| 中美豆油期现货市场国际关联性及动态预测研究 |
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| 引用本文： | 王骏,刘亚清.中美豆油期现货市场国际关联性及动态预测研究[J].西北农林科技大学学报,2008,8(5):31-35. |
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| 作者姓名： | 王骏 刘亚清 |
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| 作者单位： | 1. 清华大学,管理科学与工程博士后流动站,北京,100084;大连商品交易所,博士后科研工作站,北京,100029
2. 华中科技大学,经济学院金融学系,武汉,430074 |
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| 摘 要： | 期货市场国际关联性主要通过同一期货产品在跨国跨市场的期货价格互动关系上体现出来。通过利用协整检验、动态预测、方差分解和脉冲响应函数等技术对中美豆油期货市场的关联性研究发现：大连、芝加哥交易所豆油期货价格和中国豆油现货平均价格之间存在长期均衡关系，总方差中来自于大连、芝加哥期货市场舜口中国豆油现货市场分别为52％、38％和10％。在世界豆油期货市场中，大连商品交易所的影响力与权威性都比芝加哥商品交易所更大和更强。
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| 关 键 词： | 国际关联性 豆油期货 动态预测 方差分解 脉冲响应函数 |
Research on the International Linkages of Sino-US Soybean Oil Futures & Spot Markets and Dynamic Forecast |
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| WANG Jun,LIU Ya-qing.Research on the International Linkages of Sino-US Soybean Oil Futures & Spot Markets and Dynamic Forecast[J].Journal of Northwest Sci-Tech University of Agriculture and Forestry(Social Science),2008,8(5):31-35. |
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| Authors: | WANG Jun LIU Ya-qing |
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| Institution: | WANG Jun , LIU Ya-qing (1. Postdoctoral Program at Management Science and Engineering, Tsinghua University, Beijing 1000842. Postdoctoral Research Centre at Dalian Commodity Exchange, Beijing 100029;3. Department of Finance, School of Economics, Huazhong University of Science and Technology , Wuhan 430074, China) |
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| Abstract: | International linkages of futures market are mainly reflected by the price＇s interactive relation of the same futures contract from different countries ＇ futures exchange. This article examines the international linkage between Chinese, American and Japanese corn futures market by using cointegration test, dynamic forecast, variance decomposition and impulse responses function methods, etc. The results suggest that the futures prices of DCE,CBOT and China＇s spot price exist long-run equilibrium relationship, the total variance consists of DCE＇s 52% ,CBOT＇s 38% and China spot rnarket＇s 10%. So DCE＇s price have more power of the influence and authority than CBOT＇s price around the world. |
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| Keywords: | international linkage soybean oil futures dynamic forecast variance decomposition impulse responses function |
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