An Empirical Study Of Chinese Commodity Futures Price Index And The CPI Index

Price Keeping price level stability is one of the ultimate goals of Chinese macroeconomic regulation and control. In recent years, due to rapid economic development, it caused severe inflation and rised prices which serious injuried the Chinese economy that we must find a corresponding macro-regulation policy. As we knows, the futures market of the financial market have price discovery function, The price discovery which let market information and effective integration timely into asset prices can reflect the efficiency of the market. For example, a commodity futures market which is operating effectively have a good price discovery function, the performance of the common efficient price implied in futures prices and spot prices, and maintain a balanced relationship in the long term. To analyze the mechanism of price discovery function, not only helps to understand the different roles of the different market price information, but also helps to understand the mechanism of transmission of information between futures and spot markets.The consumer price index (CPI), is a reflection of the statistical indicators of price changes in living-related goods and services prices. It mainly reflects the change in price of consumer goods and services, but also a measure of the level of inflation tool, the CPI is a lagging data, but it is often an important reference in market economic activities and government monetary policy.Commodity futures price index is indispensable for the preparation of the economic sentiment index and an important leading indicator. The preparation of Chinese economic sentiment index of leading indicators are less available, if we can join the commodity futures price index, the economic sentiment index of performance will be improved. In addition, commodity futures price index is a important tools to understand and grasp of the commodity futures market for management, business and academia. With the gradual improvement of the market economy, the commodity futures market will be a important in Chinese market economy. Finally, the commodity futures price index can trade as a futures investment products and provide investors with new hedging, lower risk investment vehicle. The futures price index is a more sensitive indicator, it contains a variety of fluctuations in the underlying commodity prices and will directly affect the producer price index, then transfer to the consumer price index, but consumer price index is the direct observation of inflation indicators, there is no doubt that it will affect the central bank’s interest rate decisions. Firstly, we qualitative analysis the effectiveness of Chinese futures market on the price discovery function, and then learn from the foreign index methodology, according to the results of the previous index, WenHua commodity futures index in the futures market in China is Well. Firstly, we empirical research between12years of futures data and CPI. In order to improve the accuracy, then we re-empirical research segment data and CPI respectively.The results show that the original time series WHSP and CPI index are not stably, they are just an ordinary single whole sequence. Granger causality test shows that:the lag1-12the WHSP are Granger cause of CPI, with the increase of the lag order, the WHSP impact on the CPI decreases gradually on F coefficient. The dynamic system model of the VAR between CPI and WHSP whose lag order is4can pass the stationary test. CPI index and itself and WHSP lag odd order is positively correlated with itself and WHSP index lag even order a negative correlation, there is the phenomenon of "exchange rate overshooting". Chinese commodity futures price index to2months in advance is expected out of the basic trend of the CPI, although far less than the overseas research is usually advance time. But it can be used as leading indicators of the CPI, and plays a role of macroeconomic advance.