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本文基于风险分散与通胀保护视角,通过构建DCC-MVGARCH模型与通胀保护回归模型,对我国铜、铝、豆粕和天然橡胶等四种商品期货的组合投资价值进行了实证检验。结果显示:测度商品期货风险分散功能的条件相关系数具有时变性,除豆粕外,铜、铝、天然橡胶等商品期货与股票的相关性出现了系统性的上升,而四种商品期货与债券则始终保持着低相关性;在通胀保护层面,四种商品期货均能提供通胀保护,但人民币汇率因素干扰了铝、铜和天然橡胶对未预期通胀的反映。研究结果为揭示商品期货的风险特质以及呈现商品期货收益率与宏观经济因素的关系提供了新的研究线索。
Based on the perspective of risk diversification and inflation protection, this paper empirically tests the portfolio investment value of four commodity futures such as copper, aluminum, soybean meal and natural rubber in China by constructing DCC-MVGARCH model and inflation protection regression model. The results show that the conditional correlation coefficient of the dispersion function of commodity futures risk is time-varying. In addition to soybean meal, the correlation between the commodity futures such as copper, aluminum and natural rubber and the stocks shows a systematic rise, while the four commodity futures and bonds All the four kinds of commodity futures provide inflation protection at the level of inflation protection. However, the RMB exchange rate factor interfered with the reaction of aluminum, copper and natural rubber to unexpected inflation. The results provide new clues for revealing the risk characteristics of commodity futures and presenting the relationship between the return rate of commodity futures and macroeconomic factors.