| LME和SHFE期铜价格的动态计量研究 |
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| 引用本文： | 李跃中.LME和SHFE期铜价格的动态计量研究[J].安徽大学学报(哲学社会科学版),2006,30(2):132-137. |
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| 作者姓名： | 李跃中 |
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| 作者单位： | 安徽大学,经济学院,安徽,合肥,230039 |
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| 摘 要： | 利用动态经济计量学方法对上海期货交易所(SHFE)与伦敦金属交易所(LME)的期铜价格走势进行的实证分析说明,在统计区间内SHFE期铜与LME期铜价格间存在着协整关系,LME期铜和SHFE期铜价格间存在双向G range成因,来自于SHFE的标准差冲击对SHFE和LME期铜价格的作用都有持续性,而对来自于LME的标准差冲击,SHFE有着过度的反应。
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| 关 键 词： | 协整 因果检验 冲击反应 误差修正模型 期铜 上海期货交易所 伦敦金属交易所 |
| 文章编号： | 1001-5019（2006）02-0132-06 |
| 收稿时间： | 09 12 2005 12:00AM |
| 修稿时间： | 2005-09-12 |
A Dynamic Econometric Analysis of the LME Copper Price and the SHFE Copper Price |
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| LI Yue-zhong.A Dynamic Econometric Analysis of the LME Copper Price and the SHFE Copper Price[J].Journal of Anhui University(Philosophy & Social Sciences),2006,30(2):132-137. |
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| Authors: | LI Yue-zhong |
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| Institution: | LI Yue-zhong |
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| Abstract: | With the method of dynamic econometrics, this paper analyzes the relationship between the price of LME copper and the price of SHFE copper. The result shows that the price of SHFE copper is cointegrated with the price of LME copper, the price of LME copper is the Granger cause of the price of SHFE copper and the price of SHFE copper is the Granger cause of the price of LME copper too. An impulse from SHFE standard error has some influence on both SHFE and LME copper price, while SHFE copper price has some excess response to an impulse from LME standard error. |
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| Keywords: | cointegration causality test impulse response error correction model copper futures SHFE LME |
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