Journal: Economics DOI: 10.32629/ej.v9i9.3676
Abstract
本文考察库存稀缺性是否是中国黑色系期货中价格发现、仓储溢价与套期保值三类 决策的共同状态变量。基于2014年1月至2026年2月(截至2月6日)的螺纹钢、铁矿石 、焦炭与焦煤的期货及现货数据发现：期货价格引领在现货报价迟缓、基于指数的 焦炭焦煤上最强,在螺纹钢和铁矿石则参半；基差对标准化库存呈凸形非线性；套保 具状态依赖性——铁矿石库存充裕时每周钢材利润套保降方差33.7%,稀缺时仅9.2%。 库存由此把三者联系为统一机制。
Keywords
价格发现；仓储理论；加工利润；动态套保；黑色系期货
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