摘要
文章对上海螺纹钢期货价格与现货价格序列进行了单位根检验、协整检验、Granger因果检验和方差分解,实证结果表明螺纹钢期货与现货价格保持长期均衡关系,而且期货价格与现货价格能有效地相互引导。
A unit root test,a cointegration test,a Granger causality test and the variance decomposition have been applied to test Shanghai steel future prices and spot prices,which shows that the steel future and spot prices remain a long-term equilibrium relationship and the future prices and spot prices can be effectively guided with each other.
基金
杭州电子科技大学工商管理会计学申博培育学科发展基金资助项目(ZX100206004-11)
关键词
螺纹钢期货
协整
期货价格与现货价格长期均衡
相互引导
Steel futures
cointegration
long-term equilibrium of steel future prices and spot prices
guide with each other
