DCE与CBOT玉米期货价格关联性实证研究  

An Empirical Study on the Corn Futures Price Relevance between dec and cbot

作　　者：刘川川[1] 何凌云[1] 安毅[1] 杨升[1] 王冉[1] 

机构地区：[1]中国农业大学期货与金融衍生品研究中心,北京100083

出　　处：《安徽农业科学》2009年第30期14899-14903,共5页Journal of Anhui Agricultural Sciences

基　　金：国家"十一五"科技支撑计划课题(2006BAJ07B02);中国农业大学-南京农业大学青年教师开放科研基金(CN2007010);中国科学院许国志博士后工作奖励基金

摘　　要：基于协整理论,对DCE玉米期货价格与CBOT玉米期货价格关联性进行研究,发现两者之间存在协整关系;并运用向量自回归模型(Vector Auto-regression Model),发现两者存在滞后5期的影响,前者对后者的滞后期影响不显著,而后者对前者的滞后期影响显著并呈跳跃性影响;运用Granger因果检验发现两者之间存在双向引导关系;并运用向量误差修正模型(Vector Error Correction Model),发现两者存在误差修正机制;根据脉冲响应函数发现,后者对前者的脉冲响应效率优于前者对后者的影响;并根据方差分解发现两者均受到来自对方的冲击。This article aimed to study on the corn futures price relevance between dec and cbot based on Co-integration Theory, the resuh showed that there existed a Co-integration relation between them; Through Vector Auto-regression Model, it showed that they existed lag five phases effects, and former had no significant effects on the lag phase of latter one while the latter had significant and jumping characteristics effects on the lag phase of former one ; It showed that there were a bi-directional leading relationship and error correction mechanism between them by means of Granger Causality Test and VEC Model. Furthermore, according to Impulse Response, it showed that the impulse response efficiency of the latter to the former was superior to the effects of the former to the latter, and two markets receive price shocked from each other according to variance decomposition.

关 键 词：玉米期货 协整理论 向量自回归模型 Granger因果检验 向量误差修正模型 脉冲响应 方差分解 

分 类 号：F830.9[经济管理—金融学] F224.9