Commodity Futures Index Research And Empirical Analysis

Index compilation is of great importance to both economic theory and social practice. Currently, the index application field of our country should be expanded with the development of the socialist market economic. This dissertation is based on the basic theory and method of index. We deduced two functions from the systemic and empirical research of commodity futures index. First, as a economic indicator, it is helpful for government administrant department investor and investigator to hold and grasp commodity price. Second, as a financial derivatively tool, it is a shortcut for investment institution to implement effective investment management. We believe that it is also significative for our country from the strategic point of view of optimising the whole economic efficacy and promoting the internationalisation of China's futures market. Therefore, we bring forward the index compilation method according with the real condition of China and figure out the raw industrial futures index, with that we make the thorough empirical comparison among the raw material industrial index CRB's row industrial sb-index China's PPI and industrial boom index by using econometric models. The conclusings have drawn, the China's raw industrial futures index circulate normally, the Granger causality is existing from China's raw industrial futures index to China's PPI, the former lead the latter by three months. Since the China's raw industrial futures index reflect the price fluctuations of raw material industrial products, it could be a indicator to monitor the industrial boom of our country. Ultimately, the author suggest that the government administrant should take the raw industrial futures index come into the Shanghai futures exchange as a financial derivatively investable tool with a feasible plan.