A Connection Research Of Chinese Futures Index And Macroeconomic

Along with the increasing development of the market of finance in China , futures market has been a very important part of Financial system. China's economy has enjoyed a rapid development. the futures market also has followed the movement of the national economy. The futures price will take the future spot price the anticipated price,and it also affected by macroeconomic variables. So the purpose of this paper is study of the relationship between Futures price index and Macroeconomic variables.Chapter1 is the introduction of this paper. In this section I provide the backgrounds and value of this research, then study the domestic and foreign existing literature and also provide the methods and thinking of the study.In Chapter2, I study the relationship between futures price index and macroeconomic variables in theory. In the model, we find that the futures price can provide reference for the macroeconomic. At the same time, we have made the hypothesis that the relation between futures price and macroeconomic variables. In Chapter3, I examines China futures markets efficiency, the results indicates that in certain time horizons, there are cointegration relations between futures prices before maturity and expected spot prices on the maturity day of the contract, and futures prices are unbiased expectations of the spot price on delivery date. It implies futures prices represent accurate predictors of expected spot prices, and China futures markets are weak efficient. With the development of futures markets, its function is appearing.In Chapter4, I provide the empirical Analysis, Firstly, I work out the futures price index of China refer to the CRB index, Secondly, I analyze the relationship between futures price index and macroeconomic variables by using vector auto regression model. Results from empirical analysis indicate that there exist a long run equilibrium relationship between futures price index and various macroeconomic variables. The Granger causality is existed from commodities futures index to GDP, CPI. The former lead the latter by two months, but there are still some disadvantages on the function of price discovery futures. So, the futures price index cannot entirety reflect macro economy. Chapter5, policy recommendations are also provide based on empirical study in order to enhance the function of the futures market in China.