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中文摘要：
应用VAR模型研究了ECXCER现货与期货价格的关系，并利用脉冲响应分析了价格冲击效应。研究结果表明，CER现货价格对于其自身及各到期日期货价格的一个标准差冲击显示出很高的正效应，而CER各到期日期货价格对于其自身及CER现货价格冲击显示出较低的正效应，甚至出现负效应。进一步地，应用t—GARCH、Gaussian—GARCH、t—GJR和Gaussian—GJR来拟合CER期货市场与现货市场收益率序列的结果显示，t—GARCH（1，1）是最佳拟合模型。应用Markov机制转换模型进行的研究表明，CER现货市场和期货市场均存在较大的波动特征。
英文摘要：
This paper firstly investigates the relations between ECX CER spot market and futures markets applying VAR model, and then it further analyzes the effect of price shock using Impulse Responses Analysis. It is found that responses of CER spot price to itself and futures prices of Dec09 CER, Dec10 CER, Dec11 CER and Dec12 CER show high positive effects with Cholesky one stan- dard deviation innovations while responses of CER futures prices to themselves and CER spot price exhibit low positive effects, even negative effects. Besides, it respectively fits features of returns series in the CER futures markets and spot market using t-GARCH model, Gaussian-GARCH model, t-GJR model and Gaussian-GJR model. It shows that t-GARCH （1, 1） model is the optimalizing model to fit the returns series. Meanwhile, the authors suggest the use of Markov regime-switching model for ECX CER stochastic modeling, indicating that both CER spot market and futures markets exhibit high stochastic behavior in the returns.
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