The Multi-factor Modeling Research Of Chinese Natural Rubber Futures Prices Based On SVAR

This paper based on the development of financial market transitionwhich combined the Futures Derivatives Market, adopting the methodSVAR(Structural Vector Autoregressive) to study the variable factors thatinfluencing the Natural Rubber Futures price in Shanghai FuturesExchange in the whole economic market.This paper tried to consider the influence factors of Natural RubberFutures price from economic factors and market factors, using supplyshocks, demand shocks, the international crude oil prices and TOCOMnatural rubber futures price in Japan as variable, established the StructuralVector Autoregressive Model of Natural Rubber Futures price inShanghai Futures Exchange, on the basis of Vector Autoregressive Modelwith applying constraints.After screening and treating the effect of the influence factors ofnatural rubber futures, this article selects7variables to establishStructural Vector Autoregressive model of Natural Rubber Futures price,researching and analyzing the influence variables impact on naturalrubber futures prices from the expression and the dynamic analysis.Using linear expression to study the visual impact factors of rubberfutures prices and impulse response function and the decomposition ofvariance to study the dynamic effect, in the impulse response functionanalysis, first using the generalized impulse response function in theanalysis of the futures price, making the variables not affected by theimpact of order, and then conclude the impulse response function of natural rubber futures price under the impact from any standard deviationvariables.This paper uses the software Eviews7.0to program, firstly using7variables to establish the shrinking VAR model after ADF unit rootstationary test and Granger causality test, and then impose21constraintsto establish the SVAR model of natural rubber futures price. Through theanalysis of the expression and impulse response function and variancedecomposition to comprehensively research the impact factors of naturalrubber futures price fluctuations, and expand the original impulseresponse function to the generalized impulse response function, toanalyze the natural rubber futures impulse response under any standarddeviation, comprehensively analyzing the factor variable impact on thenatural rubber futures prices. This is the first time in our country’scommodity futures price research, bringing a new method and thought inthe commodity futures price research, which has a certain guidingsignificance and application value in the futures research.