Study On The Relationship Between Macro-economic And Convenience Yield

The literature on the convenience yield of domestic research is still relatively small,but the convenience yield is an important factor that influences the difference between the spot price of commodities and the price of futures.It is great significance for the study of price changes in the spot and futures markets.With the development of our country's economy,financial markets have also developed rapidly,and their status in the international financial market has become more and more important,and their impact on the economy has also grown.Therefore,it is very necessary to study the relationship between the price of China's futures market and the spot market in order to be able to better control the risks of operating companies,better grasp the changes between prices in the market Through the study of the relationshp between macroeconomics and the convenience yield of commodity,we can better arrange the production and operation of enterprises according to the changes in China's macroeconomic environment.Through the analysis and pricing of commodity's convenience yield,and regression analysis between them and macroeconomic indicators,to explore whether there is a long-term and stable relationship between the two,and whether macroeconomic indicators have a long-term and stable impact on the changes in the convenience yield of commodities.Convenient yield of the six commodities are calculated using the Black-Scholes option pricing model,which performs least-squares regression analysis and cointegration with indicator variables(GDP,market interest rates,inflation,etc.)that represent macroeconomic variables.Test and Granger causality test and so on.In the regression analysis with macroeconomic variables,it was found that the convenience yield of rebar and copper in the non-ferrous metals market is more closely related to the macroeconomic conditions.Rebar is a unique type of China's futures market.Copper futures are at home and abroad.Through the analysis of transactions,it has been found that the convenience yield of rebars reflect their own characteristics,and they are more closely linked with domestic macroeconomic indicators.Copper convenience yield are also effected by domestic and international market factors.The characteristics of China's commodity convenience yield have the same features as expected theory and foreign literature conclusions,but there are also certain differences,which are in line with the actual situation in the Chinese market.There is a big difference between the convenience yield of different markets and the macroeconomic situation.The correlation between different commodities and macroeconomic conditions in the same market is roughly the same,but there is a difference in the significance of results.Compared with copper,rebar is more closely related to domestic macroeconomic conditions,and copper is more affected by the international market;soybean and wheat are more closely related to domestic macroeconomic conditions than soybean meal,and soybean meal is also affected by other factors.There are some differences with the nature of primary agricultural products.In general,the convenience yield of goods is closely related to the macroeconomic conditions in China,but it is not closely related to the real estate market.