A Study On The Relationship Between Industrial Futures Price Index And PPI

The futures market has the function of price discovery and hedging,which plays a unique and important role in guiding the allocation of production factors and improving the efficiency of factor use.Futures trading is conducted in an open,centralized and transparent futures market.Futures prices are the prices formed by the real transactions of various types of participants.Futures prices are continuous,forward-looking and authoritative,reflecting the expectation of the market supply and demand parties and investors on the future industries,economic situation and economic policies.Futures price index,as the market index of the futures market,can reflect the overall operation of the futures market and the psychological expectations of the market participants for the future price movements.It plays an important role in warning and anticipating the macro economy and is an important reference for formulating macroeconomic policies.With the development and expansion of China’s futures market,the leading role of the futures price index in macroeconomic operations has drawn increasing attention.Using the closing price from June 2004 to December 2016 of Nanhua industrial futures price index(NHG)and PPI data at the same time,the empirical analysis adds an example to the few studies on the relationship between commodity futures price index and PPI at present.The ADF unit root test,the VAR model,the Johansen co-integration test,the error correction model,the Granger causality test and the variance decomposition were used to test the forecasting effect and the relationship between the industrial futures price index and PPI.The result shows that there is a long-term equilibrium relationship between NHG and PPI,and NHG has a significant effect on the trend of PPI.NHG has a leading role on PPI and it is at least six months ahead of PPI.At present,the guide role of NHG accounts for about one-third of the ratio.We can conclude that futures price index have a strong predictive role on the price movements of domestic spot market and can realize price discovery function.It also can be used as a reference indicator for making macroeconomic policies.