影响PTA期货价格主要因素的相关性分析

文档编号:XXLW082 文档字数:12049,页数:26

摘   要

 PTA作为生产化纤产品的关键原料，其期货价格为从事化纤生产的企业所重视。纵观化纤产业链的结构，可以发现PTA期货的价格与上游原料原油价格有一定关系，同时期货价格也和现货价格之间有着密切的关系，此外PTA期货价格还受到下游产品聚酯切片，涤纶长丝和涤纶短丝价格影响。除了上述直接关系整个化纤产业链的影响因素外，PTA期货价格还受到宏观政策的影响，其中一个关键因素就是美元兑人民币汇率。从PTA产业链和宏观经济因素出发，寻找PTA期货价格的影响因素，通过聚类分析和逐步回归法从这些因素中选出对PTA期货价格影响显著的因素，并讨论显著因素和PTA期货价格之间的因果关系。通过这些因素的多元回归，可以在现有数据的基础上对未来一段时间内的PTA期货价格作短期预测，可为实际期货交易起到一定的参考作用。
 
关键词：PTA期货价格  聚类分析  逐步回归  因果分析  多元线性回归 

Abstract
 As a main raw materials to the production of chemical fiber products, prices of PTA futures attentioned by Many enterprises engaged in Chemical Fiber Production. Looking at the structure of chemical fiber industry chain, a fact can be found out: prices of PTA futures has a strong relation with price of crude oil in the Upper reaches of the raw materials and Soprt price of PTA, except these two factors, prices of PTA futures could be also influenced by the downstream products, such as polyester, polyester filament. In addition to the factors which direct impact the chemical fiber industry chain , exchange rate between RMB and U.S. Dollar could impact futures of PTA from a macroeconomic point of view. From PTA industry and factors of macroeconomic,to find the factors of PTA futures.then choose the prominent factors of PTA industry from these factors by clustering analyse and stepwise,besides,discuss the causality between prominent factors and price of PTA futures.By analyzing these facts, we could make a regression equation to predict futures of PTA in a short period of time, usually two weeks to a month. This could help corporations doing relative business make decisions when dealing with PTA.
 
Keywords: prices of PTA futures, clustering analyse, stepwise , causal analysis, Multivariate Linear Regression

目   录
摘   要 I
Abstract II
一．背景介绍 5
1.1 化纤产业链简介 5
1.2 PTA的化学性质和生产工艺 6
1.3了解PTA市场 7
1.3.1 PTA的生产情况 7
1.3.2 PTA的消费情况 7
1.3.3 PTA期货市场和产业利润 8
1.4 PTA品种特点 8
1.4.1现货市场基础好 8
1.4.2生产、消费、进口都比较集中 8
1.4.3完全市场化 9
1.4.4产业链长，套期保值覆盖面大 9
1.5 PTA期货投资价值 9
1.5.1价格波动大 9
1.5.2价格趋势性强 10
1.5.3价格影响因素多，波动频繁 10
二．影响PTA期货价格的因素分析 11
2.1 有关价格影响因素的定性分析 11
2.1.1供给方面 11
2.1.2需求方面 11
2.1.3 原料价格 12
2.1.4人民币汇率和美元指数 13
2.1.5 宏观经济政策 14
2.2 有关价格影响因素的定量分析 15
2.2.1变量聚类分析 15
2.2.2在EVIEWS中用逐步回归法选择显著变量 17
2.2.3 选出对PTA期货价格影响最显著的因素 18
2.3 PTA期货价格与显著变量之间的因果关系分析 19
2.3.1 PTA与SP之间的关系 19
2.3.2 PTA与CO之间的关系 20
2.3.3 PTA与PET之间的关系 21
2.3.4 PTA与PETS之间的关系 21
2.3.5 PTA与ER之间的关系 22
三、 结论及相关结果的解释 23
参考文献 24
致  谢 25
附录 26

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