基于VAR模型的大豆期货与现货价格分析  

Analysis of Futures and Spot Price of Soybean Based on VAR Model

作　　者：罗晓晨[1] 袁庆禄[1] 杜辉[1] 

机构地区：[1]信阳师范学院经济学院,河南信阳464000

出　　处：《信阳农林学院学报》2016年第3期41-43,共3页Journal of Xinyang Agriculture and Forestry University

摘　　要：利用大连商品交易所2014年黄大豆价格数据,通过VAR模型探索大豆期货、现货价格平稳性,用Johansen协整检验分析大豆期货、现货价格的协同性,用格兰杰检验分析期货、现货价格的因果关系,并根据实证结果提出促进我国大豆期货市场和现货市场发展的建议。This article processes the data of Chinese soybean futures and spot prices , and using VAR model to search the stability of them.Through Johansen co -integration test, this article analyzes the collaboration of futures and spot prices .Through the Granger causality test to analysis futures prices of soybean futures ,the leading relationship of the spot prices and bi -directions.According to the empirical results , this article puts forward solutions to promote the development of China＇s soybean futures and spot market function .

关 键 词：VAR模型 大豆期货 协整性 

分 类 号：F224[经济管理—国民经济]