基于协整方法的我国白糖大宗商品交易市场与期货市场价格引导关系研究  

A Research on Sugar Prices Casual Relationship Between Bulk Commodity Transaction Market and Futures Market in China Based on Co-Integration Approach

作　　者：罗力强[1] 

机构地区：[1]广西大学行健文理学院,广西南宁530005

出　　处：《特区经济》2016年第2期52-54,共3页Special Zone Economy

基　　金：2013年度广西高等学校人文社会科学研究项目"广西白糖市场价格关联机制实证研究"(SK13LX350);2014年度广西高校科学技术研究项目"基于期现价格引导关系的广西白糖大宗商品交易市场发展研究"(LX2014654)

摘　　要：糖价大幅波动不利于糖产业链的稳定发展。确定期现价格的引导关系是白糖供求双方利用白糖期货进行套期保值交易的基本条件。白糖大宗商品交易价格是更具代表性的白糖现货价格。从长期来看,白糖期货价格与其大宗商品交易价格之间存在均衡关系,白糖期货价格在长期中受其自身和大宗商品交易价格的双重影响。从短期来看,白糖大宗商品交易价格变动对白糖期货价格变动有更大的影响力。格兰杰因果检验结果进一步证实了这种关系。Great fluctuating of sugar price is to the disadvantage of stable development of sugar industry chain. Confirming prices casual relationship between bulk commodity transaction market and futures market is a general conditions of hedging that sugar buyers and sellers deal with sugar futures. Sugar bulk commodity transaction price is a more representative spots price. In long term, equilibrium relationship exists between sugar futures price and bulk commodity transaction price. Sugar futures price is dually influenced by itself and bulk commodity transaction price. In short term, bulk commodity transaction price movement is more greater impact on futures price movement. Granger causality test can confirm the relationship further.

关 键 词：大宗商品交易 期货 协整 

分 类 号：F724.5[经济管理—产业经济]