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进口铁矿石市场和干散货市场的联动关系研究 被引量:1

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摘要 为研究进口铁矿石市场和干散货市场的联动关系,分别以进口铁矿石价格指数和波罗的海干散货运价指数为研究对象。Johansen协整检验显示两个市场之间存在长期均衡的关系,在向量误差修正模型的基础上,脉冲响应分析进一步说明:来自进口铁矿石市场的波动和干散货市场的波动分别对双方市场的影响的持续作用时间都很长,并且对干散货市场的影响也都具有时滞性。
出处 《中国水运(下半月)》 2014年第2期64-66,共3页
基金 国家自然科学基金项目"copula分位数协整理论及其在FFA市场的应用研究"(71101134)
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