Research On Diversty Of Futures Commodity PriceVolatility

The majority of commodities traded in the futures market arerelated to the national economy andpeople’s livelihood; the price fluctuations of these commodities are attracting the attention of all sectors of society. Entering the new century, the large price riseof all kinds of commodities peaked in 2008 and commodity experienced extreme price volatility. The majority theory researches are focus on the macroeconomic aspect to study the reason of the collective commodities price fluctuation. However, during this period of time, we have not only found that different categories of commodities have different fluctuation range and frequency;but also identified some deviate tendency. Commodity price volatility has significant differences, but these subjects are rarely observed. Now, the analysts of future market are facing a vital practical issue which is the objective identification of the price-setting process of commodity under the status of co-exists of similarity and individuality.From the perspective of differentiation, this thesis selects soybeans in agricultural products category, coppers in industrial category and cruel oil in energy category as study subjective, thoroughly explore the differentiation and formation mechanism of the three main commodities price fluctuation.lt has important theoretical and practical significance.This thesis initially analysis and compares commodities differentiation of price volatility on the commodity price index and typical varieties in Year 2000 to Year 2014. Moreover, by adopting econometrics instrument of H-P filtering and seasonal adjustment tools, crude oil, soybeans and copper price series were component decomposition.Comparative studies were carried out from four ingredients:tendency, cycling, season and irregular. Followed by MS-AR of single variable regression model for price fluctuation cycle components of the state transition in-depth comparative study.Then, based on price theory, the establishment of VARmodel cycle factors affecting price volatility comparative analysis of three varieties, the production (supply side), economic growth (demand side) and currency supply (currency level) indicators included in the model, the analysis and comparison of these three main factors affect the degree of price volatility cycle strength.Finally, this thesis begins from the production and consumption characteristics, analysis three typical cyclical fluctuations in commodity prices formation mechanism differences in this century.The major conclusions of the thesis: First of all,regardless of products’ sectorial index or the typical varieties, agricultural price cycle fluctuates while the metal price and energy industrial categorytrendsfluctuations.Secondly, three varieties of long-term trend component exhibits the same direction fluctuation characteristics, the commodity price volatility main difference is price cycle differences.The periodic price volatility of soybeans is frequent, the fluctuation of soybean shifted between the upward and downward tendency while copper and crude oil kept stable in a longterm increasing trend.Furthermore,the short-term demand of agricultural Soybean showed "rigid" feature, while the supply of large changes in volatility, changes in the volatility of the supply comes mainly from the impact of weather on yields and acreage of a certain period, cyclical fluctuations in production is price the main driver of cyclical fluctuations; copper and crude oil as the representative of the energy supply in the short term have shown a "rigid" feature, periodic fluctuations in demand-led price cycle fluctuations.Finally, the prices of metal and energy have slightly different cycle fluctuations in the short term, which stems from lower demand for short-term fluctuations in interest rates and income sensitive differences, fixed assets downstream copper demand, the lower demand influenced by changes in currency levels, price volatility in the short term and therefore susceptible to changes in the content of monetary policy, investment demand leading copper price cycle fluctuations. While the downstream demand for crude oil is more vulnerable to the impact of changes in income growth fluctuations play a crucial role in its economy, and therefore cyclical fluctuations in crude oil prices and the global economy is more obvious synchronization cycle fluctuations, consumer demand-led price cycle fluctuations.The innovation of this paper is from the perspective of the diversity, the diversity of price volatility study characteristics of different categories of commodities within the same economic cycle, and draw different types of cyclical fluctuations in commodity prices.There is a significant difference, leading to this difference the root cause of the commodity supply and demand characteristics of the different categories of diversity in this conclusion. This study of commodity price volatility futures market analysis provides a new perspective, which not only improve the commodity price volatility research system, but also for the futures market analysis and forecast commodity prices laid a theoretical foundation.