A Study On Exchange Rate Factors In Commodity Futures Market

Under the background of economic globalization,the relationship between commodity futures market and foreign exchange market have become increasingly close at home and abroad and the international commodity futures prices will be affected generally by exchange rate fluctuation.This article focuses on the analysis of the linkage effect between the futures market price and exchange rate and compares the degree of linkage between domestic commodity futures price and different exchange rate with the degree of linkage between foreign commodity futures price and different exchange rate,in order to evaluate the degree of exchange rate of domestic commodity futures market.This is not only of great significance to the development and improvement of China's commodity futures market,but also provides a reference for investors to optimize the allocation of financial assets and risk management control for investors to optimize the allocation of financial assets and control risk.This article first analyzes the relationship of mutual influence between the commodity futures price and exchange rate from the perspective of international trade,then makes a brief description of the current situation of the development of China's commodity futures market and analyzes its effect,and finally puts forward the deficiencies of China's commodity futures market.In addition,describing the compiled of the representative of the domestic and international commodity futures index——the NHCI and the S&P GSCI is to pave the way for the empirical part.The empirical part of this article uses DCC-GARCH model to fit,through the NHCI and the S&P GSCI and the RMB against the U.S.dollar,euro,pound,yen exchange rate from the beginning of June 2008 to the end of May 2016.The comparison of the dynamic correlation coefficient shows that the linkage effect between the China's commodity futures market price and the exchange rate is not as obvious as foreign futures market.In addition,the price of commodity futures market in China can be affected by exchange rate fluctuations,and in the sample period,different types of commodity futures prices have different reaction on the exchange rate,there has a positive correlation,negative correlation or uncertain.Finally,through the analysis of the status,theoretical research and empirical analysis,this article puts forward countermeasures to realize normalization for the linkage relationship between China's commodity futures market and foreign exchange market and prospects for the further development of China's commodity futures market.