我国豆油期货与现货价格动态关系研究:基于日数据的实证分析

Research on the dynamic relationship between China's soybean oil futures and spot price:Empirical analysis based on daily data

利用单位根检验、VAR模型、协整检验、误差修正模型、脉冲响应函数分析和方差分解的一体化方法对我国豆油期货与现货价格的动态关系进行研究。通过对豆油期货价格与现货价格之间的动态变化关系进行的实证分析发现,期货与现货价格之间存在长期均衡关系,期货市场在价格发现功能中起到主导作用,因为期货市场的价格发现功能大于现货市场。在脉冲响应函数分析中发现,除了期货与现货价格对其自身的一个标准差新息立刻有较强反应外,期货价格新息对现货价格的影响更大。

This article examines the dynamic relationship between China＇s soybean oil spot and futures price by using VAR model, cointegration test, error correction model, impulse responses analysis and variance decomposition methods, etc. The results from this research suggest that the futures and spot prices exist long-run equilibrium relationship, and that futures market plays more important role in the function of price discovery. In the impulse responses function, futures price＇s innovation have more influence on spot price, except futures and spot price have immediate strong feedback on one self＇s a standard difference innovation.