中美豆油期现货市场国际关联性及动态预测研究  

Research on the International Linkages of Sino-US Soybean Oil Futures & Spot Markets and Dynamic Forecast

作　　者：王骏[1] 刘亚清[2] 

机构地区：[1]清华大学管理科学与工程博士后流动站 [2]华中科技大学经济学院金融学系,武汉430074

出　　处：《西北农林科技大学学报（社会科学版）》2008年第5期31-35,共5页Journal of Northwest A&F University(Social Science Edition)

摘　　要：期货市场国际关联性主要通过同一期货产品在跨国跨市场的期货价格互动关系上体现出来。通过利用协整检验、动态预测、方差分解和脉冲响应函数等技术对中美豆油期货市场的关联性研究发现:大连、芝加哥交易所豆油期货价格和中国豆油现货平均价格之间存在长期均衡关系,总方差中来自于大连、芝加哥期货市场和中国豆油现货市场分别为52%、38%和10%。在世界豆油期货市场中,大连商品交易所的影响力与权威性都比芝加哥商品交易所更大和更强。International linkages of futures market are mainly reflected by the price＇s interactive relation of the same futures contract from different countries ＇ futures exchange. This article examines the international linkage between Chinese, American and Japanese corn futures market by using cointegration test, dynamic forecast, variance decomposition and impulse responses function methods, etc. The results suggest that the futures prices of DCE,CBOT and China＇s spot price exist long-run equilibrium relationship, the total variance consists of DCE＇s 52% ,CBOT＇s 38% and China spot rnarket＇s 10%. So DCE＇s price have more power of the influence and authority than CBOT＇s price around the world.

关 键 词：国际关联性 豆油期货 动态预测 方差分解 脉冲响应函数 

分 类 号：F743[经济管理—国际贸易]