中美棉花期货价格引导和均衡关系的实证分析  

Empirical Analysis of Leading and Equilibrium Relations between ZCE and NYBOT Cotton Futures Prices

作　　者：刘晓雪[1] 黄剑[1] 

机构地区：[1]北京工商大学经济学院,北京100037

出　　处：《北京工商大学学报（社会科学版）》2008年第4期11-15,共5页JOURNAL OF BEIJING TECHNOLOGY AND BUSINESS UNIVERSITY:SOCIAL SCIENCES

基　　金：国家自然科学基金(70441005);主持人:胡俞越教授;首都流通业研究基地课题(JD-2007-Y-02)阶段成果

摘　　要：对中国棉花期货上市至实证结束期间796个价格数据,运用Eviews软件的协整分析、Granger因果检验、误差修正模型和方差分解法,实证检验了中国和美国棉花期货价格之间的关系,结果表明:中美棉花期货价格之间的协整关系成立,两者具有显著的长期稳定关系;中美棉花期货价格间存在显著的相互引导关系;短期内美国棉花期货价格变动是中国棉花期货价格变动Granger意义上的原因;中国期货价格虽受到美国棉花期货价格的影响,但具有较强的独立性。Based on the 796 data of cotton futures prices till the research is completed in ZCE cotton futures market, with the Eviews software methods of co-integration test, Granger causality test, ECM model and variance decomposition, this paper makes an empirical study to test the relationship between ZCE and NYBOT cotton futures prices. The results indicate that： there exists a co-integration relationship between ZCE and NYBOT cotton futures prices, both having a marked long-standing stable relationship; there exists a cross-leading relationship between ZCE and NYBOT cotton futures prices by Granger causality; in short time NYBOT cotton futures price fluctuation is the Granger cause of ZCE cotton futures price fluctuation; ZCE cotton futures price is of relatively strong independence though it is influenced by NYBOT futures price.

关 键 词：棉花期货 协整分析 误差修正模型 

分 类 号：F724.5[经济管理—产业经济]