摘要
基于协整检验理论,通过协整分析、Granger因果检验、建立VEC模型、脉冲响应函数和方差分解,对我国白糖期现货市场互动关系及价格波动机制进行实证分析,发现其期货与现货价格长期协整一致,期现货市场相互引导,并且2市场之间存在稳定的互动关系,期货市场在价格发现机制中起主导作用。
Based on co-integration theory, through co-integration analysis, Granger causality test, establishing VEC model, impulse response function and variance decomposition, an empirical analysis on the enter-relationship and fluctuation transmission mechanism of the sugar futures market and the spot market was conducted. It was found a long-term equilibrium relationship as well as a mutual Granger causality between the future and spot price, which reflected the stable enter-relationship between sugar futures and spot market. Furthermore, futures market is in the lead in price discovery mechanism.
出处
《安徽农业科学》
CAS
北大核心
2010年第31期17918-17921,17935,共5页
Journal of Anhui Agricultural Sciences
基金
教育部基本科研业务费专项基金项目(N2009123)
