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本文建立了一个包含套期需求和投机需求的跨期模型,用以分析商品期货价格、持仓量与通货膨胀预期的关系。在产出存在时滞的情况下,商品期货价格的变化与通货膨胀预期的变化正相关,商品期货持仓量的变化可能与通货膨胀预期的变化负相关;商品期货价格与通货膨胀预期的关系,比商品期货持仓量与通货膨胀预期的关系稳定。
This article establishes a intertemporal model that includes hedging needs and speculative needs to analyze the relationship between commodity futures prices, positions and inflation expectations. In the case of output lag, the change of commodity futures price is positively correlated with the change of inflation expectation. The change of commodity futures position may be negatively correlated with the change of inflation expectation. The relationship between commodity futures price and inflation expectation, Than the commodity futures positions and inflation expectations stable relationship.