| 基于IRF和VD的连豆期货与现货价格动态关系的研究 |
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| 引用本文： | 张宗成,王骏.基于IRF和VD的连豆期货与现货价格动态关系的研究[J].中南民族大学学报(自然科学版),2005,24(2):91-94. |
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| 作者姓名： | 张宗成 王骏 |
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| 作者单位： | 华中科技大学,经济学院,武汉,430074 |
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| 摘 要： | 借助向量自回归模型、脉冲响应函数、方差分解等方法,以大连商品交易所大豆期货品种为例,研究了期货价格与现货价格之间的动态关系,定量刻画了期货市场在价格发现中作用的大小.研究结果显示:大豆期货价格与现货价格存在相互引导的关系,而且期货与现货价格之间存在着长期均衡关系,大豆期货市场在价格发现功能中起着主导作用.
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| 关 键 词： | 大连大豆期货 向量自回归模型 协整检验 脉冲响应函数 方差分解 |
| 文章编号： | 1672-4321(2005)02-0091-04 |
| 修稿时间： | 2005年4月7日 |
Based on IRF and VD about the Dynamic Relationship between Soybean Futures and Spot Price |
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| Zhang Zongcheng,Wang Jun.Based on IRF and VD about the Dynamic Relationship between Soybean Futures and Spot Price[J].Journal of South-Central Univ for,2005,24(2):91-94. |
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| Authors: | Zhang Zongcheng Wang Jun |
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| Abstract: | Taking soybean of Dalian Commodity Exchange as example, this article examines the dynamic relationship between the prices of spot and futures, and discloses the role of futures market plays in price discovery quantitatively, using VAR model, cointegrated test, impulse responses function and variance decomposition methods, etc. The results from this research suggest that the spot and futures prices are cointegrated, and there is a feedback between spot and futures prices, and futures market plays dominant role in price discovery. |
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| Keywords: | Dalian soybean futures VAR model cointegration test impulse responses function variance decomposition |
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