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近来,大宗商品作为一种投资性资产引起了人们的广泛关注。本文通过从Bloomberg搜集1980年1月1日至2015年12月31日的日度数据,研究了国际大宗商品市场与国内大宗商品市场的套息收益,并对两者进行了比较。结果发现:首先,能源类商品的套息收益一般为正,而农作物类商品的套息收益一般为负,金属与畜牧类商品的套息收益较不确定。从收益的波动性上看,农作物类商品套息收益的波动性较大,而金属类商品的波动性较低。
Recently, commodity as a kind of investment assets has aroused widespread concern. In this paper, by collecting daily data from Bloomberg from January 1, 1980 to December 31, 2015 from Bloomberg, this paper studies the yield of hedging interest in international commodity markets and domestic commodity markets and compares the two. The result shows that firstly, the yield of energy-based commodities is generally positive while the yield of crop commodities is generally negative and the yield of metal and animal husbandry products is less certain. From the perspective of return volatility, the yield volatility of crop commodities is greater, while the volatility of metal products is lower.