LME和SHFE期铜价格的动态计量研究被引量：3

A Dynamic Econometric Analysis of the LME Copper Price and the SHFE Copper Price

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摘要利用动态经济计量学方法对上海期货交易所(SHFE)与伦敦金属交易所(LME)的期铜价格走势进行的实证分析说明,在统计区间内SHFE期铜与LME期铜价格间存在着协整关系,LME期铜和SHFE期铜价格间存在双向G range成因,来自于SHFE的标准差冲击对SHFE和LME期铜价格的作用都有持续性,而对来自于LME的标准差冲击,SHFE有着过度的反应。 With the method of dynamic econometrics, this paper analyzes the relationship between the price of LME copper and the price of SHFE copper. The result shows that the price of SHFE copper is cointegrated with the price of LME copper, the price of LME copper is the Granger cause of the price of SHFE copper and the price of SHFE copper is the Granger cause of the price of LME copper too. An impulse from SHFE standard error has some influence on both SHFE and LME copper price, while SHFE copper price has some excess response to an impulse from LME standard error.

作者李跃中

机构地区安徽大学经济学院

出处《安徽大学学报（哲学社会科学版）》 CSSCI 北大核心 2006年第2期132-137,共6页 Journal of Anhui University(Philosophy and Social Sciences Edition)

关键词协整因果检验冲击反应误差修正模型期铜上海期货交易所伦敦金属交易所 cointegration causality test impulse response error correction model copper futures SHFE LME

分类号 F752.66 [经济管理—国际贸易]

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参考文献5

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二级参考文献12

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