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我国大豆期货价格与现货价格波动关系的实证分析研究
  • ISSN号：1008-0651
  • 期刊名称：《中国证券期货》
  • 时间：0
  • 分类：F224[经济管理—国民经济] F724.5[经济管理—产业经济] F323.7[经济管理—产业经济]
  • 作者机构：[1]中央财经大学管理科学与工程学院
  • 相关基金：自然科学基金(70921061);中央财经大学科研创新团队支持计划的部分资助
作者： 杨婧[1], 李爱华[1]
关键词： 大豆期货, 协整检验, 误差修正模型, 脉冲响应, 方差分解
中文摘要：

本文借助相关性分析、单位根检验、协整检验、误差修正模型、格兰杰因果关系检验、脉冲响应函数和方差分解一系列计量分析方法,对大豆的期货价格与现货价格之间的波动关系进行了实证分析,结果表明大豆期货价格与现货价格之间存在高度正向相关关系,二者之间保持长期均衡关系。期货价格与现货价格间存在双向引导关系,大豆期货市场在价格发现功能上发挥主导作用,总体来看我国大豆期货市场运行状况良好。

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期刊信息
  • 《中国证券期货》
  • 主管单位:中国物流与采购联合会
  • 主办单位:北京卡斯特经济评介中心 北京亚布力企业发展策划有限公司
  • 主编：林健武
  • 地址：深圳市深南东路2017号华乐大厦3层
  • 邮编：518002
  • 邮箱：896073206@qq.com
  • 电话：0755-82255676
  • 国际标准刊号：ISSN：1008-0651
  • 国内统一刊号：ISSN：11-3889/F
  • 邮发代号:2-728
  • 获奖情况:
  • 国内外数据库收录:
  • 被引量:5796