摘要
选取2016年1月4日~2018年12月28日铁矿石与焦炭的期现货价格数据,通过构建向量自回归模型,对铁矿石与焦炭的期货价格和现货价格进行实证分析。结果表明:焦炭期货价格是铁矿石现货价格的格兰杰因果关系且较为明显;铁矿石期货价格是铁矿石现货价格的格兰杰因果关系;焦炭现货价格是焦炭期货价格的格兰杰原因但不明显。故需监管部门完善金融市场,使相关市场能依据焦炭期货与铁矿石现货价格之间的变动及时做出相应调整,减少损失。
This paper selects the data of the futures price and the spot price of iron ore and coke from January 4,2016 to December 28, 2018 to empirically analyze the futures price and the spot price of iron ore and coke by constructing a vector autoregressive model. The results show that the coke futures price is obviously the Granger causality of the iron ore spot price, that the iron ore futures price is the Granger causality of the iron ore spot price and that the coke spot price is the Granger causality of the coke futures price, which is not obvious.Therefore, the regulatory authorities need to improve the financial market so that the relevant markets can make corresponding adjustments in time based on changes between the coke futures price and the iron ore spot price to reduce losses.
作者
王江
郑真真
WANG Jiang;ZHENG Zhen-zhen(School of Economics and Management,Shihezi University,Shihezi,Xinjiang 832000)
出处
《价格月刊》
北大核心
2019年第12期1-8,共8页
基金
高层次人才科研启动项目“西北五省金融集聚、经济发展对生态效率的空间溢出效应研究”（编号：RCSK2018C08）
兵团软科学研究计划“一带一路背景下兵团科技创新服务平台建设研究”（编号：2016CC004）
兵团社会科学基金项目“维稳戍边视阈下兵团人口集聚与城镇化协调发展研究”（编号：17YB13）
