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中文摘要：
本文应用z—A方法和Perron方法等结构突变检验以及Gregory—Hansen变结构协整方法，对大豆期货和现货价格之间是否存在长短期均衡关系进行重新研究。研究发现。样本期内大豆期货和现货均发生了两次结构突变。通过考虑是否发生结构突变的对比分析表明，未考虑结构突变时大豆期现货不存在协整关系，考虑结构突变时二者则存在长期均衡关系和短期动态调整关系；考虑结构突变向量的误差修正模型（EcM）的预测精度比未考虑结构突变时高出5．5％，充分证实了结构突变在处理时间序列数据时的必要性和有效性。
英文摘要：
Based on structural breaks test such as Z-A and Perron methods and the co-integration test of Gregory-Hansen, this paper made a research on the short-term and long-term equilibrium relationship between futures price and spot price of soybean. The study discovered that within the sample period there were two structure breaks of both futures and spot prices. Meanwhile, the further comparative analysis on whether considering structural breaks shows that without the consideration of structural breaks, the co-inte- gration relationship between futures and spot prices of soybean does not exist; however, with the consider- ation of structural breaks, there exists long-run equilibrium relationship and short-term dynamic adjust- ment relationships. This study also found that the vector ECM with the consideration of structural breaks had 5.5% higher accuracy than that without consideration of structural breaks on prediction, fully confirmed the necessity of considering structural breaks in treating with time series.
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