我国燃料油期货价格与现货价格动态关系:基于TVECM的实证研究被引量：5

Dynamic Analysis the Relationship between Fuel Oil Futures and Spot Prices in China:Evidence from TVECM

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摘要利用门限向量误差修正模型(TVECM)研究了我国燃料油期货价格与现货价格之间的动态关系,实证分析发现,两者之间存在显著的非线性关系,门限值0.100将系统分为两个状态,在极端状态中期货价格和现货价格的调整速度均比标准状态快.然而,在两个状态中期货市场均具有较高的价格发现功能. The paper analysis the dynamic relationship between fuel oil futures and spot prices of China in a TVECM. It found out that there was a significant nonlinear relationship between them. The threshold value 0.100 divided the system into two regimes. In the standard regime, the speed of two prices adjusting to the long-run equilibrium is lower than that in extreme regime. However, in both regimes, the futures market serves better price discovery function.

作者刘小铭

机构地区华侨大学数量经济研究院

出处《数学的实践与认识》 CSCD 北大核心 2010年第8期8-14,共7页 Mathematics in Practice and Theory

关键词燃料油期货门限向量误差修正模型非线性 fuel oil futures TVECM nonlinear

分类号 F224 [经济管理—国民经济] F724.5 [经济管理—产业经济]

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参考文献8

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二级参考文献4

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