国内外粮食期货价格动态关系研究被引量：2

A Study on the Dynamic Relationships of Grain Futures Prices at Home and Abroad

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摘要本文利用阈值向量误差修正模型(TVECM)实证研究了国内与国际期货市场的大豆、小麦、玉米和稻谷四种粮食期货价格之间动态关系,结果显示:2009-2013年期间,除大豆外,小麦、玉米和稻谷期货价格在国内外市场之间并不具有长期协整关系;非线性TVECM模型比线性VECM模型能更好地刻画国内大豆期货价格"易涨难跌"的非对称现象;短期动态调整具有显著的阀值非线性动态关系。 This paper empirically studies the dynamic relationships of grain futures prices which include soybean, wheat, corn and rice at home and abroad using the threshold vector error correction model （TVECM）. The results show： wheat, corn and rice prices except soybean have no long - term cointegration from 2009 to 2013 ; by further analyzing the soybean, we find that the nonlinear TVECM model can better portray the domestic soybean futures prices asymmetric phenomenon which displays ＂easier to rise and more difficult to fall＂ than the linear VECM model ; short - term dynamic adjustment has a significant threshold nonlinear dynamic relationship.

作者屈军

机构地区上海财经大学国际工商管理学院

出处《商业研究》 CSSCI 北大核心 2015年第10期24-31,共8页 Commercial Research

基金教育部人文社科基金项目"我国农户利用期货市场决策行为研究--以大豆主产区为例" 项目编号:13YJC790118 上海财经大学研究生创新计划项目科研创新基金项目"以期货交易所为核心的大宗商品市场做市商制度研究" 项目编号:CXJJ-2013-349

关键词粮食期货价格 TVECM模型非线性 grain futures prices TVECM model nonlinear relationship

分类号 F831.4 [经济管理—金融学]

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