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.
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.
出处
《中南民族大学学报（自然科学版）》
CAS
2005年第2期91-94,共4页
Journal of South-Central University for Nationalities：Natural Science Edition
基金
国家自然科学基金资助项目(70441022)
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
Dalian soybean futures
VAR model
cointegration test
impulse responses function
variance decomposition
