| 中国工业基础金属期货价格与现货价格动态关系研究 |
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| 引用本文： | 王骏,张宗成.中国工业基础金属期货价格与现货价格动态关系研究[J].统计与信息论坛,2005,20(5):43-49. |
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| 作者姓名： | 王骏 张宗成 |
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| 作者单位： | 华中科技大学,经济学院,湖北,武汉,430074 |
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| 基金项目： | 本文为国家自然科学基金应急课题项目(70441022)
中期协联合研究计划课题(ZZ200507)的阶段性成果 |
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| 摘 要： | 文章借助VAR模型、协整检验、误差修正模型、格兰杰因果检验、脉冲响应函数、方差分解等方法,以上海期货交易所的工业基础金属铜和铝期货品种为例,研究了工业基础金属期货价格与现货价格之间的动态关系,定量地刻画出了期货市场在价格发现中作用的大小。其研究结果显示:铜和铝期货价格与它们的现货价格都存在相互引导关系;而且期货与现货价格之间也存在长期均衡关系;上海铜和铝金属期货市场在价格发现功能中发挥了主导作用。
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| 关 键 词： | 工业基础金属期货 VAR模型 协整检验 脉冲响应函数 方差分解 |
| 文章编号： | 1007-3116(2005)05-0043-07 |
| 修稿时间： | 2005年3月14日 |
On the Relationship Between China's Industrial Basic Metal Forward Price and Spot Price over Time |
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| WANG Jun,ZHANG Zong-cheng.On the Relationship Between China''''s Industrial Basic Metal Forward Price and Spot Price over Time[J].Statistics & Information Tribune,2005,20(5):43-49. |
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| Authors: | WANG Jun ZHANG Zong-cheng |
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| Abstract: | Taking copper and aluminum of Shanghai Futures Exchange as examples, this article examines the relationship between the forward price and spot price over time, and reveals the role of the nonf errous metal futures market plays in price discovery quantitatively. VAR model, co-integration test, error correction model, impulse responses function analysis and variance decomposition methods are used in the analysis. The results from this research suggest that the forward price and spot price of the two nonferrous metal futures are co-integrated, and there is a mutual guidance and long-term equilibrium relationship between forward price and spot price. As to copper and aluminum, futures market plays more important role in price discovery. |
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| Keywords: | Industrial basic metal futures VAR model Co-integration test Impulse responses function Variance decomposition |
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