Research On The Cross Correlation Characteristics And Structural Origin Of Commodity Price Fluctuations

With the rapid development of the world economy,the international commodity market has entered a track of rapid development. A large number of international Commodity Exchange,such as International Petroleum Exchange(IPE)、London Metal Exchange (LME)、 Chicago Mercantile Exchange (CME)、New York Mercantile Exchange(NYMEX) and so on, quickly set up and have made great development scale, become a barometer of world commodity price movements. Our country has become the second-largest economy in the world, achievements in the economic development has got the attention of the world, but along with the advancement of urbanization, industrialization,and the optimization of industrial structure adjustment, our country for raw materials, agricultural products, energy and other commodity demand is increasing. Our country is a commodity production and consumption power, our government, enterprises and individuals will be affected by the international commodity price fluctuations. Therefore,for international commodity price fluctuation in the relationship between different markets, hedge the risks of commodity price fluctuations, and to our country what’s the significance of establishing the domestic commodity market is worth studying,we will study with the crude oil and gold in the international commodity as an example to do research, Under the multifractal analysis framework to MV characterization of risk, combines the MV and MF-X-DFA and expand, by choosing 5 minutes of high frequency data of the international crude oil and the international gold futures and spot market, using the finite sample effect correction, cross correlation test and multifractal hasten fluctuation cross correlation analysis method (MV-MF-X-DFA) to study the stage of international crude oil market risk and international gold cross correlation characteristics of market risk and structural causes.First, it has studied the international crude oil futures and spot market in the international commodity market, results show that the Brent crude oil futures and west Texas intermediate crude oil futures have cross correlation with crude oil spot, and futures and spot market risk cross correlation of The American west Texas intermediate crude oil futures contract has the even stronger trend of upward movement.In addition, Through empirical analysis concludes that long memory is the sequence of structural factors that cause Brent crude oil futures contract and crude oil spot risk correlation multifractal characteristics; long memory of spot and the thick tail distribution characteristics of futures together, become the cause of the U.S. west Texas intermediate crude oil futures contracts and the spot of risk correlation multifractal characteristics.Secondly, it has empirical analysis the international gold futures and spot market in the international commodity market, results show that the COMEX gold futures and the mini gold futures have cross correlation with the international gold spot. And futures and spot market risk cross correlation of the COMEX gold futures contract has the even stronger trend of upward movement than that of the mini gold futures contract. Long memory is the sequence of structural factors that cause mini gold futures contract and spot risk correlation multifractal characteristics; long memory of spot and the thick tail distribution characteristics of futures together, become the cause of COMEX international gold futures contract and spot risk correlation multifractal characteristics.At last,it expounds the international commodity price fluctuations on the impact of our country and the significance of the construction of domestic commodity markets,gets conclusions and gives some corresponding policy recommendations.