPF lumber produced in North-America as tradedcommodity. People have always believe that CEM random length lumber future prices have no impactto Chinese wood prices, but the cointegration analysis indicate that there is long term balanced rela-tionship between 3 months delayed CEM random length lumber future price and conifer log import priceafter May 2012, so CEM random length lumber future price is the Granger reason of conifer log importprice. Due to imported conifer log price is highly correlated with TPI, it is feasible to avoid price riskof conifer importing by utilizing CEM random length lumber futures.
出处
《林业经济问题》
北大核心
2014年第2期129-132,153,共5页
Issues of Forestry Economics
基金
黑龙江省高等教育科学研究"十二五"规划课题(HGJXHA110379)
