摘要
本文选取我国2014年1月1日至2018年5月18日鸡蛋与豆粕期货主力合约价格连续数据,采用平滑转换回归(STR)模型对鸡蛋与豆粕期货市场价格关联性展开研究。研究结论如下:鸡蛋期货与豆粕期货价格之间存在长期效应;豆粕期货价格对鸡蛋期货价格具有正向的非线性价格联动性,且这种非线性影响降低了两类期货价格之间的联动性效果;鸡蛋期货价格对豆粕期货价格的非线性影响会引起两类期货价格之间的联动性由正向转为负向。
This paper selects data of egg and soybean meal futures price from January 1,2014 to May 18,2018,uses the smooth transition regression(STR) model to analyze price correlation between egg and soybean meal futures market.It is found that there is a long-term effect in prices between egg futures and soybean meal futures.Soybean meal futures price has positive nonlinear price correlation to egg futures price, and its nonlinear effect reduces the interaction between two kinds of futures’ prices.While the non-linear effect of egg futures price on soybean meal futures price will change the positive linkage between two futures’ prices to negative.
出处
《价格理论与实践》
CSSCI
北大核心
2018年第12期127-130,共4页
Price:Theory & Practice
基金
山东省社会科学规划研究项目"山东省股权投资引导基金运作机制优化研究"(17CJRJ10)
关键词
鸡蛋期货
豆粕期货
价格关联性
STR模型
产业链
Egg futures
Soybean meal futures
Price relationship
STR model
Industrial Chain
