摘要
以黄金价格与道琼斯指数等指标代表国际金融资本市场,与BDI建立Johanson协整关系,研究三者间的长期稳定的关系。建立VEC模型,研究三者间的短期动态调整能力,之后运用Granger因果检验进一步研究三者时间先后顺序上的因果关系。通过以上研究可知,BDI与黄金价格和道琼斯指数均呈现负相关的协整关系,该关系一旦偏离就能够在短期内迅速调整,其中协整关系可用来帮助判断BDI的走势。
The Johanson cointegration is set up between the international financial capital market and BDI. The former is represented by gold price, Dow Jones Indexes and other indicators. The long-term and stable relations between them are studied and the VEC model is established to study the short-term dynamic adjustment capabilities. Granger causality is used for further study about the chronological causation of the above three to get the set of conclusions. An example is given where BDI and gold price and the Dow Jones index are negatively correlated eointegration, which can be quickly adjusted once there is a deviation, and the cointegaration can be used for judging the trend of BDI.
出处
《中国航海》
CSCD
北大核心
2014年第3期123-126,共4页
Navigation of China
