基于VAR模型的我国铜锌期货价格引导关系实证研究

A Empirical Research of the Guiding Relationship Between Future Prices of Copper and Zinc Based on the VAR Model

铜、锌期货是大宗金属期货的重要品种,在期货投资市场上广受追捧。研究通过构建VAR模型,运用格兰杰因果检验,分析了近远月铜、锌期货价格之间相互引导关系,模型实证结论认为远月期铜、锌期货价格之间具有显著的相互引导关系,为期货市场上各类型投资者提供政策指引。

Copper and zinc futures are very important in the bulk metal futures, and a hot point of investment in the future market. By constructing the VAR model and using Granger causality test, the research hopes to analyze the guiding relation of the prices between the copper and zinc futures. According to the model and the empirical conclusion the research finds a significant guiding interaction between the prices of far-month copper and zinc futures, which can be a policy guidance to future markets and all types of investors.